Package com.opengamma.analytics.financial.interestrate.bond.definition

Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity

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  }

  @Test
  public void dirtyPriceFromYieldUSStreetLastPeriod() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2016, 6, 3); // In last period
    final BondFixedSecurity bondSecurity = BOND_FIXED_SECURITY_DEFINITION.toDerivative(referenceDate, CURVES_NAME);
    final double yield = 0.04;
    final double dirtyPrice = METHOD.dirtyPriceFromYield(bondSecurity, yield);
    final double dirtyPriceExpected = (1 + RATE_FIXED / COUPON_PER_YEAR) / (1 + bondSecurity.getAccrualFactorToNextCoupon() * yield / COUPON_PER_YEAR);
    assertEquals("Fixed coupon bond security: dirty price from yield US Street - last period", dirtyPriceExpected, dirtyPrice, 1E-8);
  }
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  }

  @Test
  public void modifiedDurationFromYieldUSStreetLastPeriod() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2016, 6, 3); // In last period
    final BondFixedSecurity bondSecurity = BOND_FIXED_SECURITY_DEFINITION.toDerivative(referenceDate, CURVES_NAME);
    final double yield = 0.04;
    final double dirtyPrice = METHOD.modifiedDurationFromYield(bondSecurity, yield);
    final double dirtyPriceExpected = bondSecurity.getAccrualFactorToNextCoupon() / COUPON_PER_YEAR / (1 + bondSecurity.getAccrualFactorToNextCoupon() * yield / COUPON_PER_YEAR);
    assertEquals("Fixed coupon bond security: modified duration from yield US Street - last period", dirtyPriceExpected, dirtyPrice, 1E-8);
  }
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      forwardDate[loopdate] = ScheduleCalculator.getAdjustedDate(forwardDate[loopdate - 1], 1, CALENDAR);
      jumpDays[loopdate - 1] = forwardDate[loopdate].getLong(JulianFields.MODIFIED_JULIAN_DAY) - forwardDate[loopdate - 1].getLong(JulianFields.MODIFIED_JULIAN_DAY);
    }
    final double[] cleanPriceForward = new double[nbDateForward];
    for (int loopdate = 0; loopdate < nbDateForward; loopdate++) {
      final BondFixedSecurity bondForward = BOND_FIXED_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_US_2, forwardDate[loopdate], CURVES_NAME);
      cleanPriceForward[loopdate] = METHOD.cleanPriceFromCurves(bondForward, CURVES);
    }
    //Test note: 0.005 is roughly the difference between the coupon and the repo rate. The clean price is decreasing naturally by this amount divided by (roughly) 365 every day.
    //Test note: On the coupon date there is a jump in the clean price: If the coupon is included the clean price due to coupon is 0.04625/2*exp(-t*0.05)*exp(t*0.04) - 0.04625/2 = 7.94738E-05;
    //           if the coupon is not included the impact is 0. The clean price is thus expected to jump by the above amount when the settlement is on the coupon date 15-May-2012.
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   * @param cleanPrice The bond clean price.
   * @return The present value.
   */
  public double presentValueFromCleanPrice(final BondSecurity<? extends Payment, ? extends Coupon> bond, final YieldCurveBundle curves, final double cleanPrice) {
    Validate.isTrue(bond instanceof BondFixedSecurity, "Present value from clean price available only for fixed coupon bond");
    final BondFixedSecurity bondFixed = (BondFixedSecurity) bond;
    final double dfSettle = curves.getCurve(bondFixed.getRepoCurveName()).getDiscountFactor(bondFixed.getSettlementTime());
    final double pvPrice = (cleanPrice * bondFixed.getCoupon().getNthPayment(0).getNotional() + bondFixed.getAccruedInterest()) * dfSettle;
    return pvPrice;
  }
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   * @param cleanPrice The bond clean price.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValueFromCleanPrice(final BondSecurity<? extends Payment, ? extends Coupon> bond, final MulticurveProviderInterface multicurves, final double cleanPrice) {
    Validate.isTrue(bond instanceof BondFixedSecurity, "Present value from clean price available only for fixed coupon bond");
    final BondFixedSecurity bondFixed = (BondFixedSecurity) bond;
    final double dfSettle = multicurves.getDiscountFactor(bond.getCurrency(), bondFixed.getSettlementTime());
    final double pvPrice = (cleanPrice * bondFixed.getCoupon().getNthPayment(0).getNotional() + bondFixed.getAccruedInterest()) * dfSettle;
    return MultipleCurrencyAmount.of(bond.getCurrency(), pvPrice);
  }
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    // Implementation note: First yield curve used for coupon and notional (credit), the second for risk free settlement.
    ArgumentChecker.notNull(date, "date");
    ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
    ArgumentChecker.isTrue(yieldCurveNames.length > 0, "at least one curve required");
    final ZonedDateTime spot = ScheduleCalculator.getAdjustedDate(date, getUnderlyingBond().getSettlementDays(), getUnderlyingBond().getCalendar());
    final BondFixedSecurity bondPurchase = getUnderlyingBond().toDerivative(date, getSettlementDate(), yieldCurveNames);
    final BondFixedSecurity bondStandard = getUnderlyingBond().toDerivative(date, yieldCurveNames);
    final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
    int couponIndex = 0; // The index of the coupon of the spot date.
    for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
      if (getUnderlyingBond().getCoupons().getNthPayment(loopcpn).getAccrualEndDate().isAfter(spot)) {
        couponIndex = loopcpn;
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  @Override
  public BondFixedTransaction toDerivative(final ZonedDateTime date) {
    ArgumentChecker.notNull(date, "date");
    final ZonedDateTime spot = ScheduleCalculator.getAdjustedDate(date, getUnderlyingBond().getSettlementDays(), getUnderlyingBond().getCalendar());
    final BondFixedSecurity bondPurchase = getUnderlyingBond().toDerivative(date, getSettlementDate());
    final BondFixedSecurity bondStandard = getUnderlyingBond().toDerivative(date);
    final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
    int couponIndex = 0; // The index of the coupon of the spot date.
    for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
      if (getUnderlyingBond().getCoupons().getNthPayment(loopcpn).getAccrualEndDate().isAfter(spot)) {
        couponIndex = loopcpn;
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   * @return The factor.
   */
  public double conversionFactorLiffe(final BondFixedSecurityDefinition bondDefinition, final ZonedDateTime deliveryDate, final double notionalCoupon) {
    Validate.notNull(bondDefinition, "Bond definition");
    Validate.notNull(deliveryDate, "Delivery date");
    final BondFixedSecurity bond = bondDefinition.toDerivative(deliveryDate, deliveryDate);
    final double cleanPrice = METHOD_BOND_SECURITY.cleanPriceFromYield(bond, notionalCoupon);
    return cleanPrice;
  }
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  }

  public double conversionFactorEuronext(final BondFixedSecurityDefinition bondDefinition, final ZonedDateTime deliveryDate, final double notionalCoupon) {
    Validate.notNull(bondDefinition, "Bond definition");
    Validate.notNull(deliveryDate, "Delivery date");
    final BondFixedSecurity bond = bondDefinition.toDerivative(deliveryDate, deliveryDate);
    final double cleanPrice = METHOD_BOND_SECURITY.cleanPriceFromYield(bond, notionalCoupon);
    return cleanPrice;
  }
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  public BondFixedSecurity visitBondFixedSecurity(final BondFixedSecurity bond, final Double rate) {
    final double originalRate = bond.getCoupon().getNthPayment(0).getFixedRate();
    final double accruedInterest = rate * bond.getAccruedInterest() / originalRate;
    final AnnuityCouponFixed originalCoupons = (AnnuityCouponFixed) bond.getCoupon();
    final AnnuityCouponFixed coupons = visitFixedCouponAnnuity(originalCoupons, rate);
    return new BondFixedSecurity((AnnuityPaymentFixed) bond.getNominal(), coupons, bond.getSettlementTime(), accruedInterest, bond.getAccrualFactorToNextCoupon(), bond.getYieldConvention(),
        bond.getCouponPerYear(), bond.getRepoCurveName(), bond.getIssuer());
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity

  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondFixedTransactionDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedTransactionDefinitionTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDEDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityUKDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityUSDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethodTest
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