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

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.Cash

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  /**
   * Tests present value.
   */
  public void presentValueSettle() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, CURVES);
    final double dfEnd = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getEndTime());
    final double dfStart = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getStartTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd - NOTIONAL * dfStart;
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PRICE);
  }
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  /**
   * Tests present value.
   */
  public void presentValueBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, CURVES);
    final double dfEnd = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getEndTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd;
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PRICE);
  }
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  /**
   * Tests present value.
   */
  public void presentValueMaturity() {
    final ZonedDateTime referenceDate = END_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, CURVES);
    final double pvExpected = NOTIONAL + deposit.getInterestAmount();
    assertEquals("DepositDefinition: present value", pvExpected, pvComputed.getAmount(), TOLERANCE_PRICE);
  }
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  /**
   * Tests present value curve sensitivity when the valuation date is on trade date.
   */
  public void presentValueCurveSensitivityTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final InterestRateCurveSensitivity pvcsComputed = METHOD_DEPOSIT.presentValueCurveSensitivity(deposit, CURVES);
    assertEquals("DepositDefinition: present value curve sensitivity", 1, pvcsComputed.getSensitivities().size());
    assertEquals("DepositDefinition: present value curve sensitivity", 2, pvcsComputed.getSensitivities().get(CURVES_NAME[0]).size());
    final double deltaShift = 1.0E-6;
    // Discounting curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final Cash depositBunped = DEPOSIT_DEFINITION.toDerivative(referenceDate, bumpedCurveName);
    final double[] nodeTimesDisc = new double[] {deposit.getStartTime(), deposit.getEndTime() };
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(depositBunped, CURVES, CURVES_NAME[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_DEPOSIT);
    final List<DoublesPair> sensiPvDisc = pvcsComputed.getSensitivities().get(CURVES_NAME[0]);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
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  /**
   * Tests present value curve sensitivity when the valuation date is on trade date.
   */
  public void presentValueCurveSensitivityBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    InterestRateCurveSensitivity pvcsComputed = METHOD_DEPOSIT.presentValueCurveSensitivity(deposit, CURVES);
    pvcsComputed = pvcsComputed.cleaned(0.0, 1.0E-4);
    assertEquals("DepositDefinition: present value curve sensitivity", 1, pvcsComputed.getSensitivities().size());
    assertEquals("DepositDefinition: present value curve sensitivity", 1, pvcsComputed.getSensitivities().get(CURVES_NAME[0]).size());
    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;
    // Discounting curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final Cash depositBunped = DEPOSIT_DEFINITION.toDerivative(referenceDate, bumpedCurveName);
    final double[] nodeTimesDisc = new double[] {deposit.getEndTime() };
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(depositBunped, CURVES, CURVES_NAME[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_DEPOSIT);
    final List<DoublesPair> sensiPvDisc = pvcsComputed.getSensitivities().get(CURVES_NAME[0]);
    final DoublesPair pairPv = sensiPvDisc.get(0);
    assertEquals("Sensitivity coupon pv to forward curve: Node " + 0, nodeTimesDisc[0], pairPv.getFirst(), 1E-8);
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  /**
   * Tests parRate when the present is before the deposit start date.
   */
  public void parRateBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final double parRate = METHOD_DEPOSIT.parRate(deposit, CURVES);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, parRate, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, CURVES);
    assertEquals("DepositDefinition: par rate", 0, pv0.getAmount(), TOLERANCE_PRICE);
  }
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    assertEquals(b2, VISITOR.visitBondFixedSecurity(b1, R2));
  }

  @Test
  public void testCash() {
    final Cash c1 = new Cash(CUR, 0, 1, 1, R1, 1, N1);
    final Cash c2 = new Cash(CUR, 0, 1, 1, R2, 1, N1);
    assertEquals(c1.accept(VISITOR, R2), c2);
  }
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  public void testCash() {
    final double t = 7 / 365.0;
    final double tradeTime = 2.0 / 365.0;
    final double yearFrac = 5.0 / 360.0;

    Cash cash = new Cash(CUR, tradeTime, t, 1, 0, yearFrac, FIVE_PC_CURVE_NAME);
    final double rate = cash.accept(PRC, CURVES);
    cash = new Cash(CUR, tradeTime, t, 1, rate, yearFrac, FIVE_PC_CURVE_NAME);
    assertEquals(0.0, cash.accept(PVC, CURVES), 1e-12);
  }
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            final Tenor tenor = strip.getCurveNodePointTime();
            final ZonedDateTime paymentDate = spotDate.plus(tenor.getPeriod()); // ScheduleCalculator.getAdjustedDate(spotDate, tenor.getPeriod(), MOD_FOL, calendar, true);
            final double startTime = 0.0; // TimeCalculator.getTimeBetween(valuationDateTime, spotDate);
            final double endTime = tenor.getPeriod().toTotalMonths() / 12.0d; // TimeCalculator.getTimeBetween(valuationDateTime, paymentDate);
            final double accrualFactor = dayCount.getDayCountFraction(valuationDateTime, valuationDateTime.plus(tenor.getPeriod()), calendar);
            final Cash cashFXCurve = new Cash(_currency, startTime, endTime, 1, 0, accrualFactor, fullYieldCurveName);
            final double parRate = METHOD_CASH.parRate(cashFXCurve, curves);
            final Cash cashDepositCurve = new Cash(_currency, startTime, endTime, 1, 0, accrualFactor, impliedDepositCurveName);
            derivatives.add(cashDepositCurve);
            t[i] = endTime;
            r[i++] = parRate;
          }
          final CombinedInterpolatorExtrapolator interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(_interpolatorName, _leftExtrapolatorName,
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Related Classes of com.opengamma.analytics.financial.interestrate.cash.derivative.Cash

  • com.opengamma.analytics.example.curveconstruction.CashExample
  • com.opengamma.analytics.example.curveconstruction.CurveConstructionExample
  • com.opengamma.analytics.financial.instrument.cash.CashDefinition
  • com.opengamma.analytics.financial.instrument.cash.definition.CashDefinitionTest
  • com.opengamma.analytics.financial.interestrate.cash.method.CashDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.cash.provider.CashDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.LastTimeCalculatorTest
  • com.opengamma.analytics.financial.interestrate.MultipleYieldCurveFinderDataBundleTest
  • com.opengamma.analytics.financial.interestrate.MultipleYieldCurveFinderFunctionTest
  • com.opengamma.analytics.financial.interestrate.ParRateCalculatorTest
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