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

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

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    switch (inflationNode.getInflationNodeType()) {
      case INTERPOLATED:
      {
        final CouponInflationZeroCouponInterpolationDefinition inflationCoupon = CouponInflationZeroCouponInterpolationDefinition.from(settlementDate, paymentDate,
            -notional, index, conventionalMonthLag, monthLag, false);
        return new SwapFixedInflationZeroCouponDefinition(fixedCoupon, inflationCoupon, calendar);
      }
      case MONTHLY:
      {
        final CouponInflationZeroCouponMonthlyDefinition inflationCoupon = CouponInflationZeroCouponMonthlyDefinition.from(settlementDate, paymentDate, -notional,
            index, conventionalMonthLag, monthLag, false);
        return new SwapFixedInflationZeroCouponDefinition(fixedCoupon, inflationCoupon, calendar);
      }
      default:
        throw new OpenGammaRuntimeException("Could not handle inflation nodes of type " + inflationNode.getInflationNodeType());
    }
  }
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    final CurveBuildingBlockBundle blocks7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond();
    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final double notional = 100000;
    final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
    final SwapFixedInflationZeroCouponDefinition swapDefinition = GENERATOR_INFALTION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW, new ZonedDateTimeDoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY});
    final ParameterInflationSensitivityParameterCalculator<InflationProviderInterface> PSC = new ParameterInflationSensitivityParameterCalculator<>(PVCSDIC);
    final MarketQuoteInflationSensitivityBlockCalculator<InflationProviderInterface> MQSC = new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
  }
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    final CurveBuildingBlockBundle blocks7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond();
    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final double notional = 100000;
    final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
    final SwapFixedInflationZeroCouponDefinition swapDefinition = GENERATOR_INFLATION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW, new ZonedDateTimeDoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY});
    final ParameterInflationSensitivityParameterCalculator<InflationProviderInterface> PSC = new ParameterInflationSensitivityParameterCalculator<>(PVCSDIC);
    final MarketQuoteInflationSensitivityBlockCalculator<InflationProviderInterface> MQSC = new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
  }
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  public void swapFixedInflationZeroCouponMonthlyConstructor() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponMonthlyDefinition inflationCpn = new CouponInflationZeroCouponMonthlyDefinition(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, 3, REFERENCE_START_DATE_MONTHLY, REFERENCE_END_DATES[0], false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, -NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    final SwapFixedInflationZeroCouponDefinition generateSwap = GENERATOR_SWAP_INFLATION_PIECEWISE.generateInstrument(TODAY, zeroCpnRate, NOTIONAL, ATTRIBUTE);
    assertEquals("Swap zero-coupon inflation constructor", swap, generateSwap);
  }
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  public void swapFixedInflationZeroCouponInterpolationConstructor() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL,
        PRICE_INDEX_EUR, MONTH_LAG, REFERENCE_START_DATES, REFERENCE_END_DATES, false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, -NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    final SwapFixedInflationZeroCouponDefinition generateSwap = GENERATOR_SWAP_INFLATION_LINEAR.generateInstrument(TODAY, zeroCpnRate, NOTIONAL, ATTRIBUTE);
    assertEquals("Swap zero-coupon inflation constructor", swap, generateSwap);
  }
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              throw new OpenGammaRuntimeException("Could not get market data for " + node.getIdentifier());
            }
            final InstrumentDefinition<?> definitionForNode = node.getCurveNode().accept(getCurveNodeConverter(conventionSource, holidaySource, regionSource,
                snapshot, node.getIdentifier(), timeSeries, now));
            // Construction of the first guess for the root finder
            final SwapFixedInflationZeroCouponDefinition swap = (SwapFixedInflationZeroCouponDefinition) definitionForNode;
            final CouponInflationDefinition couponInflation = (CouponInflationDefinition) swap.getSecondLeg().getNthPayment(swap.getSecondLeg().getNumberOfPayments() - 1);
            final CouponFixedCompoundingDefinition couponFix = (CouponFixedCompoundingDefinition) swap.getFirstLeg().getNthPayment(swap.getFirstLeg().getNumberOfPayments() - 1);
            if (couponInflation instanceof CouponInflationZeroCouponInterpolationDefinition) {
              final CouponInflationZeroCouponInterpolationDefinition coupon = (CouponInflationZeroCouponInterpolationDefinition) couponInflation;
              parameterGuessForCurves[k] = 100.0 * Math.pow((1 + marketData), couponFix.getPaymentAccrualFactors().length);
            } else {
              final CouponInflationZeroCouponMonthlyDefinition coupon = (CouponInflationZeroCouponMonthlyDefinition) couponInflation;
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Related Classes of com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinition

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  • com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationDefinition
  • com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyDefinition
  • com.opengamma.analytics.financial.instrument.payment.CouponFixedCompoundingDefinition
  • com.opengamma.analytics.financial.provider.curve.InflationBuildingCurveWithDiscountAndSeasonalityTestUS
  • com.opengamma.analytics.financial.provider.curve.InflationBuildingCurveWithDiscountTestEUR
  • com.opengamma.financial.analytics.curve.ZeroCouponInflationNodeConverter
  • com.opengamma.financial.analytics.model.curve.InflationProviderDiscountingFunction$MyCompiledFunctionDefinition
  • org.threeten.bp.ZonedDateTime
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