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

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

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  @Override
  public DepositZero toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    ArgumentChecker.isTrue(!date.isAfter(_endDate), "date is after end date");
    final double startTime = TimeCalculator.getTimeBetween(date.toLocalDate(), _startDate.toLocalDate());
    if (startTime < 0) {
      return new DepositZero(_currency, 0, TimeCalculator.getTimeBetween(date, _endDate), 0, _notional, _paymentAccrualFactor, _rate, _interestAmount, yieldCurveNames[0]);
    }
    return new DepositZero(_currency, startTime, TimeCalculator.getTimeBetween(date, _endDate), _notional, _notional, _paymentAccrualFactor, _rate, _interestAmount, yieldCurveNames[0]);
  }
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  @Override
  public DepositZero toDerivative(final ZonedDateTime date) {
    ArgumentChecker.isTrue(!date.isAfter(_endDate), "date is after end date");
    final double startTime = TimeCalculator.getTimeBetween(date.toLocalDate(), _startDate.toLocalDate());
    if (startTime < 0) {
      return new DepositZero(_currency, 0, TimeCalculator.getTimeBetween(date, _endDate), 0, _notional, _paymentAccrualFactor, _rate, _interestAmount);
    }
    return new DepositZero(_currency, startTime, TimeCalculator.getTimeBetween(date, _endDate), _notional, _notional, _paymentAccrualFactor, _rate, _interestAmount);
  }
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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 DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pvMethod = 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, pvMethod.getAmount(), TOLERANCE_PRICE);
    final double pvCalculator = deposit.accept(PVC, CURVES);
    assertEquals("DepositDefinition: present value", pvMethod.getAmount(), pvCalculator, TOLERANCE_PRICE);
  }
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  /**
   * Tests present value.
   */
  public void presentValueBetweenTradeAndSettle() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
    final DepositZero 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 presentValueSettle() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pvMethod = 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, pvMethod.getAmount(), TOLERANCE_PRICE);
    final double pvCalculator = deposit.accept(PVC, CURVES);
    assertEquals("DepositDefinition: present value", pvMethod.getAmount(), pvCalculator, TOLERANCE_PRICE);
  }
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  /**
   * Tests present value.
   */
  public void presentValueBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final DepositZero 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 DepositZero 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 DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final InterestRateCurveSensitivity pvcsMethod = METHOD_DEPOSIT.presentValueCurveSensitivity(deposit, CURVES);
    assertEquals("DepositDefinition: present value curve sensitivity", 1, pvcsMethod.getSensitivities().size());
    assertEquals("DepositDefinition: present value curve sensitivity", 2, pvcsMethod.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 DepositZero 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 = pvcsMethod.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 DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    InterestRateCurveSensitivity pvcsMethod = METHOD_DEPOSIT.presentValueCurveSensitivity(deposit, CURVES);
    pvcsMethod = pvcsMethod.cleaned(0.0, 1.0E-4);
    assertEquals("DepositDefinition: present value curve sensitivity", 1, pvcsMethod.getSensitivities().size());
    assertEquals("DepositDefinition: present value curve sensitivity", 1, pvcsMethod.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 DepositZero depositBumped = DEPOSIT_DEFINITION.toDerivative(referenceDate, bumpedCurveName);
    final double[] nodeTimesDisc = new double[] {deposit.getEndTime() };
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(depositBumped, CURVES, CURVES_NAME[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_DEPOSIT);
    final List<DoublesPair> sensiPvDisc = pvcsMethod.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 the par rate when the valuation date is on trade date.
   */
  public void parRateTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final double prMethod = METHOD_DEPOSIT.parRate(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 rcc = Math.log(dfStart / dfEnd) / deposit.getPaymentAccrualFactor();
    final double prExpected = deposit.getRate().fromContinuous(new ContinuousInterestRate(rcc)).getRate();
    assertEquals("DepositZero: par rate", prExpected, prMethod, TOLERANCE_RATE);
    final double prCalculator = deposit.accept(PRC, CURVES);
    assertEquals("DepositZero: par rate", prMethod, prCalculator, TOLERANCE_RATE);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  • com.opengamma.analytics.financial.instrument.cash.definition.DepositZeroDefinitionTest
  • com.opengamma.analytics.financial.instrument.cash.DepositZeroDefinition
  • com.opengamma.analytics.financial.interestrate.cash.method.DepositZeroDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.LastTimeCalculatorTest
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