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

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

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          businessDay, isEOM, DEFAULT_NOTIONAL, rate, false);
    } else {
      coupon = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(currency, firstAccrualDate, maturityDate, paymentPeriod, true, true, calendar, dayCount, businessDay,
          isEOM, DEFAULT_NOTIONAL, rate, false);
    }
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(currency, businessDay.adjustDate(calendar, maturityDate),
        DEFAULT_NOTIONAL) };
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(nominalPayment, calendar);
    return new BondFixedSecurityDefinition(nominal, coupon, DEFAULT_EX_COUPON_DAYS, settlementDays, calendar, dayCount, yieldConvention, isEOM, issuer);
  }
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    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) };
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(nominalPayment, calendar);
    return new BondFixedSecurityDefinition(nominal, coupons, DEFAULT_EX_COUPON_DAYS, settlementDays, calendar, dayCount, yieldConvention, isEOM, issuer);
  }
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          businessDay, isEOM, notional, rate, false);
    } else {
      coupon = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(currency, firstAccrualDate, maturityDate, paymentPeriod, true, true, calendar, dayCount, businessDay,
          isEOM, notional, rate, false);
    }
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(currency, businessDay.adjustDate(calendar, maturityDate),
        notional) };
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(nominalPayment, calendar);
    return new BondFixedSecurityDefinition(nominal, coupon, exCouponDays, settlementDays, calendar, dayCount, yieldConvention, isEOM, issuer, repoType);
  }
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   */
  public static BondInterestIndexedSecurityDefinition<PaymentFixedDefinition, CouponInflationYearOnYearMonthlyWithMarginDefinition> fromMonthly(final IndexPrice priceIndex, final int monthLag,
      final ZonedDateTime startDate, final ZonedDateTime maturityDate, final Period couponPeriod, final double notional, final double realRate, final BusinessDayConvention businessDay,
      final int settlementDays, final Calendar calendar, final DayCount dayCount, final YieldConvention yieldConvention, final boolean isEOM, final String issuer) {
    // Nominal construction
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(priceIndex.getCurrency(), businessDay.adjustDate(calendar, maturityDate),
        notional) };

    final AnnuityDefinition<PaymentFixedDefinition> nominalAnnuity = new AnnuityDefinition<>(nominalPayment, calendar);
    // Coupon construction
    final ZonedDateTime[] paymentDatesUnadjusted = ScheduleCalculator.getUnadjustedDateSchedule(startDate, maturityDate, couponPeriod, true, false);
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  public static BondInterestIndexedSecurityDefinition<PaymentFixedDefinition, CouponInflationYearOnYearMonthlyWithMarginDefinition> fromMonthly(final IndexPrice priceIndex, final int monthLag,
      final ZonedDateTime startDate, final ZonedDateTime firstCouponDate, final ZonedDateTime maturityDate, final Period couponPeriod, final double notional, final double realRate,
      final BusinessDayConvention businessDay, final int settlementDays, final Calendar calendar, final DayCount dayCount, final YieldConvention yieldConvention, final boolean isEOM,
      final String issuer) {
    // Nominal construction
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(priceIndex.getCurrency(), businessDay.adjustDate(calendar, maturityDate),
        notional) };

    final AnnuityDefinition<PaymentFixedDefinition> nominalAnnuity = new AnnuityDefinition<>(nominalPayment, calendar);
    // Coupon construction
    final ZonedDateTime[] paymentDatesUnadjusted = ScheduleCalculator.getUnadjustedDateSchedule(firstCouponDate, maturityDate, couponPeriod, true, false);
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  public static BondInterestIndexedSecurityDefinition<PaymentFixedDefinition, CouponInflationYearOnYearInterpolationWithMarginDefinition> fromInterpolation(final IndexPrice priceIndex,
      final int monthLag, final ZonedDateTime startDate, final double indexStartValue, final ZonedDateTime maturityDate, final Period couponPeriod, final double notional, final double realRate,
      final BusinessDayConvention businessDay, final int settlementDays, final Calendar calendar, final DayCount dayCount, final YieldConvention yieldConvention, final boolean isEOM,
      final String issuer) {
    // Nominal construction
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(priceIndex.getCurrency(), businessDay.adjustDate(calendar, maturityDate),
        notional) };

    final AnnuityDefinition<PaymentFixedDefinition> nominalAnnuity = new AnnuityDefinition<>(nominalPayment, calendar);
    // Coupon construction
    final ZonedDateTime[] paymentDatesUnadjusted = ScheduleCalculator.getUnadjustedDateSchedule(startDate, maturityDate, couponPeriod, true, true);
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    final double factorSpot = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), settlementDate, couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0,
        _couponPerYear);
    final double factorPeriod = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), couponDefinition.getNthPayment(0).getAccrualEndDate(),
        couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, _couponPerYear);
    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final PaymentFixedDefinition nominalLast = getNominal().getNthPayment(getNominal().getNumberOfPayments() - 1);
    final ZonedDateTime settlementDate2 = settlementDate.isBefore(date) ? date : settlementDate;
    final double notional = settlementDate.isBefore(date) ? 0.0 : 1.0;
    final PaymentFixedDefinition settlementDefinition = new PaymentFixedDefinition(nominalLast.getCurrency(), settlementDate2, notional);
    final PaymentFixed settlement = settlementDefinition.toDerivative(date);
    return new BondInterestIndexedSecurity<>(nominalStandard, couponStandard, settlementTime, accruedInterest, factorToNextCoupon, _yieldConvention, _couponPerYear, settlement, getIssuer(),
        _priceIndex);
  }
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    ArgumentChecker.notNull(firstAccrualDate, "First accrual date");
    ArgumentChecker.notNull(index, "Ibor index");
    ArgumentChecker.notNull(dayCount, "Day count");
    ArgumentChecker.notNull(businessDay, "Business day convention");
    final AnnuityCouponIborDefinition coupon = AnnuityCouponIborDefinition.fromAccrualUnadjusted(firstAccrualDate, maturityDate, DEFAULT_NOTIONAL, index, false, calendar);
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(index.getCurrency(), businessDay.adjustDate(calendar, maturityDate),
        DEFAULT_NOTIONAL) };
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(nominalPayment, calendar);
    return new BondIborSecurityDefinition(nominal, coupon, DEFAULT_EX_COUPON_DAYS, settlementDays, calendar, dayCount, issuer);
  }
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    ArgumentChecker.notNull(premiumDate, "premium date");
    ArgumentChecker.isTrue(premiumAmount * quantity <= 0, "Premium amount should have the opposite sign as quantity.");
    _underlyingOption = underlyingOption;
    _quantity = quantity;
    _tradePrice = premiumAmount / (underlyingOption.getUnderlyingFuture().getNotional() * quantity);
    _premium = new PaymentFixedDefinition(underlyingOption.getCurrency(), premiumDate, premiumAmount);
  }
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    final AnnuityDefinition<CouponFixedDefinition> annuityNoNotional = annuityCouponFixedFrom(currency, settlementDate, maturityDate, paymentPeriod, calendar, dayCount, businessDay, isEOM, notional,
        fixedRate, isPayer);
    final double sign = (isPayer) ? -1.0 : 1.0;
    final int nbPay = annuityNoNotional.getNumberOfPayments();
    final PaymentDefinition[] legWithNotional = new PaymentDefinition[nbPay + 2];
    legWithNotional[0] = new PaymentFixedDefinition(annuityNoNotional.getCurrency(), settlementDate, -notional * sign);
    for (int loopp = 0; loopp < nbPay; loopp++) {
      legWithNotional[loopp + 1] = annuityNoNotional.getNthPayment(loopp);
    }
    legWithNotional[nbPay + 1] = new PaymentFixedDefinition(annuityNoNotional.getCurrency(), annuityNoNotional.getNthPayment(nbPay - 1).getPaymentDate(), notional * sign);
    return new AnnuityDefinition<>(legWithNotional, calendar);
  }
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Related Classes of com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinition

  • com.opengamma.analytics.financial.forex.definition.ForexDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinitionBuilder
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityPaymentFixedDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondIborSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondIborSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondInterestIndexedSecurityDefinition
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