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

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

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  @Override
  public DepositCounterpart toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    ArgumentChecker.isTrue(!date.isAfter(getEndDate()), "date is after end date");
    final double startTime = TimeCalculator.getTimeBetween(date, getStartDate());
    if (startTime < 0) {
      return new DepositCounterpart(getCurrency(), 0, TimeCalculator.getTimeBetween(date, getEndDate()), getNotional(), 0, getRate(), getAccrualFactor(), _name, yieldCurveNames[0]);
    }
    return new DepositCounterpart(getCurrency(), startTime, TimeCalculator.getTimeBetween(date, getEndDate()), getNotional(), getNotional(), getRate(), getAccrualFactor(), _name, yieldCurveNames[0]);
  }
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  @Override
  public DepositCounterpart toDerivative(final ZonedDateTime date) {
    ArgumentChecker.isTrue(!date.isAfter(getEndDate()), "date is after end date");
    final double startTime = TimeCalculator.getTimeBetween(date, getStartDate());
    if (startTime < 0) {
      return new DepositCounterpart(getCurrency(), 0, TimeCalculator.getTimeBetween(date, getEndDate()), getNotional(), 0, getRate(), getAccrualFactor(), _name);
    }
    return new DepositCounterpart(getCurrency(), startTime, TimeCalculator.getTimeBetween(date, getEndDate()), getNotional(), getNotional(), getRate(), getAccrualFactor(), _name);
  }
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  /**
   * Tests present value when the valuation date is on trade date.
   */
  public void presentValueTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, PROVIDER_ISSUER);
    final double dfEnd = PROVIDER_ISSUER.getDiscountFactor(ISSUER_CCY, deposit.getEndTime());
    final double dfStart = PROVIDER_ISSUER.getDiscountFactor(ISSUER_CCY, deposit.getStartTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd - NOTIONAL * dfStart;
    assertEquals("DepositCounterpartDiscountingMethod: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Tests present value when the valuation date is on trade date. Compare Method to Calculator.
   */
  public void presentValueMethodVsCalculator() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount pvMethod = METHOD_DEPOSIT.presentValue(deposit, PROVIDER_ISSUER);
    final MultipleCurrencyAmount pvCalculator = deposit.accept(PVC, PROVIDER_ISSUER);
    assertEquals("DepositCounterpartDiscountingMethod: present value", pvMethod, pvCalculator);
  }
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  /**
   * Tests present value.
   */
  public void presentValueBetweenTradeAndSettle() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
    final DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, PROVIDER_ISSUER);
    final double dfEnd = PROVIDER_ISSUER.getDiscountFactor(ISSUER_CCY, deposit.getEndTime());
    final double dfStart = PROVIDER_ISSUER.getDiscountFactor(ISSUER_CCY, deposit.getStartTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd - NOTIONAL * dfStart;
    assertEquals("DepositCounterpartDiscountingMethod: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Tests present value.
   */
  public void presentValueSettle() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, PROVIDER_ISSUER);
    final double dfEnd = PROVIDER_ISSUER.getDiscountFactor(ISSUER_CCY, deposit.getEndTime());
    final double dfStart = PROVIDER_ISSUER.getDiscountFactor(ISSUER_CCY, deposit.getStartTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd - NOTIONAL * dfStart;
    assertEquals("DepositCounterpartDiscountingMethod: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Tests present value.
   */
  public void presentValueBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, PROVIDER_ISSUER);
    final double dfEnd = PROVIDER_ISSUER.getDiscountFactor(ISSUER_CCY, deposit.getEndTime());
    final double pvExpected = (NOTIONAL + deposit.getInterestAmount()) * dfEnd;
    assertEquals("DepositCounterpartDiscountingMethod: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  /**
   * Tests present value.
   */
  public void presentValueMaturity() {
    final ZonedDateTime referenceDate = END_DATE;
    final DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyAmount pvComputed = METHOD_DEPOSIT.presentValue(deposit, PROVIDER_ISSUER);
    final double pvExpected = NOTIONAL + deposit.getInterestAmount();
    assertEquals("DepositCounterpartDiscountingMethod: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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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 DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyParameterSensitivity pvpsDepositExact = PS_PV_C.calculateSensitivity(deposit, PROVIDER_ISSUER, PROVIDER_ISSUER.getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PV_FDC.calculateSensitivity(deposit, PROVIDER_ISSUER);
    AssertSensivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }
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  /**
   * Tests present value curve sensitivity when the valuation date is between settle date and maturity.
   */
  public void presentValueCurveSensitivityBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MultipleCurrencyParameterSensitivity pvpsDepositExact = PS_PV_C.calculateSensitivity(deposit, PROVIDER_ISSUER, PROVIDER_ISSUER.getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PV_FDC.calculateSensitivity(deposit, PROVIDER_ISSUER);
    AssertSensivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositCounterpart

  • com.opengamma.analytics.financial.instrument.cash.definition.DepositCounterpartyDefinitionTest
  • com.opengamma.analytics.financial.instrument.cash.DepositCounterpartDefinition
  • com.opengamma.analytics.financial.interestrate.cash.provider.DepositCounterpartDiscountingMethodTest
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