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

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

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

com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationYearOnYearInterpolationWithMargin
Class describing an Year on Year inflation coupon. The index for a given month is given in the yield curve and in the time series on the first of the month. The pay-off is paymentYearFraction*((final index / start index - 1)+Margin) * notional if the notional is not paid and final index / start index * notional if the notional is paid.

    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, getReferenceEndDate()[1]);
    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 CouponInflationYearOnYearInterpolationWithMargin(_factor, getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime,
        naturalPaymentStartTime,
        referenceEndTime,
        naturalPaymentEndTime, _payNotional, _weightStart, _weightEnd);
  }

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    referenceStartTime[1] = TimeCalculator.getTimeBetween(date, getReferenceStartDate()[1]);
    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 CouponInflationYearOnYearInterpolationWithMargin(_factor, getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime,
        naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional, _weightStart, _weightEnd);
  }

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    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, getReferenceEndDate()[1]);
    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 CouponInflationYearOnYearInterpolationWithMargin(_factor, getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime,
        naturalPaymentStartTime,
        referenceEndTime,
        naturalPaymentEndTime, _payNotional, _weightStart, _weightEnd);
  }

View Full Code Here

    referenceStartTime[1] = TimeCalculator.getTimeBetween(date, getReferenceStartDate()[1]);
    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 CouponInflationYearOnYearInterpolationWithMargin(_factor, getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime,
        naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional, _weightStart, _weightEnd);
  }

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