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

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

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

  }
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    final double referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    final double lastKnownFixingTime = TimeCalculator.getTimeBetween(date, getlastKnownFixingDate());
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CapFloorInflationZeroCouponMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), lastKnownFixingTime, fixedStartIndex, referenceEndTime,
        naturalPaymentEndTime, _maturity, _strike, _isCap);
  }
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    final double lastKnownFixingTime = TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
    final double naturalPaymentPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);

    final CapFloorInflationZeroCouponMonthly zeroCoupon = new CapFloorInflationZeroCouponMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, lastKnownFixingTime,
        INDEX_START_VALUE, referenceEndTime, naturalPaymentPaymentTime, MATURITY, STRIKE, IS_CAP);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCouponConverted, zeroCoupon);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationZeroCouponMonthly

  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationZeroCouponMonthlyDefinition
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationZeroCouponMonthlyDefinitionTest
  • com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine
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