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

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

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  public void toDerivativeNoTS() {
    final CouponIborCompounding cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL, USDLIBOR1M, PAYMENT_ACCRUAL_FACTORS,
        FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted2);
  }
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    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES), 1, fixingPeriodStartTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodEndTimesLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES), 1, fixingPeriodEndTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodAccrualFactorsLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(FIXING_ACCRUAL_FACTORS, 1, fixingPeriodAccrualFactorsLeft, 0, NB_SUB_PERIOD - 1);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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    final double[] paymentAccrualFactorsLeft = new double[] {PAYMENT_ACCRUAL_FACTORS[2] };
    final double[] fixingTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_DATES[2]) };
    final double[] fixingPeriodStartTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES[2]) };
    final double[] fixingPeriodEndTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES[2]) };
    final double[] fixingPeriodAccrualFactorsLeft = new double[] {FIXING_ACCRUAL_FACTORS[2] };
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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  }

  @Test
  public void toDerivativeAfterLastFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 10, 25);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final double rate = ((1.0 + PAYMENT_ACCRUAL_FACTORS[0] * FIXING_RATES[1]) * (1.0 + PAYMENT_ACCRUAL_FACTORS[1] * FIXING_RATES[2]) * (1.0 + PAYMENT_ACCRUAL_FACTORS[2] * FIXING_RATES[3]) - 1.0)
        / PAYMENT_ACCRUAL_FACTOR;
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, CPN_FROM_INDEX_DEFINITION.getPaymentDate());
    final CouponFixed cpnExpected = new CouponFixed(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, rate, ACCRUAL_START_DATES[0], ACCRUAL_END_DATES[NB_SUB_PERIOD - 1]);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
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    final CouponIborCompounding cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, new String[] {DSC_NAME, FWD_NAME });
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL, USDLIBOR1M,
        PAYMENT_ACCRUAL_FACTORS,
        FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, FWD_NAME);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted2);
  }
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    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES), 1, fixingPeriodStartTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodEndTimesLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES), 1, fixingPeriodEndTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodAccrualFactorsLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(FIXING_ACCRUAL_FACTORS, 1, fixingPeriodAccrualFactorsLeft, 0, NB_SUB_PERIOD - 1);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, FWD_NAME);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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    final double[] paymentAccrualFactorsLeft = new double[] {PAYMENT_ACCRUAL_FACTORS[2] };
    final double[] fixingTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_DATES[2]) };
    final double[] fixingPeriodStartTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES[2]) };
    final double[] fixingPeriodEndTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES[2]) };
    final double[] fixingPeriodAccrualFactorsLeft = new double[] {FIXING_ACCRUAL_FACTORS[2] };
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, FWD_NAME);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeAfterLastFixingDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 10, 25);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    final double rate = ((1.0 + PAYMENT_ACCRUAL_FACTORS[0] * FIXING_RATES[1]) * (1.0 + PAYMENT_ACCRUAL_FACTORS[1] * FIXING_RATES[2]) * (1.0 + PAYMENT_ACCRUAL_FACTORS[2] * FIXING_RATES[3]) - 1.0)
        / PAYMENT_ACCRUAL_FACTOR;
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, CPN_FROM_INDEX_DEFINITION.getPaymentDate());
    final CouponFixed cpnExpected = new CouponFixed(USDLIBOR1M.getCurrency(), paymentTime, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, rate, ACCRUAL_START_DATES[0],
        ACCRUAL_END_DATES[NB_SUB_PERIOD - 1]);
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    final CouponIborCompoundingSpread cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE);
    final CouponIborCompoundingSpread cpnExpected = new CouponIborCompoundingSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL, USDLIBOR1M,
        PAYMENT_ACCRUAL_FACTORS,
        FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted2);
  }
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    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES), 1, fixingPeriodStartTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodEndTimesLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES), 1, fixingPeriodEndTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodAccrualFactorsLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(FIXING_ACCRUAL_FACTORS, 1, fixingPeriodAccrualFactorsLeft, 0, NB_SUB_PERIOD - 1);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final CouponIborCompoundingSpread cpnExpected = new CouponIborCompoundingSpread(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, SPREAD);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

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  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearMonthlyDefinitionTest
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationZeroCouponInterpolationDefinitiontest
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationZeroCouponMonthlyDefinitionTest
  • com.opengamma.analytics.financial.instrument.inflation.CouponInflationYearOnYearInterpolationDefinitionTest
  • com.opengamma.analytics.financial.instrument.inflation.CouponInflationYearOnYearMonthlyDefinitionTest
  • com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationDefinitionTest
  • com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborCompoundingDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborCompoundingFlatSpreadDefinitionTest
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