Package com.opengamma.analytics.financial.interestrate.annuity.derivative

Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed

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    final double priceSwapPayer = SWAP_PAYER.accept(PVC, CURVES);
    final double priceSwapReceiver = SWAP_RECEIVER.accept(PVC, CURVES);
    assertEquals(priceSwapPayer, priceLongPayer + priceShortReceiver, 1E-2);
    assertEquals(priceSwapReceiver, priceLongReceiver + priceShortPayer, 1E-2);
    // Non-constant fixed rate/strike
    final AnnuityCouponFixed annuity = SWAP_PAYER.getFixedLeg();
    final CouponFixed[] coupon = new CouponFixed[annuity.getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < annuity.getNumberOfPayments(); loopcpn++) {
      // Step-up by 10bps
      coupon[loopcpn] = new CouponFixed(CUR, annuity.getNthPayment(loopcpn).getPaymentTime(), FUNDING_CURVE_NAME, annuity.getNthPayment(loopcpn).getPaymentYearFraction(), NOTIONAL
          * (FIXED_IS_PAYER ? -1 : 1), RATE + loopcpn * 0.001, annuity.getNthPayment(loopcpn).getAccrualStartDate(), annuity.getNthPayment(loopcpn).getAccrualEndDate());
    }
    final AnnuityCouponFixed annuityStepUp = new AnnuityCouponFixed(coupon);
    final SwapFixedCoupon<Coupon> swapStepup = new SwapFixedCoupon<>(annuityStepUp, SWAP_PAYER.getSecondLeg());
    final SwaptionPhysicalFixedIbor swaptionStepUp = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), swapStepup, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
    final double priceLongPayerStepUp = swaptionStepUp.accept(PVC, sabrBundle);
    final double expectedPriceLongPayerSteUp = 1757950.752;
    assertEquals(expectedPriceLongPayerSteUp, priceLongPayerStepUp, 1E-2);
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    final String fundingCurve = "Funding";
    final CouponFixed[] couponFixedConverted = new CouponFixed[PAYMENT_DATES.length];
    for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
      couponFixedConverted[loopcpn] = fixedAnnuity.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE, fundingCurve);
    }
    final AnnuityCouponFixed referenceAnnuity = new AnnuityCouponFixed(couponFixedConverted);
    final AnnuityCouponFixed convertedDefinition = fixedAnnuity.toDerivative(REFERENCE_DATE, fundingCurve);
    assertEquals(referenceAnnuity, convertedDefinition);
  }
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    final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons, CALENDAR);
    final CouponFixed[] couponFixedConverted = new CouponFixed[PAYMENT_DATES.length];
    for (int loopcpn = 0; loopcpn < PAYMENT_DATES.length; loopcpn++) {
      couponFixedConverted[loopcpn] = fixedAnnuity.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE);
    }
    final AnnuityCouponFixed referenceAnnuity = new AnnuityCouponFixed(couponFixedConverted);
    final AnnuityCouponFixed convertedDefinition = fixedAnnuity.toDerivative(REFERENCE_DATE);
    assertEquals(referenceAnnuity, convertedDefinition);
  }
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    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final CurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, CUR, CURVES_NAMES[0], BUNDLE_HW);

    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, TARGET, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL,
        FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final double pvFixedExpected = fixed.accept(PVC, CURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected, pvFixedMC.getAmount(), 2.0E+2);
  }
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    //    endTime = System.currentTimeMillis();
    //    System.out.println("PV Ratchet ibor - Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
    final CapFloorIborHullWhiteMethod methodCapHW = new CapFloorIborHullWhiteMethod();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, TARGET, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL,
        strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    double pvFlooredExpected = 0.0;
    pvFlooredExpected += ratchetFixed.getNthPayment(0).accept(PVC, CURVES);
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected += factor * methodCapHW.presentValue(cap.getNthPayment(loopcpn), BUNDLE_HW).getAmount();
      pvFlooredExpected += factor * fixed.getNthPayment(loopcpn).accept(PVC, CURVES);
    }
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in floor leg", pvFlooredExpected, pvFloorMC.getAmount(), 2.5E+3);
  }
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    //    endTime = System.currentTimeMillis();
    //    System.out.println("PV Ratchet ibor - Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
    final CapFloorIborHullWhiteMethod methodCapHW = new CapFloorIborHullWhiteMethod();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, TARGET, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL,
        strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(referenceDate, CURVES_NAMES);
    double pvFlooredExpected = 0.0;
    pvFlooredExpected += ratchetIbor.getNthPayment(0).accept(PVC, CURVES);
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected += factor * methodCapHW.presentValue(cap.getNthPayment(loopcpn), BUNDLE_HW).getAmount();
      pvFlooredExpected += factor * fixed.getNthPayment(loopcpn).accept(PVC, CURVES);
    }
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in floor leg", pvFlooredExpected, pvFlooredMC.getAmount(), 2.5E+3);
  }
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    for (int i = 0; i < n; i++) {
      paymentTimes[i] = (i + 1) * alpha;
      yearFracs[i] = yearFrac;
    }

    final AnnuityCouponFixed annuity = new AnnuityCouponFixed(CUR, paymentTimes, Math.PI, coupon, yearFracs, FIVE_PC_CURVE_NAME, isPayer);
    final Map<String, List<DoublesPair>> sense = annuity.accept(PVSC, CURVES);

    final List<DoublesPair> senseAnal = clean(sense.get(FIVE_PC_CURVE_NAME), eps, eps);
    final List<DoublesPair> senseFD = curveSensitvityFDCalculator(annuity, PVC, CURVES, FIVE_PC_CURVE_NAME, paymentTimes, eps);
    assertSensitivityEquals(senseFD, senseAnal, eps);
  }
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    assertEquals(c1.accept(VISITOR, R2), c2);
  }

  @Test
  public void testFixedCouponAnnuity() {
    final AnnuityCouponFixed c1 = new AnnuityCouponFixed(CUR, new double[] {1, 2 }, R1, true);
    final AnnuityCouponFixed c2 = new AnnuityCouponFixed(CUR, new double[] {1, 2 }, R2, true);
    assertEquals(c1.accept(VISITOR, R2), c2);
  }
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      coupons[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon);
      couponsUp[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon + DELTA);
      couponsDown[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon - DELTA);
    }
    final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, tau * n, 1, FIVE_PC_CURVE_NAME)});
    final BondFixedSecurity bond = new BondFixedSecurity(nominal, new AnnuityCouponFixed(coupons), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final BondFixedSecurity bondUp = new BondFixedSecurity(nominal, new AnnuityCouponFixed(couponsUp), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final BondFixedSecurity bondDown = new BondFixedSecurity(nominal, new AnnuityCouponFixed(couponsDown), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final double pvUp = bondUp.accept(PVC, CURVES);
    final double pvDown = bondDown.accept(PVC, CURVES);
    final double temp = (pvUp - pvDown) / 2 / DELTA;
    assertEquals(temp, bond.accept(PVCSC, CURVES), 1e-10);
  }
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    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX_EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_EURIBOR3M.getTenor(), TARGET, INDEX_EURIBOR3M.getDayCount(),
        INDEX_EURIBOR3M.getBusinessDayConvention(), INDEX_EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final double pvFixedExpected = fixed.accept(PVC, CURVES);
    final CurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, EUR, CURVES.getCurve(CURVES_NAMES[0]), BUNDLE_LMM);
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected, pvFixedMC.getAmount(), 1.0E+2);
    // For 500,000 path the difference is 1.65
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed

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  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetLMMMethodTest
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