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

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor

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      this._sabrData = sabrData;
    }

    @Override
    public Double evaluate(final Double x) {
      final CapFloorIbor capStrike = _capStandard.withStrike(x);
      return _baseMethod.presentValue(capStrike, _sabrData).getAmount();
    }
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    final CapFloorIbor[] caplets = new CapFloorIbor[n];
    for (int i = 0; i < n; i++) {
      final double fixingStart = (i + start) * tau;
      final double fixingEnd = (i + 1 + start) * tau;

      caplets[i] = new CapFloorIbor(ccy, fixingEnd, discountCurve, tau, 1.0, fixingStart, index, fixingStart, fixingEnd, tau, indexCurve, strike, capFloor);
    }
    return caplets;
  }
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    final double fixingPeriodStartTime = actAct.getDayCountFraction(REFERENCE_DATE, IBOR_CAP.getFixingPeriodStartDate());
    final double fixingPeriodEndTime = actAct.getDayCountFraction(REFERENCE_DATE, IBOR_CAP.getFixingPeriodEndDate());
    final String fundingCurve = "Funding";
    final String forwardCurve = "Forward";
    final String[] curves = {fundingCurve, forwardCurve };
    final CapFloorIbor expectedCapIbor = new CapFloorIbor(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        ACCRUAL_FACTOR_FIXING, forwardCurve, STRIKE, IS_CAP);
    final CapFloorIbor convertedCapIborDefinition = (CapFloorIbor) IBOR_CAP.toDerivative(REFERENCE_DATE, curves);
    assertEquals(expectedCapIbor, convertedCapIborDefinition);
    assertEquals(expectedCapIbor, IBOR_CAP.toDerivative(REFERENCE_DATE, HIGH_FIXING_TS, curves));
  }
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    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    final double paymentTime = actAct.getDayCountFraction(REFERENCE_DATE, PAYMENT_DATE);
    final double fixingTime = actAct.getDayCountFraction(REFERENCE_DATE, FIXING_DATE);
    final double fixingPeriodStartTime = actAct.getDayCountFraction(REFERENCE_DATE, IBOR_CAP.getFixingPeriodStartDate());
    final double fixingPeriodEndTime = actAct.getDayCountFraction(REFERENCE_DATE, IBOR_CAP.getFixingPeriodEndDate());
    final CapFloorIbor expectedCapIbor = new CapFloorIbor(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        ACCRUAL_FACTOR_FIXING, STRIKE, IS_CAP);
    final CapFloorIbor convertedCapIborDefinition = (CapFloorIbor) IBOR_CAP.toDerivative(REFERENCE_DATE);
    assertEquals(expectedCapIbor, convertedCapIborDefinition);
    assertEquals(expectedCapIbor, IBOR_CAP.toDerivative(REFERENCE_DATE, HIGH_FIXING_TS));
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor

  • com.opengamma.analytics.financial.instrument.payment.CapFloorIborDefinition
  • com.opengamma.analytics.financial.instrument.payment.CapFloorIborDefinitionTest
  • com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponIborRatchet
  • com.opengamma.analytics.financial.interestrate.capletstripping.SimpleCapFloorMaker
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborInArrearsGenericReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborInArrearsGenericReplicationMethod$InArrearsIntegrant
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborInArrearsReplicationMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborInArrearsReplicationMethodTest$InArrearsIntegrant
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethodTest
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