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

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

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  /**
   * Tests the toDerivative method.
   */
  public void toDerivativeNoFixing() {
    final String[] curvesNames = new String[] {"Funding", "Forward" };
    final CouponArithmeticAverageONSpread cpnConverted = FEDFUND_CPN_3M_DEF.toDerivative(TRADE_DATE, curvesNames);
    final double paymentTime = TimeCalculator.getTimeBetween(TRADE_DATE, PAYMENT_DATE_3M);
    final double[] fixingPeriodTimes = TimeCalculator.getTimeBetween(TRADE_DATE, FEDFUND_CPN_3M_DEF.getFixingPeriodDates());
    final CouponArithmeticAverageONSpread cpnExpected = CouponArithmeticAverageONSpread.from(paymentTime, ACCURAL_FACTOR_3M, NOTIONAL, FEDFUND, fixingPeriodTimes,
        FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors(), 0.0, SPREAD);
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(TRADE_DATE, 1, NYC);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7) }, new double[] {0.01 });
    final Payment cpnConverted = FEDFUND_CPN_3M_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_3M);
    final double[] fixingPeriodTimes = TimeCalculator.getTimeBetween(referenceDate, FEDFUND_CPN_3M_DEF.getFixingPeriodDates());
    final CouponArithmeticAverageONSpread cpnExpected = CouponArithmeticAverageONSpread.from(paymentTime, ACCURAL_FACTOR_3M, NOTIONAL, FEDFUND, fixingPeriodTimes,
        FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors(), 0.0, SPREAD);

    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8) },
        new double[] {0.01, 0.01 });
    final Payment cpnConverted = FEDFUND_CPN_3M_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_3M);
    final double[] fixingPeriodTimes = TimeCalculator.getTimeBetween(referenceDate, FEDFUND_CPN_3M_DEF.getFixingPeriodDates());
    final CouponArithmeticAverageONSpread cpnExpected = CouponArithmeticAverageONSpread.from(paymentTime, ACCURAL_FACTOR_3M, NOTIONAL, FEDFUND, fixingPeriodTimes,
        FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors(), 0.0, SPREAD);
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final double[] fixingAccrualFactorsLeft = new double[FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors().length - 1];
    for (int loopperiod = 1; loopperiod < FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors().length; loopperiod++) {
      fixingAccrualFactorsLeft[loopperiod - 1] = FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors()[loopperiod];
    }
    final CouponArithmeticAverageONSpread cpnExpected = CouponArithmeticAverageONSpread.from(paymentTime, ACCURAL_FACTOR_3M, NOTIONAL, FEDFUND, fixingPeriodTimes,
        fixingAccrualFactorsLeft, rateAccrued, SPREAD);
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final double[] fixingAccrualFactorsLeft = new double[FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors().length - 2];
    for (int loopperiod = 2; loopperiod < FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors().length; loopperiod++) {
      fixingAccrualFactorsLeft[loopperiod - 2] = FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors()[loopperiod];
    }
    final CouponArithmeticAverageONSpread cpnExpected = CouponArithmeticAverageONSpread.from(paymentTime, ACCURAL_FACTOR_3M, NOTIONAL, FEDFUND, fixingPeriodTimes,
        fixingAccrualFactorsLeft, rateAccrued, SPREAD);
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final double[] fixingAccrualFactorsLeft = new double[FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors().length - 3];
    for (int loopperiod = 3; loopperiod < FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors().length; loopperiod++) {
      fixingAccrualFactorsLeft[loopperiod - 3] = FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors()[loopperiod];
    }
    final CouponArithmeticAverageONSpread cpnExpected = CouponArithmeticAverageONSpread.from(paymentTime, ACCURAL_FACTOR_3M, NOTIONAL, FEDFUND, fixingPeriodTimes,
        fixingAccrualFactorsLeft, rateAccrued, SPREAD);
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);
  }
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        }

        for (int loopperiod = 0; loopperiod < _fixingPeriodAccrualFactors.length - fixedPeriod; loopperiod++) {
          fixingAccrualFactorsLeft[loopperiod] = _fixingPeriodAccrualFactors[loopperiod + fixedPeriod];
        }
        final CouponArithmeticAverageONSpread cpn = CouponArithmeticAverageONSpread.from(paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodTimes,
            fixingAccrualFactorsLeft, accruedRate, _spread);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), accruedRate / getPaymentYearFraction());
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponArithmeticAverageONSpread

  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONSpreadDefinition
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONSpreadDefinitionTest
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