Package com.opengamma.analytics.financial.interestrate

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

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  public static YieldPeriodicCurve fromYieldsInterpolated(final double[] nodePoints, final double[] yields, final int compoundingPeriodsPerYear, final Interpolator1D interpolator, final String name) {
    final int nbYields = yields.length;
    ArgumentChecker.isTrue(nodePoints.length == nbYields, "Yields array of incorrect length");
    final double[] yieldPeriodic = new double[nbYields];
    for (int loopy = 0; loopy < nbYields; loopy++) {
      final InterestRate continous = new ContinuousInterestRate(yields[loopy]);
      yieldPeriodic[loopy] = continous.toPeriodic(compoundingPeriodsPerYear).getRate();
    }
    final InterpolatedDoublesCurve curve = new InterpolatedDoublesCurve(nodePoints, yieldPeriodic, interpolator, false);
    return new YieldPeriodicCurve(name, compoundingPeriodsPerYear, curve);
  }
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  @Override
  public double getPeriodicInterestRate(final double t, final int compoundingPeriodsPerYear) {
    if (compoundingPeriodsPerYear == _compoundingPeriodsPerYear) {
      _curve.getYValue(t);
    }
    final InterestRate rc = new PeriodicInterestRate(_curve.getYValue(t), _compoundingPeriodsPerYear);
    // Implementation note: rate in the composition of the storage.
    final InterestRate rq = rc.toPeriodic(compoundingPeriodsPerYear);
    return rq.getRate();
  }
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  public double parRate(final DepositZero deposit, final YieldCurveBundle curves) {
    final YieldAndDiscountCurve dsc = curves.getCurve(deposit.getDiscountingCurveName());
    final double startTime = deposit.getStartTime();
    final double endTime = deposit.getEndTime();
    final double rcc = Math.log(dsc.getDiscountFactor(startTime) / dsc.getDiscountFactor(endTime)) / deposit.getPaymentAccrualFactor();
    final InterestRate rate = deposit.getRate().fromContinuous(new ContinuousInterestRate(rcc));
    return rate.getRate();
  }
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    ArgumentChecker.notNull(deposit, "deposit");
    ArgumentChecker.notNull(curves, "curves");
    final double dfStart = curves.getCurve(deposit.getDiscountingCurveName()).getDiscountFactor(deposit.getStartTime());
    final double dfEnd = curves.getCurve(deposit.getDiscountingCurveName()).getDiscountFactor(deposit.getEndTime());
    final double ccrs = Math.log(deposit.getInitialAmount() * dfStart / (deposit.getNotional() * dfEnd)) / deposit.getPaymentAccrualFactor();
    final InterestRate rs = deposit.getRate().fromContinuous(new ContinuousInterestRate(ccrs));
    return rs.getRate() - deposit.getRate().getRate();
  }
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    final Currency currency = security.getCurrency();
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime endDate = security.getMaturityDate();
    final ConventionBundle convention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, currency.getCode() + "_ZERO_DEPOSIT"));
    final DayCount daycount = convention.getDayCount();
    final InterestRate rate = new ContinuousInterestRate(security.getRate());
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, currency);
    return DepositZeroDefinition.from(currency, startDate, endDate, daycount, rate, calendar);
  }
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    final Currency currency = security.getCurrency();
    final ZonedDateTime startDate = security.getStartDate();
    final ZonedDateTime endDate = security.getMaturityDate();
    final ConventionBundle convention = _conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, currency.getCode() + "_ZERO_DEPOSIT"));
    final DayCount daycount = convention.getDayCount();
    final InterestRate rate = new PeriodicInterestRate(security.getRate(), (int) security.getCompoundingPeriodsPerYear());
    final Calendar calendar = new HolidaySourceCalendarAdapter(_holidaySource, currency);
    return DepositZeroDefinition.from(currency, startDate, endDate, daycount, rate, calendar);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.InterestRate

  • com.opengamma.analytics.financial.interestrate.cash.method.DepositZeroDiscountingMethod
  • com.opengamma.analytics.financial.model.interestrate.curve.YieldPeriodicCurve
  • com.opengamma.financial.analytics.conversion.ZeroDepositConverter
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