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

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

174
175
176
177
178
179
180
        } else {
          cpnList.add(((CouponIborRatchetDefinition) cpn).toDerivative(date, yieldCurveNames));
        }
      }
    }
    return new AnnuityCouponIborRatchet(cpnList.toArray(EMPTY_ARRAY_CPN));
  }
View Full Code Here
234
235
236
237
238
239
240
        } else {
          cpnList.add(((CouponIborRatchetDefinition) cpn).toDerivative(date));
        }
      }
    }
    return new AnnuityCouponIborRatchet(cpnList.toArray(EMPTY_ARRAY_CPN));
  }
View Full Code Here
147
148
149
150
151
152
153
154
155
156
157
158
159
   */
  public void toDerivativesFixingNotUsedDeprecated() {
    final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        FIRST_CPN_RATE, MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(REFERENCE_DATE, 0.0);
    final AnnuityCouponIborRatchet annuity = annuityDefinition.toDerivative(REFERENCE_DATE, fixingTS, CURVES_NAMES);
    final Coupon[] cpn = new Coupon[NB_COUPON];
    for (int loopcpn = 0; loopcpn < NB_COUPON; loopcpn++) {
      cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE, CURVES_NAMES);
    }
    final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
    assertEquals("Annuity Ratchet Ibor: toDerivatives", annuity, annuity2);
  }
View Full Code Here
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
   */
  public void toDerivativesIborNotFixedDeprecated() {
    final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(REFERENCE_DATE.minusDays(1), 0.02);
    final AnnuityCouponIborRatchet annuity = annuityDefinition.toDerivative(REFERENCE_DATE, fixingTS, CURVES_NAMES);
    final Coupon[] cpn = new Coupon[NB_COUPON];
    cpn[0] = ((CouponIborGearingDefinition) annuityDefinition.getNthPayment(0)).toDerivative(REFERENCE_DATE, fixingTS, CURVES_NAMES);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE, CURVES_NAMES);
    }
    final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      assertEquals("Annuity Ratchet Ibor: toDerivatives " + loopcpn, annuity.getNthPayment(loopcpn), annuity2.getNthPayment(loopcpn));
    }
  }
View Full Code Here
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
   */
  public void toDerivativesIborFixedDeprecated() {
    final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(REFERENCE_DATE, 0.02);
    final AnnuityCouponIborRatchet annuity = annuityDefinition.toDerivative(REFERENCE_DATE, fixingTS, CURVES_NAMES);
    final Coupon[] cpn = new Coupon[NB_COUPON];
    cpn[0] = ((CouponIborGearingDefinition) annuityDefinition.getNthPayment(0)).toDerivative(REFERENCE_DATE, fixingTS, CURVES_NAMES);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE, CURVES_NAMES);
    }
    final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      assertEquals("Annuity Ratchet Ibor: toDerivatives " + loopcpn, annuity.getNthPayment(loopcpn), annuity2.getNthPayment(loopcpn));
    }
  }
View Full Code Here
219
220
221
222
223
224
225
226
    cpn[0] = new CouponFixed(CUR, TimeCalculator.getTimeBetween(referenceDate, annuityDefinition.getNthPayment(1).getPaymentDate()), DISCOUNTING_CURVE_NAME, annuityDefinition.getNthPayment(1)
        .getPaymentYearFraction(), NOTIONAL, rate, annuityDefinition.getNthPayment(1).getAccrualStartDate(), annuityDefinition.getNthPayment(1).getAccrualEndDate());
    for (int loopcpn = 1; loopcpn < NB_COUPON - 1; loopcpn++) {
      cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn + 1).toDerivative(referenceDate, CURVES_NAMES);
    }
    final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
    assertEquals("Annuity Ratchet Ibor: toDerivatives", annuity, annuity2);
  }
View Full Code Here
265
266
267
268
269
270
271
272
273
274
275
276
277
   */
  public void toDerivativesFixingNotUsed() {
    final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        FIRST_CPN_RATE, MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(REFERENCE_DATE, 0.0);
    final AnnuityCouponIborRatchet annuity = annuityDefinition.toDerivative(REFERENCE_DATE, fixingTS);
    final Coupon[] cpn = new Coupon[NB_COUPON];
    for (int loopcpn = 0; loopcpn < NB_COUPON; loopcpn++) {
      cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE);
    }
    final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
    assertEquals("Annuity Ratchet Ibor: toDerivatives", annuity, annuity2);
  }
View Full Code Here
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
   */
  public void toDerivativesIborNotFixed() {
    final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(REFERENCE_DATE.minusDays(1), 0.02);
    final AnnuityCouponIborRatchet annuity = annuityDefinition.toDerivative(REFERENCE_DATE, fixingTS);
    final Coupon[] cpn = new Coupon[NB_COUPON];
    cpn[0] = ((CouponIborGearingDefinition) annuityDefinition.getNthPayment(0)).toDerivative(REFERENCE_DATE, fixingTS);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE);
    }
    final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      assertEquals("Annuity Ratchet Ibor: toDerivatives " + loopcpn, annuity.getNthPayment(loopcpn), annuity2.getNthPayment(loopcpn));
    }
  }
View Full Code Here
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
   */
  public void toDerivativesIborFixed() {
    final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(REFERENCE_DATE, 0.02);
    final AnnuityCouponIborRatchet annuity = annuityDefinition.toDerivative(REFERENCE_DATE, fixingTS);
    final Coupon[] cpn = new Coupon[NB_COUPON];
    cpn[0] = ((CouponIborGearingDefinition) annuityDefinition.getNthPayment(0)).toDerivative(REFERENCE_DATE, fixingTS);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE);
    }
    final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      assertEquals("Annuity Ratchet Ibor: toDerivatives " + loopcpn, annuity.getNthPayment(loopcpn), annuity2.getNthPayment(loopcpn));
    }
  }
View Full Code Here
334
335
336
337
338
339
340
341
    cpn[0] = new CouponFixed(CUR, TimeCalculator.getTimeBetween(referenceDate, annuityDefinition.getNthPayment(1).getPaymentDate()), annuityDefinition.getNthPayment(1)
        .getPaymentYearFraction(), NOTIONAL, rate, annuityDefinition.getNthPayment(1).getAccrualStartDate(), annuityDefinition.getNthPayment(1).getAccrualEndDate());
    for (int loopcpn = 1; loopcpn < NB_COUPON - 1; loopcpn++) {
      cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn + 1).toDerivative(referenceDate);
    }
    final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
    assertEquals("Annuity Ratchet Ibor: toDerivatives", annuity, annuity2);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponIborRatchet

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinitionTest
  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetLMMMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.provider.AnnuityCouponIborRatchetHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.provider.AnnuityCouponIborRatchetLMMMethodTest
  • com.opengamma.analytics.financial.interestrate.ParRateCalculator
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing
    • 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.