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

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

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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 referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
    final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
    final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
    final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_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, 4, 30),
      DateUtils.getUTCDate(2017, 5, 31), DateUtils.getUTCDate(2018, 4, 30), DateUtils.getUTCDate(2018, 5, 31) },
        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 referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
    final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
    final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
    final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
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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, 128.23 / 127.23 - 1.0);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 7, 25);
    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2008, 6, 30),
      DateUtils.getUTCDate(2018, 5, 31), DateUtils.getUTCDate(2018, 6, 30) }, new double[] {108.23, 108.64, 128.23, 128.43 });
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponInterpolated = CouponInflationZeroCouponInterpolationDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, false);
    final Coupon zeroCouponConverted = zeroCouponInterpolated.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final double endIndex = 128.23 + (PAYMENT_DATE.getDayOfMonth() - 1.0) / (PAYMENT_DATE.toLocalDate().lengthOfMonth()) * (128.43 - 128.23);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, endIndex / INDEX_MAY_2008 - 1.0);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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      DateUtils.getUTCDate(2018, 4, 1), DateUtils.getUTCDate(2018, 5, 1) },
        new double[] {
          108.23, 108.64, 128.03, 128.23 });
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponInterpolated = CouponInflationZeroCouponInterpolationDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, false);
    final Coupon zeroCouponConverted = zeroCouponInterpolated.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[0], pricingDate);
    referenceEndTime[1] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[1], pricingDate);
    final double naturalPaymentPaymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
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      DateUtils.getUTCDate(2018, 4, 1), DateUtils.getUTCDate(2018, 5, 1) },
        new double[] {
          108.23, 108.64, 128.03, 128.23 });
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponInterpolated = CouponInflationZeroCouponInterpolationDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, false);
    final Coupon zeroCouponConverted = zeroCouponInterpolated.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[0], pricingDate);
    referenceEndTime[1] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[1], pricingDate);
    final double naturalPaymentPaymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
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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 referenceStartTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[0]);
    final double referenceEndTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]);
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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 referenceStartTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[0]);
    final double referenceEndTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]);
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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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  public void toDerivativesStartMonthKnown() {
    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 = 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(
        (WEIGHT * 128.23 + (1 - WEIGHT) * 128.43) / INDEX_START_VALUE - 1.0 - Math.pow(1 + STRIKE, MATURITY), 0.0));
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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