Package com.opengamma.analytics.financial.instrument.payment

Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

193
194
195
196
197
198
199
200
201
202
203
      firstCouponAccrual = dayCount.getAccruedInterest(firstAccrualDate, firstCouponDate, firstCouponDate, 1.0, couponPerYear);
    }
    final CouponFixedDefinition[] couponAfterFirst = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(currency, firstCouponDate, maturityDate, paymentPeriod, couponPerYear, true, true, calendar,
        dayCount, businessDay, isEOM, DEFAULT_NOTIONAL, rate, false).getPayments();
    final CouponFixedDefinition[] allCoupons = new CouponFixedDefinition[couponAfterFirst.length + 1];
    allCoupons[0] = new CouponFixedDefinition(currency, businessDay.adjustDate(calendar, firstCouponDate), firstAccrualDate, firstCouponDate, firstCouponAccrual, DEFAULT_NOTIONAL,
        rate);
    System.arraycopy(couponAfterFirst, 0, allCoupons, 1, couponAfterFirst.length);
    final AnnuityCouponFixedDefinition coupons = new AnnuityCouponFixedDefinition(allCoupons, calendar);
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(currency, businessDay.adjustDate(calendar, maturityDate),
        DEFAULT_NOTIONAL) };
View Full Code Here
413
414
415
416
417
418
419
420
421
422
423
    System.arraycopy(couponDefinition.getPayments(), 0, couponExPeriodArray, 0, couponDefinition.getNumberOfPayments());
    if (getExCouponDays() != 0) {
      final ZonedDateTime exDividendDate = ScheduleCalculator.getAdjustedDate(couponDefinition.getNthPayment(0).getPaymentDate(), -getExCouponDays(), getCalendar());
      if (settlementDate.isAfter(exDividendDate)) {
        // Implementation note: Ex-dividend period: the next coupon is not received but its date is required for yield calculation
        couponExPeriodArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
      }
    }
    final AnnuityCouponFixedDefinition couponDefinitionExPeriod = new AnnuityCouponFixedDefinition(couponExPeriodArray, getCalendar());
    final AnnuityCouponFixed couponStandard = couponDefinitionExPeriod.toDerivative(date, yieldCurveNames);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(settleTime);
View Full Code Here
462
463
464
465
466
467
468
469
470
471
472
    System.arraycopy(couponDefinition.getPayments(), 0, couponExPeriodArray, 0, couponDefinition.getNumberOfPayments());
    if (getExCouponDays() != 0) {
      final ZonedDateTime exDividendDate = ScheduleCalculator.getAdjustedDate(couponDefinition.getNthPayment(0).getPaymentDate(), -getExCouponDays(), getCalendar());
      if (settlementDate.isAfter(exDividendDate)) {
        // Implementation note: Ex-dividend period: the next coupon is not received but its date is required for yield calculation
        couponExPeriodArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
      }
    }
    final AnnuityCouponFixedDefinition couponDefinitionExPeriod = new AnnuityCouponFixedDefinition(couponExPeriodArray, getCalendar());
    final AnnuityCouponFixed couponStandard = couponDefinitionExPeriod.toDerivative(date);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(settleTime);
View Full Code Here
355
356
357
358
359
360
361
362
363
364
365
    System.arraycopy(couponDefinition.getPayments(), 0, couponExPeriodArray, 0, couponDefinition.getNumberOfPayments());
    if (getExCouponDays() != 0) {
      final ZonedDateTime exDividendDate = ScheduleCalculator.getAdjustedDate(couponDefinition.getNthPayment(0).getPaymentDate(), -getExCouponDays(), getCalendar());
      if (settlementDate.isAfter(exDividendDate)) {
        // Implementation note: Ex-dividend period: the next coupon is not received but its date is required for yield calculation
        couponExPeriodArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
      }
    }
    final AnnuityDefinition<PaymentDefinition> couponDefinitionExPeriod = new AnnuityDefinition<PaymentDefinition>(couponExPeriodArray, getCalendar());
    final Annuity<Coupon> couponStandard = (Annuity<Coupon>) couponDefinitionExPeriod.toDerivative(date, data);
    final Annuity<PaymentFixed> nominalStandard = nominal.trimBefore(settlementTime);
View Full Code Here
518
519
520
521
522
523
524
525
526
527
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_UK, ISSUER_MULTICURVES);
    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(GBP, MATURITY_DATE_UK, START_ACCRUAL_DATE_UK, PAYMENT_TENOR_UK, RATE_UK, SETTLEMENT_DAYS_UK, NOTIONAL_UK,
        0, CALENDAR_UK, DAY_COUNT_UK, BUSINESS_DAY_UK, YIELD_CONVENTION_UK, IS_EOM_UK, ISSUER_UK, "RepoType");
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3);
    final MultipleCurrencyAmount pvNoEx = METHOD_BOND_SECURITY.presentValue(BondNoEx, ISSUER_MULTICURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_UK.getCoupons().getNthPayment(17);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, GBP, ISSUER_UK);
    final MultipleCurrencyAmount pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3).accept(PVDC, multicurvesDecorated);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx.getAmount(GBP) - pvCpn.getAmount(GBP), pv.getAmount(GBP), TOLERANCE_PV);
  }
View Full Code Here
105
106
107
108
109
110
111
112
113
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_G, CURVES);
    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(CUR_G, MATURITY_DATE_G, START_ACCRUAL_DATE_G, PAYMENT_TENOR_G, RATE_G, SETTLEMENT_DAYS_G, NOTIONAL_G, 0,
        CALENDAR_G, DAY_COUNT_G, BUSINESS_DAY_G, YIELD_CONVENTION_G, IS_EOM_G, ISSUER_G, REPO_TYPE_G);
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3, CURVES_NAME);
    final double pvNoEx = METHOD.presentValue(BondNoEx, CURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_G.getCoupons().getNthPayment(17);
    final double pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3, CURVES_NAME).accept(PVC, CURVES);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx - pvCpn, pv, 1.0E-6);
  }
View Full Code Here
384
385
386
387
388
389
390
391
392
393
394
    System.arraycopy(couponDefinition.getPayments(), 0, couponExPeriodArray, 0, couponDefinition.getNumberOfPayments());
    if (getExCouponDays() != 0) {
      final ZonedDateTime exDividendDate = ScheduleCalculator.getAdjustedDate(couponDefinition.getNthPayment(0).getPaymentDate(), -getExCouponDays(), getCalendar());
      if (settlementDate.isAfter(exDividendDate)) {
        // Implementation note: Ex-dividend period: the next coupon is not received but its date is required for yield calculation
        couponExPeriodArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
      }
    }
    final AnnuityDefinition<PaymentDefinition> couponDefinitionExPeriod = new AnnuityDefinition<PaymentDefinition>(couponExPeriodArray, getCalendar());
    final Annuity<Coupon> couponStandard = (Annuity<Coupon>) couponDefinitionExPeriod.toDerivative(date, data);
    final Annuity<Coupon> nominalStandard = nominal.trimBefore(settlementTime);
View Full Code Here
113
114
115
116
117
118
119
120
121
122
123
124
125
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(settlementDate, maturityDate, paymentPeriod, isStubShort,
        isStubStart, businessDay, calendar, isEOM);
    final double sign = isPayer ? -1.0 : 1.0;
    final CouponFixedDefinition[] coupons = new CouponFixedDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedDefinition(currency, paymentDates[0], settlementDate, paymentDates[0], dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar),
        sign * notional, fixedRate);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedDefinition(currency, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixedRate);
    }
    return new AnnuityCouponFixedDefinition(coupons, calendar);
  }
View Full Code Here
150
151
152
153
154
155
156
157
158
159
160
161
162
    ArgumentChecker.notNull(businessDay, "business day convention");
    final double sign = isPayer ? -1.0 : 1.0;
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(settlementDate, maturityDate, frequency, true, false, businessDay, calendar, isEOM);
    final CouponFixedDefinition[] coupons = new CouponFixedDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedDefinition(currency, paymentDates[0], settlementDate, paymentDates[0], dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar),
        sign * notional, fixedRate);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedDefinition(currency, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixedRate);
    }
    return new AnnuityCouponFixedDefinition(coupons, calendar);
  }
View Full Code Here
188
189
190
191
192
193
194
195
196
197
198
199
200
    ArgumentChecker.notNull(businessDay, "business day convention");
    final double sign = isPayer ? -1.0 : 1.0;
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(paymentDatesUnadjusted, businessDay, calendar);
    final CouponFixedDefinition[] coupons = new CouponFixedDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedDefinition(currency, paymentDates[0], settlementDate, paymentDates[0], dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar),
        sign * notional, fixedRate);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedDefinition(currency, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixedRate);
    }
    return new AnnuityCouponFixedDefinition(coupons, calendar);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinitionBuilder
  • com.opengamma.analytics.financial.instrument.bond.BondCapitalIndexedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinitionTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.