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

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

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    final double factorSpot = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), settlementDate,
        couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, _couponPerYear);
    final double factorPeriod = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(),
        couponDefinition.getNthPayment(0).getAccrualEndDate(), couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, _couponPerYear);
    final double factor = (factorPeriod - factorSpot) / factorPeriod;
    final BondFixedSecurity bondStandard = new BondFixedSecurity(nominalStandard, couponStandard, settleTime, accruedInterestAtSettle, factor, getYieldConvention(),
        _couponPerYear, riskFreeCurveName, getIssuer());
    return bondStandard;

  }
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    final double factorSpot = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), settlementDate,
        couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, _couponPerYear);
    final double factorPeriod = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(),
        couponDefinition.getNthPayment(0).getAccrualEndDate(), couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, _couponPerYear);
    final double factor = (factorPeriod - factorSpot) / factorPeriod;
    final BondFixedSecurity bondStandard = new BondFixedSecurity(nominalStandard, couponStandard, settleTime, accruedInterestAtSettle, factor, getYieldConvention(),
        _couponPerYear, getIssuer());
    return bondStandard;

  }
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  }

  @Test
  public void dirtyPriceFromYieldGermanLastPeriod() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2022, 5, 15); // In last period
    final BondFixedSecurity bondSecurity = BOND_DE_SECURITY_DEFINITION.toDerivative(referenceDate, CURVES_NAME);
    final double yield = 0.02;
    final double dirtyPrice = METHOD.dirtyPriceFromYield(bondSecurity, yield);
    final double dirtyPriceExpected = (1 + RATE_DE / COUPON_PER_YEAR_DE) / (1 + bondSecurity.getAccrualFactorToNextCoupon() * yield / COUPON_PER_YEAR_DE);
    assertEquals("Fixed coupon bond security: dirty price from yield German bond - last period", dirtyPriceExpected, dirtyPrice, TOLERANCE_PRICE);
  }
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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);
    final double yield = 0.04;
    final double dirtyPrice = METHOD_BOND_SECURITY.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, TOLERANCE_PRICE);
  }
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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);
    final double yield = 0.04;
    final double dirtyPrice = METHOD_BOND_SECURITY.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, TOLERANCE_PRICE);
  }
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      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_2, forwardDate[loopdate]);
      cleanPriceForward[loopdate] = METHOD_BOND_SECURITY.cleanPriceFromCurves(bondForward, ISSUER_MULTICURVES);
    }
    //Test note: 0.03425 is roughly the difference between the coupon and the risk/free 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*0.0100)*exp(t*0.0120) - 0.04625/2 = 1.59276E-05;
    //           if the coupon is not included the impact is 0 (t=?). 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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  @Test
  public void presentValueFixedExDividend() {
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_UK, ISSUER_MULTICURVES);
    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(GBP, MATURITY_DATE_UK, START_ACCRUAL_DATE_UK, PAYMENT_TENOR_UK, RATE_UK, SETTLEMENT_DAYS_UK, NOTIONAL_UK,
        0, CALENDAR_UK, DAY_COUNT_UK, BUSINESS_DAY_UK, YIELD_CONVENTION_UK, IS_EOM_UK, ISSUER_UK, "RepoType");
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3);
    final MultipleCurrencyAmount pvNoEx = METHOD_BOND_SECURITY.presentValue(BondNoEx, ISSUER_MULTICURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_UK.getCoupons().getNthPayment(17);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, GBP, ISSUER_UK);
    final MultipleCurrencyAmount pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3).accept(PVDC, multicurvesDecorated);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx.getAmount(GBP) - pvCpn.getAmount(GBP), pv.getAmount(GBP), TOLERANCE_PV);
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  }

  @Test
  public void dirtyPriceFromYieldUKLastPeriod() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2014, 6, 3); // In last period
    final BondFixedSecurity bondSecurity = BOND_FIXED_SECURITY_DEFINITION_UK.toDerivative(referenceDate);
    final double yield = 0.04;
    final double dirtyPrice = METHOD_BOND_SECURITY.dirtyPriceFromYield(bondSecurity, yield);
    final double dirtyPriceExpected = (1 + RATE_UK / COUPON_PER_YEAR_G) * Math.pow(1 + yield / COUPON_PER_YEAR_G, -bondSecurity.getAccrualFactorToNextCoupon());
    assertEquals("Fixed coupon bond security: dirty price from yield UK - last period", dirtyPriceExpected, dirtyPrice, 1E-8);
  }
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  @Test
  public void presentValueFixedExDividend() {
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_G, CURVES);
    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(CUR_G, MATURITY_DATE_G, START_ACCRUAL_DATE_G, PAYMENT_TENOR_G, RATE_G, SETTLEMENT_DAYS_G, NOTIONAL_G, 0,
        CALENDAR_G, DAY_COUNT_G, BUSINESS_DAY_G, YIELD_CONVENTION_G, IS_EOM_G, ISSUER_G, REPO_TYPE_G);
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3, CURVES_NAME);
    final double pvNoEx = METHOD.presentValue(BondNoEx, CURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_G.getCoupons().getNthPayment(17);
    final double pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3, CURVES_NAME).accept(PVC, CURVES);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx - pvCpn, pv, 1.0E-6);
  }
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  }

  @Test
  public void dirtyPriceFromYieldUKLastPeriod() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2014, 6, 3); // In last period
    final BondFixedSecurity bondSecurity = BOND_FIXED_SECURITY_DEFINITION_G.toDerivative(referenceDate, CURVES_NAME);
    final double yield = 0.04;
    final double dirtyPrice = METHOD.dirtyPriceFromYield(bondSecurity, yield);
    final double dirtyPriceExpected = (1 + RATE_G / COUPON_PER_YEAR_G) * Math.pow(1 + yield / COUPON_PER_YEAR_G, -bondSecurity.getAccrualFactorToNextCoupon());
    assertEquals("Fixed coupon bond security: dirty price from yield UK - last period", dirtyPriceExpected, dirtyPrice, TOLERANCE_PRICE);
  }
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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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