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

Examples of com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationYearOnYearMonthly

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          .getExpiryTimes(), cap.getReferenceEndTime()[1]));
      _instrumentStrikeIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective) _calibrationObjective).getInflationCapYearOnYearParameters().getStrikes(),
          cap.getStrike()));
    }
    if (instrument instanceof CapFloorInflationYearOnYearMonthly) {
      final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) instrument;
      _calibrationTimes.add(cap.getPaymentTime());
      _instrumentExpiryIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective) _calibrationObjective).getInflationCapYearOnYearParameters()
          .getExpiryTimes(), cap.getReferenceEndTime()));
      _instrumentStrikeIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective) _calibrationObjective).getInflationCapYearOnYearParameters().getStrikes(),
          cap.getStrike()));
    }

    if (instrument instanceof Annuity) {
      final Annuity<?> annuity = (Annuity<?>) instrument;
      ArgumentChecker.isTrue((annuity.getNthPayment(annuity.getNumberOfPayments() - 1) instanceof CapFloorInflationYearOnYearInterpolation) ||
          (annuity.getNthPayment(annuity.getNumberOfPayments() - 1) instanceof CapFloorInflationYearOnYearMonthly),
          "Instrument should be cap inflation year on year.");

      if (annuity.getNthPayment(annuity.getNumberOfPayments() - 1) instanceof CapFloorInflationYearOnYearInterpolation) {
        final CapFloorInflationYearOnYearInterpolation cap = (CapFloorInflationYearOnYearInterpolation) annuity.getNthPayment(annuity.getNumberOfPayments() - 1);
        _calibrationTimes.add(cap.getPaymentTime());
        _instrumentExpiryIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective) _calibrationObjective).getInflationCapYearOnYearParameters()
            .getExpiryTimes(), cap.getReferenceEndTime()[1]));
        _instrumentStrikeIndex.add(Arrays.binarySearch(
            ((SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective) _calibrationObjective).getInflationCapYearOnYearParameters().getStrikes(),
            cap.getStrike()));
      }
      if (annuity.getNthPayment(annuity.getNumberOfPayments() - 1) instanceof CapFloorInflationYearOnYearMonthly) {
        final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) annuity.getNthPayment(annuity.getNumberOfPayments() - 1);
        _calibrationTimes.add(cap.getPaymentTime());
        _instrumentExpiryIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective) _calibrationObjective).getInflationCapYearOnYearParameters()
            .getExpiryTimes(), cap.getReferenceEndTime()));
        _instrumentStrikeIndex.add(Arrays.binarySearch(
            ((SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective) _calibrationObjective).getInflationCapYearOnYearParameters().getStrikes(),
            cap.getStrike()));
      }

    }
  }
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    final double referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    final ZonedDateTime naturalPaymentEndDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentEndDate);
    final ZonedDateTime naturalPaymentstartDate = naturalPaymentEndDate.minusMonths(12);
    final double naturalPaymentStartTime = TimeCalculator.getTimeBetween(date, naturalPaymentstartDate);
    return new CapFloorInflationYearOnYearMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), lastKnownFixingTime,
        referenceStartTime, naturalPaymentStartTime, referenceEndTime, naturalPaymentEndTime, _strike, _isCap);
  }
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    final double referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    final ZonedDateTime naturalPaymentEndDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentEndDate);
    final ZonedDateTime naturalPaymentstartDate = naturalPaymentEndDate.minusMonths(12);
    final double naturalPaymentStartTime = TimeCalculator.getTimeBetween(date, naturalPaymentstartDate);
    return new CapFloorInflationYearOnYearMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), lastKnownFixingTime,
        referenceStartTime, naturalPaymentStartTime, referenceEndTime, naturalPaymentEndTime, _strike, _isCap);
  }
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    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
    final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
    final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
    final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
    final CapFloorInflationYearOnYearMonthly zeroCoupon = new CapFloorInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, lastKnownFixingTime, referenceStartTime,
        naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, STRIKE, IS_CAP);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCouponConverted, zeroCoupon);
  }
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    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
    final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
    final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
    final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
    final CapFloorInflationYearOnYearMonthly zeroCoupon = new CapFloorInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, lastKnownFixingTime, referenceStartTime,
        naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, STRIKE, IS_CAP);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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            tenor, COUPON_PAYMENT_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM, MONTH_LAG, MONTH_LAG, LAST_KNOWN_FIXING_DATE, strikes[loop1], IS_CAP);
        CAPS[loop1][loop2] = CAP_DEFINITIONS[loop1][loop2].toDerivative(REFERENCE_DATE);
      }
    }
    for (int loopexp = 0; loopexp < CAPS[0][availabelTenor.length - 1].getNumberOfPayments(); loopexp++) {
      final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS[0][availabelTenor.length - 1].getNthPayment(loopexp);
      expiryTimes[loopexp] = cap.getReferenceEndTime();
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes, strikes, volatilities, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderInterface> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);
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            tenor, COUPON_PAYMENT_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM, MONTH_LAG, MONTH_LAG, LAST_KNOWN_FIXING_DATE, strikes_AVAILABLE[loop1], IS_CAP);
        CAPS_AVAILABLE[loop1][loop2] = CAP_DEFINITIONS_AVAILABLE[loop1][loop2].toDerivative(REFERENCE_DATE);
      }
    }
    for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
      final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
      expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime();
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);
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            tenor, COUPON_PAYMENT_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM, MONTH_LAG, MONTH_LAG, LAST_KNOWN_FIXING_DATE, strikes_AVAILABLE[loop1], isCap);
        CAPS_AVAILABLE[loop1][loop2] = CAP_DEFINITIONS_AVAILABLE[loop1][loop2].toDerivative(REFERENCE_DATE);
      }
    }
    for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
      final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
      expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime();
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);
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            tenor, COUPON_PAYMENT_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM, MONTH_LAG, MONTH_LAG, LAST_KNOWN_FIXING_DATE, strikes_AVAILABLE[loop1], IS_CAP);
        CAPS_AVAILABLE[loop1][loop2] = CAP_DEFINITIONS_AVAILABLE[loop1][loop2].toDerivative(REFERENCE_DATE);
      }
    }
    for (int loopexp = 0; loopexp < availabelTenor.length; loopexp++) {
      final CapFloorInflationYearOnYearMonthly cap = (CapFloorInflationYearOnYearMonthly) CAPS_AVAILABLE[0][loopexp].getNthPayment(CAPS_AVAILABLE[0][loopexp].getNumberOfPayments() - 1);
      expiryTimes_AVAILABLE[loopexp] = cap.getReferenceEndTime();
    }
    final InflationYearOnYearCapFloorParameters parameters = new InflationYearOnYearCapFloorParameters(expiryTimes_AVAILABLE, strikes_AVAILABLE, volatilities_AVAILABLE, PRICE_INDEX_EUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective objective = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective(parameters, CUR);
    final SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<InflationProviderDiscount> calibrationEngine = new SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine<>(
        objective);
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Related Classes of com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationYearOnYearMonthly

  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearMonthlyDefinition
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearMonthlyDefinitionTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorYearOnYearCalibrationObjectiveTest
  • com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationEngine
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