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

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

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

com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponInterpolation
Class describing an zero-coupon inflation coupon. The start index value is known when the coupon is traded/issued. The index for a given month is given in the yield curve and in the time series on the first of the month.

    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDates[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDates[1]);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CouponInflationZeroCouponInterpolation(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), fixedStartIndex, referenceEndTime, naturalPaymentTime,
        _weight, _payNotional);
  }

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    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settleDate, Period.ofYears(tenorYear), BUSINESS_DAY, CALENDAR_USD, USDLIBOR3M.isEndOfMonth());
    final double weightSettle = 1.0 - (settleDate.getDayOfMonth() - 1.0) / settleDate.toLocalDate().lengthOfMonth();
    final double indexStart = weightSettle * 225.964 + (1 - weightSettle) * 225.722;
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponUsdDefinition = CouponInflationZeroCouponInterpolationDefinition.from(settleDate, paymentDate, notional, PRICE_INDEX_US,
        MONTH_LAG, MONTH_LAG, false);
    final CouponInflationZeroCouponInterpolation zeroCouponUsd = (CouponInflationZeroCouponInterpolation) zeroCouponUsdDefinition.toDerivative(PRICING_DATE, priceIndexTS);
    final MultipleCurrencyAmount pvInflation = METHOD.presentValue(zeroCouponUsd, marketSeason.getInflationProvider());
    final double df = MARKET.getCurve(zeroCouponUsd.getCurrency()).getDiscountFactor(zeroCouponUsd.getPaymentTime());
    final double indexMonth0 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
    final double indexMonth1 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
    final double finalIndex = zeroCouponUsdDefinition.getWeight() * indexMonth0 + (1 - zeroCouponUsdDefinition.getWeight()) * indexMonth1;
    final double pvExpected = (finalIndex / INDEX_MAY_2011_INT - 1) * df * notional;
    assertEquals("PV in market with seasonal adjustment", pvExpected, pvInflation.getAmount(zeroCouponUsd.getCurrency()), 1E-2);
  }

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    final double paymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[0], pricingDate);
    referenceEndTime[1] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[1], pricingDate);
    final double naturalPaymentPaymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final CouponInflationZeroCouponInterpolation zeroCoupon = new CouponInflationZeroCouponInterpolation(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX_EUR, INDEX_MAY_2008, referenceEndTime,
        naturalPaymentPaymentTime, ZERO_COUPON_DEFINITION.getWeight(), false);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }

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    final double paymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[0], pricingDate);
    referenceEndTime[1] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[1], pricingDate);
    final double naturalPaymentPaymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final CouponInflationZeroCouponInterpolation zeroCoupon = new CouponInflationZeroCouponInterpolation(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX_EUR, INDEX_MAY_2008, referenceEndTime,
        naturalPaymentPaymentTime, ZERO_COUPON_DEFINITION.getWeight(), false);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }

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  private static final CouponInflationZeroCouponInterpolation ZERO_COUPON = new CouponInflationZeroCouponInterpolation(CUR, PAYMENT_TIME, 1.0, NOTIONAL, PRICE_INDEX, INDEX_APRIL_2008,
      REFERENCE_END_TIME, NATURAL_PAYMENT_TIME, WEIGHT, false);


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullIndex() {
    new CouponInflationZeroCouponInterpolation(CUR, PAYMENT_TIME, 1.0, NOTIONAL, null, INDEX_APRIL_2008, REFERENCE_END_TIME, NATURAL_PAYMENT_TIME, WEIGHT, false);
  }

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  /**
   * Tests the equal and hash-code methods.
   */
  public void equalHash() {
    assertEquals(ZERO_COUPON, ZERO_COUPON);
    CouponInflationZeroCouponInterpolation couponDuplicate = new CouponInflationZeroCouponInterpolation(CUR, PAYMENT_TIME, 1.0, NOTIONAL, PRICE_INDEX, INDEX_APRIL_2008, REFERENCE_END_TIME,
        NATURAL_PAYMENT_TIME, WEIGHT, false);
    assertEquals(ZERO_COUPON, couponDuplicate);
    assertEquals(ZERO_COUPON.hashCode(), couponDuplicate.hashCode());
    CouponInflationZeroCouponInterpolation modified;
    modified = new CouponInflationZeroCouponInterpolation(CUR, PAYMENT_TIME, 1.0, NOTIONAL, PRICE_INDEX, INDEX_APRIL_2008 + 0.1, REFERENCE_END_TIME, NATURAL_PAYMENT_TIME, WEIGHT, false);
    assertFalse(ZERO_COUPON.equals(modified));
    double[] modifiedReferenceTime = new double[2];
    modifiedReferenceTime[0] = REFERENCE_END_TIME[0];
    modifiedReferenceTime[1] = REFERENCE_END_TIME[1] + 0.1;
    modified = new CouponInflationZeroCouponInterpolation(CUR, PAYMENT_TIME, 1.0, NOTIONAL, PRICE_INDEX, INDEX_APRIL_2008, modifiedReferenceTime, NATURAL_PAYMENT_TIME, WEIGHT, false);
    assertFalse(ZERO_COUPON.equals(modified));
    double modifiedNaturalPaymentTime = NATURAL_PAYMENT_TIME + .01;
    modified = new CouponInflationZeroCouponInterpolation(CUR, PAYMENT_TIME, 1.0, NOTIONAL, PRICE_INDEX, INDEX_APRIL_2008, REFERENCE_END_TIME, modifiedNaturalPaymentTime, WEIGHT, false);
    assertFalse(ZERO_COUPON.equals(modified));
  }

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        new ZonedDateTime[] {DateUtils.getUTCDate(2008, 4, 30), DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2011, 5, 31), DateUtils.getUTCDate(2011, 6, 30),
          DateUtils.getUTCDate(2011, 9, 27),
          DateUtils.getUTCDate(2011, 9, 28) }, new double[] {108.23, 108.64, 225.964, 225.722, 200, 200 });


    final CapFloorInflationZeroCouponInterpolation capZeroCouponUsd = (CapFloorInflationZeroCouponInterpolation) capZeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
    final CouponInflationZeroCouponInterpolation zeroCouponUsd = (CouponInflationZeroCouponInterpolation) zeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
    final MultipleCurrencyAmount pvInflation = METHOD.presentValue(capZeroCouponUsd, blackInflation);
    final double df = marketSeason.getCurve(zeroCouponUsd.getCurrency()).getDiscountFactor(zeroCouponUsd.getPaymentTime());
    final double indexMonth0 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
    final double indexMonth1 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
    final double finalIndex = zeroCouponUsdDefinition.getWeight() * indexMonth0 + (1 - zeroCouponUsdDefinition.getWeight()) * indexMonth1;
    final double forward = finalIndex / indexStart;
    final double timeToMaturity = capZeroCouponUsd.getReferenceEndTime()[1] - capZeroCouponUsd.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(Math.pow(1 + capZeroCouponUsd.getStrike(), capZeroCouponUsd.getMaturity()), timeToMaturity, capZeroCouponUsd.isCap());
    final double volatility = blackInflation.getBlackParameters().getVolatility(capZeroCouponUsd.getReferenceEndTime()[1], capZeroCouponUsd.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pvExpected = df * func.evaluate(dataBlack) * capZeroCouponUsd.getNotional() * capZeroCouponUsd.getPaymentYearFraction();
    assertEquals("PV in market with seasonal adjustment", pvExpected, pvInflation.getAmount(zeroCouponUsd.getCurrency()), 1E-2);
  }

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com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationDefinitionTest

com.opengamma.analytics.financial.interestrate.inflation.derivatives.CouponInflationZeroCouponInterpolationTest

com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponInterpolationBlackSmileMethodTest

com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationZeroCouponInterpolationDiscountingMethodTest

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