Package com.opengamma.analytics.financial.instrument.swap

Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

111
112
113
114
115
116
117
118
119
120
121
  @Test
  /**
   * Tests the payer/receiver parity for swaptions present value.
   */
  public void presentValuePayerReceiverParity() {
    final SwapFixedIborDefinition swapDefinitionPay = SwapFixedIborDefinition.from(SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
    final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE);
    final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final MultipleCurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, BLACK_MULTICURVES);
View Full Code Here
137
138
139
140
141
142
143
144
145
    final boolean eom = indexConvention.isIsEOM();
    final Period indexTenor = iborLegConvention.getResetTenor().getPeriod();
    final int spotLagIndex = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, indexConvention.getName());
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", fixedLegConvention.getPaymentTenor().getPeriod(), fixedLegConvention.getDayCount(), iborIndex, calendar);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(deliveryDate, maturityTenor.getPeriod(), generator, notional, 0.0, false); //FIXME: rate of underlying?
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(lastTradeDate, underlying, notional);
    return new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, _valuationTime, price, 1);
  }
View Full Code Here
183
184
185
186
187
188
189
190
191
    if (hasSpread) {
      final double spread = ((FloatingSpreadIRLeg) iborLeg).getSpread();
      return SwapFixedIborSpreadDefinition.from(effectiveDate, maturityDate, tenorFixed, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(), fixedLeg.isEom(), fixedLegNotional,
          fixedLeg.getRate(), tenorIbor, iborLeg.getDayCount(), iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLegNotional, indexIbor, spread, payFixed, calendar);
    }
    final SwapFixedIborDefinition swap = SwapFixedIborDefinition.from(effectiveDate, maturityDate, tenorFixed, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(), fixedLeg.isEom(),
        fixedLegNotional, fixedLeg.getRate(), tenorIbor, iborLeg.getDayCount(), iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLegNotional, indexIbor, payFixed, calendar);
    return swap;
  }
View Full Code Here
120
121
122
123
124
125
126
127
128
129
130
    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.hashCode() == modifiedSwaption.hashCode());
    modifiedSwaption = SwaptionPhysicalFixedIborDefinition.from(SETTLEMENT_DATE, SWAP, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    final IndexSwap cmsIndex = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition otherSwap = SwapFixedIborDefinition.from(SETTLEMENT_DATE, cmsIndex, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    modifiedSwaption = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, otherSwap, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.equals(EXPIRY_DATE));
    assertFalse(SWAPTION.equals(null));
  }
View Full Code Here
120
121
122
123
124
125
126
127
128
129
130
    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.hashCode() == modifiedSwaption.hashCode());
    modifiedSwaption = SwaptionCashFixedIborDefinition.from(SETTLEMENT_DATE, SWAP, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    final IndexSwap cmsIndex = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition otherSwap = SwapFixedIborDefinition.from(SETTLEMENT_DATE, cmsIndex, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    modifiedSwaption = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, otherSwap, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.equals(EXPIRY_DATE));
    assertFalse(SWAPTION.equals(null));
  }
View Full Code Here
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
    final InstrumentDerivative[] swap = new InstrumentDerivative[nbSwap];

    for (int loops = 0; loops < nbSwap; loops++) {
      final double rate = RATE_FIXED - 0.0050 + loops * BP1;
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, rate, true);
      swap[loops] = swapDefinition.toDerivative(referenceDate);
    }

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      for (int loops = 0; loops < nbSwap; loops++) {
        pv[loops] = swap[loops].accept(pvdCalculator, MULTICURVES);
      }
    }
    endTime = System.currentTimeMillis();
    System.out.println("SwapCalculatorTest: " + nbTest + " x " + nbSwap + " swaps (5Y/Q) - present value " + (endTime - startTime) + " ms");
    // Performance note: Discounting price: 13-Mar-2013: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: xx ms for 100x100 swaps.

    startTime = System.currentTimeMillis(); // Swap construction + PV
    for (int looptest = 0; looptest < nbTest; looptest++) {
      for (int loops = 0; loops < nbSwap; loops++) {
        final double rate = RATE_FIXED - 0.0050 + loops * BP1;
        final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, rate, true);
        swap[loops] = swapDefinition.toDerivative(referenceDate);
      }
      for (int loops = 0; loops < nbSwap; loops++) {
        pv[loops] = swap[loops].accept(pvdCalculator, MULTICURVES);
      }
    }
View Full Code Here
109
110
111
112
113
114
115
116
117
118
  @Test
  public void parSpreadFixedIborBeforeFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 14);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
    final double parSpread = swap.accept(PSC, CURVES);
    final SwapFixedIborDefinition swap0Definition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, RATE_FIXED + parSpread, true);
    final SwapFixedCoupon<Coupon> swap0 = swap0Definition.toDerivative(referenceDate, CURVE_NAMES);
    final double pv = swap0.accept(PVC, CURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv, 0, TOLERANCE_PV);
  }
View Full Code Here
120
121
122
123
124
125
126
127
128
129
  @Test
  public void parSpreadFixedIborAfterFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 16);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final double parSpread = swap.accept(PSC, CURVES);
    final SwapFixedIborDefinition swap0Definition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, RATE_FIXED + parSpread, true);
    final SwapFixedCoupon<Coupon> swap0 = swap0Definition.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final double pv = swap0.accept(PVC, CURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv, 0, TOLERANCE_PV);
  }
View Full Code Here
815
816
817
818
819
820
821
822
823
824
    final boolean eom = false;
    final Period indexTenor = Period.ofMonths(3);
    final int spotLagIndex = 2;
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, "USD 3m Libor");
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", Period.ofMonths(6), ACT_360, iborIndex, CALENDAR);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(DateUtils.getUTCDate(2013, 6, 19), Period.ofYears(10), generator, 1, rate, false);
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), underlying, 1);
    final SwapFuturesPriceDeliverableTransactionDefinition transaction = new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, NOW, price, 1);
    assertEquals(transaction, definition);
  }
View Full Code Here
110
111
112
113
114
115
116
117
118
119
120
  @Test
  /**
   * Tests the payer/receiver parity for swaptions present value.
   */
  public void presentValuePayerReceiverParity() {
    final SwapFixedIborDefinition swapDefinitionPay = SwapFixedIborDefinition.from(SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
    final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[2] });
    final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[2] });
    final CurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, CURVES_BLACK);
    final CurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, CURVES_BLACK);
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition
  • com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableSecurityDefinition
  • com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition
  • com.opengamma.analytics.financial.instrument.payment.CapFloorCMSSpreadDefinition
  • com.opengamma.analytics.financial.instrument.payment.CouponCMSDefinition
  • com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinitionTest
  • com.opengamma.analytics.financial.interestrate.BlackSensitivityFromSABRSensitivityCalculatorTest
  • com.opengamma.analytics.financial.interestrate.swap.method.SwapCalculatorTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.