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

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

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    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime() - 0.01, IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), !IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    final SwapFixedIborDefinition otherSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedCoupon<Coupon> otherSwap = otherSwapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), otherSwap, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    assertFalse(SWAPTION_LONG_PAYER.equals(EXPIRY_DATE));
    assertFalse(SWAPTION_LONG_PAYER.equals(null));
  }
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    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime() - 0.01, IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), !IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    final SwapFixedIborDefinition otherSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedCoupon<Coupon> otherSwap = otherSwapDefinition.toDerivative(REFERENCE_DATE);
    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), otherSwap, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    assertFalse(SWAPTION_LONG_PAYER.equals(EXPIRY_DATE));
    assertFalse(SWAPTION_LONG_PAYER.equals(null));
  }
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    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime() - 0.01, IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), !IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    final SwapFixedIborDefinition otherSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedCoupon<Coupon> otherSwap = otherSwapDefinition.toDerivative(REFERENCE_DATE);
    modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), otherSwap, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    assertFalse(SWAPTION_LONG_PAYER.equals(EXPIRY_DATE));
    assertFalse(SWAPTION_LONG_PAYER.equals(null));
  }
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    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime() - 0.01, IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), !IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    final SwapFixedIborDefinition otherSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedCoupon<Coupon> otherSwap = otherSwapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), otherSwap, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    assertFalse(SWAPTION_LONG_PAYER.equals(EXPIRY_DATE));
    assertFalse(SWAPTION_LONG_PAYER.equals(null));
  }
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   */
  public static CouponCMSDefinition from(final ZonedDateTime paymentDate, final ZonedDateTime accrualStartDate, final ZonedDateTime accrualEndDate, final double accrualFactor, final double notional,
      final IndexSwap cmsIndex, final Calendar iborCalendar) {
    final ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(accrualStartDate, -cmsIndex.getIborIndex().getSpotLag(), iborCalendar);
    // Implementation comment: the underlying swap is used for forward. The notional, rate and payer flag are irrelevant.
    final SwapFixedIborDefinition underlyingSwap = SwapFixedIborDefinition.from(accrualStartDate, cmsIndex, 1.0, 1.0, true, iborCalendar);
    return new CouponCMSDefinition(underlyingSwap.getCurrency(), paymentDate, accrualStartDate, accrualEndDate, accrualFactor, notional, fixingDate, underlyingSwap, cmsIndex);
  }
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  public static CouponCMSDefinition from(final CouponFloatingDefinition coupon, final IndexSwap cmsIndex, final Calendar iborCalendar) {
    ArgumentChecker.notNull(coupon, "floating coupon");
    ArgumentChecker.notNull(cmsIndex, "CMS index");
    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(coupon.getFixingDate(), cmsIndex.getIborIndex().getSpotLag(), iborCalendar);
    // Implementation comment: the underlying swap is used for forward. The notional, rate and payer flag are irrelevant.
    final SwapFixedIborDefinition underlyingSwap = SwapFixedIborDefinition.from(settlementDate, cmsIndex, 1.0, 1.0, true, iborCalendar);
    return new CouponCMSDefinition(coupon.getCurrency(), coupon.getPaymentDate(), coupon.getAccrualStartDate(), coupon.getAccrualEndDate(), coupon.getPaymentYearFraction(), coupon.getNotional(),
        coupon.getFixingDate(), underlyingSwap, cmsIndex);
  }
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   */
  public static CapFloorCMSDefinition from(final ZonedDateTime paymentDate, final ZonedDateTime accrualStartDate, final ZonedDateTime accrualEndDate, final double accrualFactor,
      final double notional, final IndexSwap cmsIndex, final double strike, final boolean isCap, final Calendar calendar) {
    final ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(accrualStartDate, -cmsIndex.getIborIndex().getSpotLag(), calendar);
    // Implementation comment: the underlying swap is used for forward. The notional, rate and payer flag are irrelevant.
    final SwapFixedIborDefinition underlyingSwap = SwapFixedIborDefinition.from(accrualStartDate, cmsIndex, 1.0, 1.0, true, calendar);
    return from(paymentDate, accrualStartDate, accrualEndDate, accrualFactor, notional, fixingDate, underlyingSwap, cmsIndex, strike, isCap);
  }
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  /**
   * Tests long/short parity.
   */
  public void scaling() {
    final double scale = 12.3;
    final SwapFixedIborDefinition scaledSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, scale * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition scaledSwaptionDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, scaledSwapDefinition, IS_LONG);
    final SwaptionCashFixedIbor scaledSwaption = scaledSwaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CurrencyAmount pvOriginal = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
    final CurrencyAmount pvScaled = METHOD_HW_INTEGRATION.presentValue(scaledSwaption, BUNDLE_HW);
    assertEquals("Swaption cash - Hull-White - present value - scaling", scale * pvOriginal.getAmount(), pvScaled.getAmount(), 1E-1);
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    final double[] pvPayerApproximation = new double[strikeRel.length];
    final double[] pvPayerIntegration = new double[strikeRel.length];
    final double[] pvReceiverApproximation = new double[strikeRel.length];
    final double[] pvReceiverIntegration = new double[strikeRel.length];
    for (int loopstrike = 0; loopstrike < strikeRel.length; loopstrike++) {
      final SwapFixedIborDefinition swapStrikePayerDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikePayerDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikePayerDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikePayer = swaptionStrikePayerDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      pvPayerApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikePayer, BUNDLE_HW).getAmount();
      pvPayerIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikePayer, BUNDLE_HW).getAmount();
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvPayerApproximation[loopstrike], pvPayerIntegration[loopstrike], errorLimit);
      final SwapFixedIborDefinition swapStrikeReceiverDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], !FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikeReceiverDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikeReceiverDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikeReceiver = swaptionStrikeReceiverDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      pvReceiverApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikeReceiver, BUNDLE_HW).getAmount();
      pvReceiverIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikeReceiver, BUNDLE_HW).getAmount();
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvReceiverApproximation[loopstrike], pvReceiverIntegration[loopstrike], errorLimit);
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  public void testPresentValueExtra() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double highStrike = 0.10;
    final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedIborDefinition swapDefinitionReceiverHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, !FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionLongReceiverHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionReceiverHighStrike, IS_LONG);
    final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
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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
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