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

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

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   * @param isPayer The flag indicating if the annuity is paying (true) or receiving (false).
   * @return The swap.
   */
  public static SwapFixedCompoundedONCompoundedDefinition from(final ZonedDateTime settlementDate, final Period tenorAnnuity, final double notional,
      final GeneratorSwapFixedCompoundedONCompounded generator, final double fixedRate, final boolean isPayer) {
    final CouponONCompoundedDefinition onCompoundedCoupon = CouponONCompoundedDefinition.from(generator, settlementDate, tenorAnnuity, (isPayer ? 1.0 : -1.0) * notional);
    final double sign = isPayer ? -1.0 : 1.0;
    final double notionalSigned = sign * notional;
    return from(onCompoundedCoupon, notionalSigned, fixedRate, generator.getOvernightCalendar());
  }
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   * @param isPayer The flag indicating if the annuity is paying (true) or receiving (false).
   * @return The swap.
   */
  public static SwapFixedCompoundedONCompoundedDefinition from(final ZonedDateTime settlementDate, final ZonedDateTime endFixingPeriodDate, final double notional,
      final GeneratorSwapFixedCompoundedONCompounded generator, final double fixedRate, final boolean isPayer) {
    final CouponONCompoundedDefinition onCompoundedCoupon = CouponONCompoundedDefinition.from(generator, settlementDate, endFixingPeriodDate, (isPayer ? 1.0 : -1.0) * notional);
    final double sign = isPayer ? -1.0 : 1.0;
    final double notionalSigned = sign * notional;
    return from(onCompoundedCoupon, notionalSigned, fixedRate, generator.getOvernightCalendar());
  }
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        } else if (swap.getSecondLeg() instanceof AnnuityCouponONDefinition) {
          final AnnuityCouponONDefinition annuityCouponONDefinition = (AnnuityCouponONDefinition) swap.getSecondLeg();
          onIndex = annuityCouponONDefinition.getOvernightIndex();
          calendar = annuityCouponONDefinition.getCalendar();
        } else if (swap.getFirstLeg().getNthPayment(0) instanceof CouponONCompoundedDefinition) {
          final CouponONCompoundedDefinition couponONDefinition = (CouponONCompoundedDefinition) swap.getFirstLeg().getNthPayment(0);
          onIndex = couponONDefinition.getIndex();
          calendar = couponONDefinition.getCalendar();
        } else if (swap.getSecondLeg().getNthPayment(0) instanceof CouponONCompoundedDefinition) {
          final CouponONCompoundedDefinition couponONDefinition = (CouponONCompoundedDefinition) swap.getSecondLeg().getNthPayment(0);
          onIndex = couponONDefinition.getIndex();
          calendar = couponONDefinition.getCalendar();
        } else {
          throw new OpenGammaRuntimeException("Could not find overnight leg for " + underlyingSecurity);
        }
        final DayCount fixedLegDayCount = fixedLeg.getDayCount();
        final Frequency frequency = fixedLeg.getFrequency();
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Related Classes of com.opengamma.analytics.financial.instrument.payment.CouponONCompoundedDefinition

  • com.opengamma.analytics.financial.instrument.swap.SwapFixedCompoundedONCompoundedDefinition
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded
  • com.opengamma.financial.analytics.model.swaption.SwaptionUtils
  • com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries
  • org.threeten.bp.LocalDate
  • org.threeten.bp.ZonedDateTime
  • com.opengamma.OpenGammaRuntimeException
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