Package com.opengamma.analytics.financial.interestrate

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

98
99
100
101
102
103
104
105
106
107
  @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();
  }
View Full Code Here
107
108
109
110
111
112
113
114
115
116
117
    for (int i = 0; i < _n; i++) {
      // Convert the ZonedDateTimes to doubles
      final double dayCountFraction = dayCount.getDayCountFraction(baseDate, curveDates[i]);
      times[i] = dayCountFraction;
      // Convert the discrete rates to continuous ones
      continuousRates[i] = new PeriodicInterestRate(rates[i], 1).toContinuous().getRate();
      _shiftedTimePoints[i] = dayCountFraction + _offset;
    }

    // Choose interpolation/extrapolation to match the behavior of curves in the ISDA CDS reference code
    if (_n > 1) {
View Full Code Here
321
322
323
324
325
326
327
328
329
330
331
   */
  public void parSpreadTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final double psMethod = METHOD_DEPOSIT.parSpread(deposit, CURVES);
    final DepositZeroDefinition deposit0Definition = new DepositZeroDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, DEPOSIT_AF, new PeriodicInterestRate(RATE_FIGURE + psMethod, 1));
    final DepositZero deposit0 = deposit0Definition.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, CURVES);
    assertEquals("DepositZero: par spread", 0, pv0.getAmount(), TOLERANCE_PRICE);
    final double psCalculator = deposit.accept(PSC, CURVES);
    assertEquals("DepositZero: par rate", psMethod, psCalculator, TOLERANCE_RATE);
View Full Code Here
109
110
111
112
113
114
115
116
    assertFalse("DepositZeroDefinition: equal-hash code", DEPOSIT_DEFINITION.equals(modified));
    modified = new DepositZeroDefinition(Currency.EUR, SPOT_DATE, END_DATE, NOTIONAL + 1000, DEPOSIT_AF, RATE);
    assertFalse("DepositZeroDefinition: equal-hash code", DEPOSIT_DEFINITION.equals(modified));
    modified = new DepositZeroDefinition(Currency.EUR, SPOT_DATE, END_DATE, NOTIONAL, DEPOSIT_AF + 0.01, RATE);
    assertFalse("DepositZeroDefinition: equal-hash code", DEPOSIT_DEFINITION.equals(modified));
    modified = new DepositZeroDefinition(Currency.EUR, SPOT_DATE, END_DATE, NOTIONAL, DEPOSIT_AF, new PeriodicInterestRate(RATE_FIGURE, 1));
    assertFalse("DepositZeroDefinition: equal-hash code", DEPOSIT_DEFINITION.equals(modified));
  }
View Full Code Here
403
404
405
406
407
408
409
410
411
412
413
    Double rate;
    int i = 0;

    for (final ISDAStagedCurve.Point dataPoint : curveData.getPoints()) {
      date = LocalDate.parse(dataPoint.getDate(), formatter);
      rate = (new PeriodicInterestRate(Double.valueOf(dataPoint.getRate()),1)).toContinuous().getRate();
      times[i] = dayCount.getDayCountFraction(baseDate, date);
      rates[i++] = rate;
    }

    return new ISDACurve(curveName, times, rates, offset);
View Full Code Here
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
        s_act365.getDayCountFraction(baseDate2, zdt(2038, 9, 22, 0, 0, 0, 0, ZoneOffset.UTC)),
    };

    // The rates at each timenode ...
    final double[] interestRates = {
        (new PeriodicInterestRate(0.00452115893602745000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.00965814197655757000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01256719569422680000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01808999617970230000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01966710100627830000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02112741666666660000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01809534760435110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01655763824251000000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.01880609764411780000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02033274208031280000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02201082479582110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02329627269146610000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02457991990962620000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02564349380607000000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02664198869678810000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02747534265210970000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02822421752113560000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02887011718207980000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.02947938315126190000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03001849170997110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03051723047721790000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03096814372457490000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03140378315953840000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03180665717369410000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03220470040815960000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03257895748982500000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03300576868204530000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03339934269742980000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03371439235915700000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03401013049588440000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03427957764613110000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03453400145380310000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03476707646146720000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03498827591548650000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03504602653686710000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03510104623115760000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03515188034751750000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03519973661653090000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03524486925430900000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03528773208373260000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03532784361012300000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03536647655059340000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03540272683370320000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03543754047166620000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03539936837313170000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03536201961264760000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03532774866571060000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03529393446018300000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03526215518920560000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03523175393297300000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03520264296319420000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03517444167763210000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03514783263597550000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03512186451200650000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03510945878934860000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03509733233582990000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03508585365890470000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03507449693456950000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03506379166273740000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03505346751846350000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03504350450444570000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03503383205190350000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03502458863645770000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.03501550511625420000, 1)).toContinuous().getRate()
    };

    // -----------------------------------------------------------------------------------------------------------

    // The hazard rate term structure (assumed to have been calibrated previously)

    final double[] timeNodesHazardRate = {
        0.0,
        s_act365.getDayCountFraction(baseDate, zdt(2013, 06, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
        s_act365.getDayCountFraction(baseDate, zdt(2015, 06, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
        s_act365.getDayCountFraction(baseDate, zdt(2018, 06, 20, 0, 0, 0, 0, ZoneOffset.UTC))
    };

    final double[] hazardRates = {
        (new PeriodicInterestRate(0.09709857471184660000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.09709857471184660000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.09705141266558010000, 1)).toContinuous().getRate(),
        (new PeriodicInterestRate(0.09701141671498870000, 1)).toContinuous().getRate()
    };

    // ----------------------------------------------------------------------------------------------------------

    // The valuation date (today)
View Full Code Here
105
106
107
108
109
110
111
112
113
114
115
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
    modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL + 10, DEPOSIT_AF, RATE, INTEREST_AMOUNT, CURVE_NAME);
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
    modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF + 0.01, RATE, INTEREST_AMOUNT, CURVE_NAME);
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
    modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, new PeriodicInterestRate(RATE_FIGURE, 1), INTEREST_AMOUNT, CURVE_NAME);
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
    modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT + 10, CURVE_NAME);
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
    modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT, "Wrong");
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
View Full Code Here
102
103
104
105
106
107
108
109
110
111
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
    modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL + 10, DEPOSIT_AF, RATE, INTEREST_AMOUNT);
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
    modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF + 0.01, RATE, INTEREST_AMOUNT);
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
    modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, new PeriodicInterestRate(RATE_FIGURE, 1), INTEREST_AMOUNT);
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
    modified = new DepositZero(EUR, START_TIME, END_TIME, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, INTEREST_AMOUNT + 10);
    assertFalse("DepositZero: equal-hash code", DEPOSIT.equals(modified));
  }
View Full Code Here
127
128
129
130
131
132
133
134
135
136
    final double[] times = {
      s_act365.getDayCountFraction(baseDate, zdt(2008, 2, 12, 0, 0, 0, 0, ZoneOffset.UTC))
    };

    final double[] rates = {
        (new PeriodicInterestRate(0.81582707425206369, 1)).toContinuous().getRate()
    };

    return new ISDACurve("HAZARD_RATE_CURVE", times, rates, 0.0);
  }
View Full Code Here
190
191
192
193
194
195
196
197
198
199
200
201
202
      s_act365.getDayCountFraction(baseDate, zdt(2015, 06, 20, 0, 0, 0, 0, ZoneOffset.UTC)),
      s_act365.getDayCountFraction(baseDate, zdt(2018, 06, 20, 0, 0, 0, 0, ZoneOffset.UTC))
    };

    final double[] rates = {
      (new PeriodicInterestRate(0.09709857471184660000,1)).toContinuous().getRate(),
      (new PeriodicInterestRate(0.09709857471184660000,1)).toContinuous().getRate(),
      (new PeriodicInterestRate(0.09705141266558010000,1)).toContinuous().getRate(),
      (new PeriodicInterestRate(0.09701141671498870000,1)).toContinuous().getRate()
    };

    return new ISDACurve("HAZARD_RATE_CURVE", times, rates, 0.0);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.interestrate.PeriodicInterestRate

  • com.opengamma.analytics.financial.credit.cds.ISDAApproxCDSPricingMethodTestData
  • com.opengamma.analytics.financial.credit.cds.ISDAModelTest
  • com.opengamma.analytics.financial.credit.cds.ISDATestGridHarness
  • com.opengamma.analytics.financial.credit.isdayieldcurve.ISDADateCurve
  • com.opengamma.analytics.financial.instrument.cash.definition.DepositZeroDefinitionTest
  • com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZeroTest
  • com.opengamma.analytics.financial.interestrate.cash.derivative.DeprecatedDepositZeroTest
  • com.opengamma.analytics.financial.interestrate.cash.method.DepositZeroDiscountingMethodTest
  • com.opengamma.analytics.financial.model.interestrate.curve.YieldPeriodicCurve
  • com.opengamma.financial.analytics.conversion.ZeroDepositConverter
    • 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.