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

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

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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 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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  }

  @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] + SPREAD)) * (1.0 + PAYMENT_ACCRUAL_FACTORS[1] * (FIXING_RATES[2] + SPREAD))
        * (1.0 + PAYMENT_ACCRUAL_FACTORS[2] * (FIXING_RATES[3] + SPREAD)) - 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]);
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    final CouponIborCompoundingSpread cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, new String[0]);
    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, new String[0]);
    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, new String[0]);
    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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    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[0]);
    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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  @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[0]);
    final double rate = ((1.0 + PAYMENT_ACCRUAL_FACTORS[0] * (FIXING_RATES[1] + SPREAD)) * (1.0 + PAYMENT_ACCRUAL_FACTORS[1] * (FIXING_RATES[2] + SPREAD))
        * (1.0 + PAYMENT_ACCRUAL_FACTORS[2] * (FIXING_RATES[3] + SPREAD)) - 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]);
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  }

  @Test
  public void toDerivativesNoData() {
    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
    final Coupon zeroCouponConverted = ZERO_COUPON_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    //lastKnownFixingTime could be negatif so we don't use the dayfraction
    final double lastKnownFixingTime = TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
    final double naturalPaymentPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
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  @Test
  public void toDerivativesStartMonthKnown() {
    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 6, 25);
    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2008, 4, 30), DateUtils.getUTCDate(2008, 5, 31),
      DateUtils.getUTCDate(2018, 4, 30), DateUtils.getUTCDate(2018, 5, 31) }, new double[] {108.23, 108.64, 128.23, 128.43 });
    final Coupon zeroCouponConverted = ZERO_COUPON_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, Math.max(128.23 /
        INDEX_START_VALUE - 1.0 - Math.pow(1 + STRIKE, MATURITY), 0.0));
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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  }

  @Test
  public void toDerivativesNoData() {
    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
    final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate);
    //lastKnownFixingTime could be negatif so we don't use the dayfraction
    final double lastKnownFixingTime = TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
    final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
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    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 1),
        DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) },
        new double[] {
            127.23, 127.43, 128.23, 128.43 });
    final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    // lastKnownFixingTime could be negatif so we don't use the dayfraction
    final double lastKnownFixingTime = TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
    final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearInterpolationDefinitionTest
  • 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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