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

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

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

com.opengamma.analytics.financial.instrument.payment.CouponIborRatchetDefinition
Class describing a Ratchet on Ibor coupon. The coupon payment depends on the previous coupon ($C_{i-1}$), the current Ibor fixing ($L_i$). The pay-off is: $$ \begin{equation*} \alpha^M_i C_{i-1} + \beta^M_i L_i + \gamma^M_i \end{equation*} $$ subject to the floor : $$ \begin{equation*} \alpha^F_i C_{i-1} + \beta^F_i L_i + \gamma^F_i \end{equation*} $$ and the cap: $$ \begin{equation*} \alpha^C_i C_{i-1} + \beta^C_i L_i + \gamma^C_i \end{equation*} $$

    final CouponDefinition[] coupons = new CouponDefinition[paymentDates.length];
    final double notionalSign = notional * (isPayer ? -1.0 : 1.0);
    coupons[0] = new CouponFixedDefinition(index.getCurrency(), paymentDates[0], settlementDate, paymentDates[0],
        index.getDayCount().getDayCountFraction(settlementDate, paymentDates[0], calendar), notionalSign, firstCouponFixedRate);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponIborRatchetDefinition(index.getCurrency(), paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          index.getDayCount().getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), notionalSign,
          ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -index.getSpotLag(), calendar), index, mainCoefficients, floorCoefficients,
          capCoefficients, calendar);
    }
    return new AnnuityCouponIborRatchetDefinition(coupons, calendar);

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    final CouponDefinition[] coupons = new CouponDefinition[paymentDates.length];
    final double notionalSign = notional * (isPayer ? -1.0 : 1.0);
    coupons[0] = CouponIborGearingDefinition.from(settlementDate, paymentDates[0], index.getDayCount().getDayCountFraction(settlementDate, paymentDates[0], calendar),
        notionalSign, index, mainCoefficients[2], mainCoefficients[1], calendar);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponIborRatchetDefinition(index.getCurrency(), paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          index.getDayCount().getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), notionalSign,
          ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -index.getSpotLag(), calendar), index, mainCoefficients, floorCoefficients, capCoefficients, calendar);
    }
    return new AnnuityCouponIborRatchetDefinition(coupons, calendar);
  }

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        fixedCpn.add(indexFixingTS.getValue(cpnIbor.getFixingDate()) * cpnIbor.getFactor() + cpnIbor.getSpread());
      }
    }
    for (int loopcpn = 1; loopcpn < getNumberOfPayments(); loopcpn++) {
      if (isFixed[loopcpn]) {
        final CouponIborRatchetDefinition cpnRatchet = (CouponIborRatchetDefinition) getPayments()[loopcpn];
        final double ibor = indexFixingTS.getValue(cpnRatchet.getFixingDate());
        final double cpnMain = cpnRatchet.getMainCoefficients()[0] * fixedCpn.get(loopcpn - 1) + cpnRatchet.getMainCoefficients()[1] * ibor + cpnRatchet.getMainCoefficients()[2];
        final double cpnFloor = cpnRatchet.getFloorCoefficients()[0] * fixedCpn.get(loopcpn - 1) + cpnRatchet.getFloorCoefficients()[1] * ibor + cpnRatchet.getFloorCoefficients()[2];
        final double cpnCap = cpnRatchet.getCapCoefficients()[0] * fixedCpn.get(loopcpn - 1) + cpnRatchet.getCapCoefficients()[1] * ibor + cpnRatchet.getCapCoefficients()[2];
        final double cpnActual = Math.min(Math.max(cpnFloor, cpnMain), cpnCap);
        fixedCpn.add(cpnActual);
      }
    }
    // Derivatives

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        fixedCpn.add(indexFixingTS.getValue(cpnIbor.getFixingDate()) * cpnIbor.getFactor() + cpnIbor.getSpread());
      }
    }
    for (int loopcpn = 1; loopcpn < getNumberOfPayments(); loopcpn++) {
      if (isFixed[loopcpn]) {
        final CouponIborRatchetDefinition cpnRatchet = (CouponIborRatchetDefinition) getPayments()[loopcpn];
        final double ibor = indexFixingTS.getValue(cpnRatchet.getFixingDate());
        final double cpnMain = cpnRatchet.getMainCoefficients()[0] * fixedCpn.get(loopcpn - 1) + cpnRatchet.getMainCoefficients()[1] * ibor + cpnRatchet.getMainCoefficients()[2];
        final double cpnFloor = cpnRatchet.getFloorCoefficients()[0] * fixedCpn.get(loopcpn - 1) + cpnRatchet.getFloorCoefficients()[1] * ibor + cpnRatchet.getFloorCoefficients()[2];
        final double cpnCap = cpnRatchet.getCapCoefficients()[0] * fixedCpn.get(loopcpn - 1) + cpnRatchet.getCapCoefficients()[1] * ibor + cpnRatchet.getCapCoefficients()[2];
        final double cpnActual = Math.min(Math.max(cpnFloor, cpnMain), cpnCap);
        fixedCpn.add(cpnActual);
      }
    }
    // Derivatives

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  public void constructorFixed() {
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM);
    final CouponDefinition[] cpn = new CouponDefinition[NB_COUPON];
    cpn[0] = new CouponFixedDefinition(CUR, paymentDates[0], SETTLEMENT_DATE, paymentDates[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, paymentDates[0]), NOTIONAL, FIRST_CPN_RATE);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      cpn[loopcpn] = new CouponIborRatchetDefinition(CUR, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn], DAY_COUNT.getDayCountFraction(paymentDates[loopcpn - 1],
          paymentDates[loopcpn]), NOTIONAL, ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR), IBOR_INDEX, MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
    }
    final AnnuityCouponIborRatchetDefinition annuity = new AnnuityCouponIborRatchetDefinition(cpn, CALENDAR);
    for (int loopcpn = 0; loopcpn < NB_COUPON; loopcpn++) {
      assertEquals("Annuity Ratchet Ibor: constructor", cpn[loopcpn], annuity.getNthPayment(loopcpn));

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    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM);
    final CouponDefinition[] cpn = new CouponDefinition[NB_COUPON];
    cpn[0] = CouponIborGearingDefinition.from(SETTLEMENT_DATE, paymentDates[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, paymentDates[0]), NOTIONAL, IBOR_INDEX, MAIN_COEF[2], MAIN_COEF[1],
        CALENDAR);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      cpn[loopcpn] = new CouponIborRatchetDefinition(CUR, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn], DAY_COUNT.getDayCountFraction(paymentDates[loopcpn - 1],
          paymentDates[loopcpn]), NOTIONAL, ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR), IBOR_INDEX, MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
    }
    final AnnuityCouponIborRatchetDefinition annuity = new AnnuityCouponIborRatchetDefinition(cpn, CALENDAR);
    for (int loopcpn = 0; loopcpn < NB_COUPON; loopcpn++) {
      assertEquals("Annuity Ratchet Ibor: constructor", cpn[loopcpn], annuity.getNthPayment(loopcpn));

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com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinitionTest

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