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

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

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

com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponMonthly
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. The pay-off is (final index / start index - 1) * notional if the notional is not paid and final index / start index * notional if the notional is paid.

    }
    double referenceEndTime = 0.0;
    referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CouponInflationZeroCouponMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), indexStartValue, referenceEndTime, naturalPaymentTime,
        _payNotional);
  }

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


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

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

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

com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyDefinition

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

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