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

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

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

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

    final double referenceStartTime = TimeCalculator.getTimeBetween(date, getReferenceStartDate());
    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 CouponInflationYearOnYearMonthlyWithMargin(_factor, getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime, naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional);
  }

View Full Code Here

    referenceStartTime = TimeCalculator.getTimeBetween(date, _referenceStartDate);
    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 CouponInflationYearOnYearMonthlyWithMargin(_factor, getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime, naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional);
  }

View Full Code Here

    final double referenceStartTime = TimeCalculator.getTimeBetween(date, getReferenceStartDate());
    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 CouponInflationYearOnYearMonthlyWithMargin(_factor, getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime, naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional);
  }

View Full Code Here

    referenceStartTime = TimeCalculator.getTimeBetween(date, _referenceStartDate);
    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 CouponInflationYearOnYearMonthlyWithMargin(_factor, getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime, naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional);
  }

View Full Code Here

TOP

Related Classes of com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationYearOnYearMonthlyWithMargin

com.opengamma.analytics.financial.instrument.inflation.CouponInflationYearOnYearMonthlyWithMarginDefinition

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.