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

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

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    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(settlementDate, maturityDate, paymentPeriod, isStubShort,
        isStubStart, businessDayConvention, calendar, endOfMonth);
    final double sign = isPayer ? -1.0 : 1.0;
    final CouponIborDefinition[] coupons = new CouponIborDefinition[paymentDates.length];
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(settlementDate, -index.getSpotLag(), calendar);
    coupons[0] = new CouponIborDefinition(index.getCurrency(), paymentDates[0], settlementDate, paymentDates[0],
        dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar), sign * notional, fixingDate, index, calendar);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      fixingDate = ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -index.getSpotLag(), calendar);
      coupons[loopcpn] = new CouponIborDefinition(index.getCurrency(), paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixingDate, index, calendar);
    }
    return new AnnuityDefinition<CouponIborDefinition>(coupons, calendar);
  }
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    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(settlementDate, maturityDate, paymentPeriod, isStubShort,
        isStubStart, businessDayConvention, calendar, endOfMonth);
    final double sign = isPayer ? -1.0 : 1.0;
    final CouponIborDefinition[] coupons = new CouponIborDefinition[paymentDates.length];
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(settlementDate, -index.getSpotLag(), calendar);
    coupons[0] = new CouponIborDefinition(index.getCurrency(), paymentDates[0], settlementDate, paymentDates[0],
        dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar), sign * notional, fixingDate, index, calendar);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      fixingDate = ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -index.getSpotLag(), calendar);
      coupons[loopcpn] = new CouponIborDefinition(index.getCurrency(), paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixingDate, index, calendar);
    }
    return new AnnuityCouponIborDefinition(coupons, index, calendar);
  }
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    final CouponIborDefinition[] noSpreadCoupons = definition.getPayments();
    final int n = noSpreadCoupons.length;
    final double spread = 0.01;
    final CouponIborSpreadDefinition[] spreadCoupons = new CouponIborSpreadDefinition[n];
    for (int i = 0; i < n; i++) {
      final CouponIborDefinition coupon = noSpreadCoupons[i];
      spreadCoupons[i] = new CouponIborSpreadDefinition(coupon.getCurrency(), coupon.getPaymentDate(), coupon.getAccrualStartDate(), coupon.getAccrualEndDate(), coupon.getPaymentYearFraction(),
          coupon.getNotional(), coupon.getFixingDate(), coupon.getIndex(), spread, coupon.getCalendar());
    }
    assertEquals(definition, AnnuityCouponIborDefinition.from(new AnnuityCouponIborSpreadDefinition(spreadCoupons, CALENDAR)));
  }
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  /**
   * Tests the present value.
   */
  public void presentValue() {
    final CurrencyAmount pv = METHOD.presentValue(COUPON, CURVES_BUNDLE);
    final CouponIborDefinition couponIborDefinition = new CouponIborDefinition(CUR, ACCRUAL_END_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
    final Payment couponIbor = couponIborDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final CouponFixedDefinition couponFixedDefinition = new CouponFixedDefinition(couponIborDefinition, SPREAD);
    final Payment couponFixed = couponFixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final PresentValueCalculator pvc = PresentValueCalculator.getInstance();
    final double pvIbor = couponIbor.accept(pvc, CURVES_BUNDLE);
    final double pvFixed = couponFixed.accept(pvc, CURVES_BUNDLE);
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Related Classes of com.opengamma.analytics.financial.instrument.payment.CouponIborDefinition

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinitionBuilder
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIbor
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponIborGearingDiscountingMethodTest
  • org.threeten.bp.LocalDate
  • org.threeten.bp.ZonedDateTime
  • com.opengamma.OpenGammaRuntimeException
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