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

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

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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 CouponIborSpreadDefinition[] coupons = new CouponIborSpreadDefinition[paymentDates.length];
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(settlementDate, -index.getSpotLag(), calendar);
    coupons[0] = new CouponIborSpreadDefinition(index.getCurrency(), paymentDates[0], settlementDate, paymentDates[0],
        dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar), sign * notional, fixingDate, index, spread, calendar);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      fixingDate = ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -index.getSpotLag(), calendar);
      coupons[loopcpn] = new CouponIborSpreadDefinition(index.getCurrency(), paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixingDate, index, spread, calendar);
    }
    return new AnnuityDefinition<CouponIborSpreadDefinition>(coupons, calendar);
  }
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  private static SwapIborONDefinition from(final AnnuityCouponONDefinition oisLeg, final double notionalSigned, final IborIndex indexIbor, final double spread,
      final Calendar calendar) {
    final CouponIborSpreadDefinition[] cpnIbor = new CouponIborSpreadDefinition[oisLeg.getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < oisLeg.getNumberOfPayments(); loopcpn++) {
      final ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(oisLeg.getNthPayment(loopcpn).getAccrualStartDate(), indexIbor.getSpotLag(), calendar);
      cpnIbor[loopcpn] = new CouponIborSpreadDefinition(oisLeg.getCurrency(), oisLeg.getNthPayment(loopcpn).getPaymentDate(), oisLeg.getNthPayment(loopcpn).getAccrualStartDate(), oisLeg
          .getNthPayment(loopcpn).getAccrualEndDate(), oisLeg.getNthPayment(loopcpn).getPaymentYearFraction(), notionalSigned, fixingDate, indexIbor, spread, calendar);
    }
    return new SwapIborONDefinition(new AnnuityCouponIborSpreadDefinition(cpnIbor, calendar), oisLeg);
  }
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    ArgumentChecker.isTrue(notional > 0, "notional <= 0");
    final double sign = isPayer ? -1.0 : 1.0;
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(settlementDate, maturityDate, paymentPeriod, true, false, businessDayConvention, calendar, endOfMonth);
    final CouponIborSpreadDefinition[] coupons = new CouponIborSpreadDefinition[paymentDates.length];
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(settlementDate, -index.getSpotLag(), calendar);
    coupons[0] = new CouponIborSpreadDefinition(index.getCurrency(), paymentDates[0], settlementDate, paymentDates[0],
        dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar), sign * notional, fixingDate, index, spread, calendar);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      fixingDate = ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -index.getSpotLag(), calendar);
      coupons[loopcpn] = new CouponIborSpreadDefinition(index.getCurrency(), paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixingDate, index, spread, calendar);
    }
    return new AnnuityCouponIborSpreadDefinition(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 CouponIborSpreadDefinition[] coupons = new CouponIborSpreadDefinition[paymentDates.length];
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(settlementDate, -index.getSpotLag(), calendar);
    coupons[0] = new CouponIborSpreadDefinition(index.getCurrency(), paymentDates[0], settlementDate, paymentDates[0],
        dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar), sign * notional, fixingDate, index, spread, calendar);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      fixingDate = ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -index.getSpotLag(), calendar);
      coupons[loopcpn] = new CouponIborSpreadDefinition(index.getCurrency(), paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixingDate, index, spread, calendar);
    }
    return new AnnuityCouponIborSpreadDefinition(coupons, calendar);
  }
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    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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Related Classes of com.opengamma.analytics.financial.instrument.payment.CouponIborSpreadDefinition

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborSpreadDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinitionBuilder
  • com.opengamma.analytics.financial.instrument.swap.SwapIborONDefinition
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread
  • org.threeten.bp.LocalDate
  • org.threeten.bp.ZonedDateTime
  • com.opengamma.OpenGammaRuntimeException
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