Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InstrumentDerivative

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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument, final int unit, final boolean withToday) {
    InstrumentDerivative ird;
    if (instrument instanceof SwapFixedONDefinition) {
      ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
    } else {
      ird = instrument.toDerivative(NOW);
    }
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    final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
    for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
      instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
      int loopins = 0;
      for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
        InstrumentDerivative ird;
        if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
          final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
          final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
          ird = new Swap<>(ird1, ird2);
        }
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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) {
    InstrumentDerivative ird;
    if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
      final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
      final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
      ird = new Swap<>(ird1, ird2);
    }
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   */
  public void presentValueMethodVsCalculator() {
    final MultipleCurrencyAmount pvMethod = METHOD_FX_SWAP.presentValue(FX_SWAP, CURVES);
    final MultipleCurrencyAmount pvCalculator = FX_SWAP.accept(PVC_FX, CURVES);
    assertEquals("Forex present value: Method vs Calculator", pvMethod, pvCalculator);
    final InstrumentDerivative fxSwap = FX_SWAP;
    final MultipleCurrencyAmount pvMethod2 = METHOD_FX_SWAP.presentValue(fxSwap, CURVES);
    assertEquals("Forex present value: Method ForexSwap vs Method ForexDerivative", pvMethod, pvMethod2);
  }
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  @Test
  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentBeforeNearDate() {
    final InstrumentDerivative fx = FX_SWAP_DEFINITION.toDerivative(NEAR_DATE.minusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }
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  @Test
  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentOnNearDate() {
    final InstrumentDerivative fx = FX_SWAP_DEFINITION.toDerivative(NEAR_DATE, CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", FX_SWAP_DEFINITION.getNearLeg().getPaymentCurrency1().getReferenceAmount(), cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency1()),
        TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", FX_SWAP_DEFINITION.getNearLeg().getPaymentCurrency2().getReferenceAmount(), cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency2()),
        TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
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  @Test
  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentBeforeFarDate() {
    final InstrumentDerivative fx = FX_SWAP_DEFINITION.toDerivative(FAR_DATE.minusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(FX_SWAP_DEFINITION.getFarLeg().getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(FX_SWAP_DEFINITION.getFarLeg().getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }
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  @Test
  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentOnFarDate() {
    final InstrumentDerivative fx = FX_SWAP_DEFINITION.toDerivative(FAR_DATE, CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", FX_SWAP_DEFINITION.getFarLeg().getPaymentCurrency1().getReferenceAmount(), cash.getAmount(FX_SWAP_DEFINITION.getFarLeg().getCurrency1()),
        TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", FX_SWAP_DEFINITION.getFarLeg().getPaymentCurrency2().getReferenceAmount(), cash.getAmount(FX_SWAP_DEFINITION.getFarLeg().getCurrency2()),
        TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
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    final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
    for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
      instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
      int loopins = 0;
      for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
        InstrumentDerivative ird;
        if (instrument instanceof SwapFixedCompoundedONCompoundedDefinition) {
          ird = ((SwapFixedCompoundedONCompoundedDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
        } else {
          ird = instrument.toDerivative(NOW);
        }
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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument, final int unit, final boolean withToday) {
    InstrumentDerivative ird;
    if (instrument instanceof SwapFixedCompoundedONCompoundedDefinition) {
      ird = ((SwapFixedCompoundedONCompoundedDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
    } else {
      ird = instrument.toDerivative(NOW);
    }
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Related Classes of com.opengamma.analytics.financial.interestrate.InstrumentDerivative

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  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest
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