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

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

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    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 6, 25);
    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);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, Math.max((WEIGHT_END * 128.23 + (1 - WEIGHT_END) * 128.43) /
        (WEIGHT_START * 127.23 + (1 - WEIGHT_START) * 127.43) - 1.0 - STRIKE, 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 yearOnYearCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceStartTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[0]);
    final double referenceEndTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]);
    final double referenceStartTime1 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[1]);
    final double referenceEndTime1 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[1]);
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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 yearOnYearCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceStartTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[0]);
    final double referenceEndTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]);
    final double referenceStartTime1 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[1]);
    final double referenceEndTime1 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[1]);
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    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 7, 25);
    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 31),
      DateUtils.getUTCDate(2017, 6, 30), DateUtils.getUTCDate(2018, 5, 31), DateUtils.getUTCDate(2018, 6, 30) },
        new double[] {
          127.23, 127.43, 128.23, 128.43 });
    final Coupon zeroCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, (WEIGHT_END * 128.23 + (1 - WEIGHT_END) * 128.43) /
        (WEIGHT_START * 127.23 + (1 - WEIGHT_START) * 127.43) - 1.0);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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  public void toDerivativesStartMonthKnown() {
    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 8, 1);
    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2018, 5, 31),
      DateUtils.getUTCDate(2018, 6, 30) },
        new double[] {108.23, 128.23, 128.43 });
    final Coupon zeroCouponConverted = ZERO_COUPON_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, 128.23 / INDEX_APRIL_2008 - 1.0);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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    final PresentValueHullWhiteMonteCarloCalculator calculator = new PresentValueHullWhiteMonteCarloCalculator(nbPath);

    // Dsc curve
    final DoubleAVLTreeSet dscTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < ANNUITY_RATCHET_FIXED.getNumberOfPayments(); loopcpn++) {
      final Coupon cpn = ANNUITY_RATCHET_FIXED.getNthPayment(loopcpn);
      dscTime.add(cpn.getPaymentTime());
    }
    final double[] timesDsc = dscTime.toDoubleArray();
    final List<DoublesPair> pvcsFDDscMC = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(ANNUITY_RATCHET_FIXED, calculator, BUNDLE_HW, CURVES_NAMES[0], timesDsc, 1.0E-2);
    final List<DoublesPair> pvcsADDscMC = pvcsMC.getSensitivities().get(CURVES_NAMES[0]);
    assertSensitivityEquals(pvcsFDDscMC, pvcsADDscMC, deltaTolerancePrice);
    // Fwd curve
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 1; loopcpn < ANNUITY_RATCHET_FIXED.getNumberOfPayments(); loopcpn++) {
      final CouponIborRatchet cpn = (CouponIborRatchet) ANNUITY_RATCHET_FIXED.getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] timesFwd = forwardTime.toDoubleArray();
    final List<DoublesPair> pvcsFDFwdMC = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(ANNUITY_RATCHET_FIXED, calculator, BUNDLE_HW, CURVES_NAMES[1], timesFwd, 1.0E-2);
    final List<DoublesPair> pvcsADFwdMC = pvcsMC.getSensitivities().get(CURVES_NAMES[1]);
    assertSensitivityEquals(pvcsFDFwdMC, pvcsADFwdMC, deltaTolerancePrice);
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  public void toDerivativeNoFixing() {
    final CouponIborCompoundingFlatSpread cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE);
    final CouponIborCompoundingFlatSpread cpnExpected = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, 0, USDLIBOR1M,
        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
    assertEquals("CouponIborCompoundingFlatSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS);
    assertEquals("CouponIborCompoundingFlatSpreadDefinition: toDerivative", 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 CouponIborCompoundingFlatSpread cpnExpected = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, cpaAccumulated, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, SPREAD);
    assertEquals("CouponIborCompoundingFlatSpreadDefinition: toDerivative", 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 CouponIborCompoundingFlatSpread cpnExpected = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, cpaAccumulated, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, SPREAD);
    assertEquals("CouponIborCompoundingFlatSpreadDefinition: toDerivative", 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);
    double cpaAccumulated = NOTIONAL * (FIXING_RATES[1] + SPREAD) * PAYMENT_ACCRUAL_FACTORS[0];
    cpaAccumulated += cpaAccumulated * FIXING_RATES[2] * PAYMENT_ACCRUAL_FACTORS[1];
    cpaAccumulated += NOTIONAL * (FIXING_RATES[2] + SPREAD) * PAYMENT_ACCRUAL_FACTORS[1];
    cpaAccumulated += cpaAccumulated * FIXING_RATES[3] * PAYMENT_ACCRUAL_FACTORS[2];
    cpaAccumulated += NOTIONAL * (FIXING_RATES[3] + SPREAD) * PAYMENT_ACCRUAL_FACTORS[2];
 
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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
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