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

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

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        final Double fixedEndIndex = getWeightEnd() * fixedEndIndex0 + (1 - getWeightEnd()) * fixedEndIndex1;
        final Double fixedStartIndex1 = priceIndexTimeSeries.getValue(_referenceStartDate[1]);
        final Double fixedStartIndex0 = priceIndexTimeSeries.getValue(_referenceStartDate[0]);
        final Double fixedStartIndex = getWeightStart() * fixedStartIndex0 + (1 - getWeightStart()) * fixedStartIndex1;
        final Double fixedRate = (fixedEndIndex / fixedStartIndex - 1.0);
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
      }
    }
    final double lastKnownFixingTime = TimeCalculator.getTimeBetween(date, _lastKnownFixingDate);
    final double[] referenceStartTime = new double[2];
    referenceStartTime[0] = TimeCalculator.getTimeBetween(date, _referenceStartDate[0]);
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      final Double fixedEndIndex = priceIndexTimeSeries.getValue(_referenceEndDate);

      if (fixedEndIndex != null) {
        final Double fixedStartIndex = priceIndexTimeSeries.getValue(_referenceStartDate);
        final Double fixedRate = (fixedEndIndex / fixedStartIndex - 1.0);
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
      }
    }
    final double lastKnownFixingTime = TimeCalculator.getTimeBetween(date, _lastKnownFixingDate);
    final double referenceStartTime = TimeCalculator.getTimeBetween(date, _referenceStartDate);
    final double referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
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      if (fixedEndIndex1 != null) {
        final Double fixedEndIndex0 = priceIndexTimeSeries.getValue(getReferenceEndDates()[0]);
        final Double fixedEndIndex = getWeight() * fixedEndIndex0 + (1 - getWeight()) * fixedEndIndex1;
        final Double fixedRate = (fixedEndIndex / fixedStartIndex - 1.0);
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
      }
    }
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDates[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDates[1]);
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      if (fixedEndIndex1 != null) {
        final Double fixedEndIndex0 = priceIndexTimeSeries.getValue(getReferenceEndDates()[0]);
        final Double fixedEndIndex = getWeight() * fixedEndIndex0 + (1 - getWeight()) * fixedEndIndex1;
        final Double fixedRate = (fixedEndIndex / fixedStartIndex - (payNotional() ? 0.0 : 1.0));
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDates[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDates[1]);
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    if (dayConversion.isAfter(dayFixing)) {
      final Double fixedEndIndex = priceIndexTimeSeries.getValue(getReferenceEndDate());
      if (fixedEndIndex != null) {
        final Double fixedStartIndex = priceIndexTimeSeries.getValue(getReferenceStartDate());
        final Double fixedRate = (fixedEndIndex / fixedStartIndex - (payNotional() ? 0.0 : 1.0)) + _factor;
        return new CouponFixed(getCurrency(), paymentTime, discountingCurveName, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    double referenceEndTime = 0.0;
    double referenceStartTime = 0.0;
    referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
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    if (dayConversion.isAfter(dayFixing)) {
      final Double fixedEndIndex = priceIndexTimeSeries.getValue(getReferenceEndDate());
      if (fixedEndIndex != null) {
        final Double fixedStartIndex = priceIndexTimeSeries.getValue(getReferenceStartDate());
        final Double fixedRate = (fixedEndIndex / fixedStartIndex - (payNotional() ? 0.0 : 1.0)) + _factor;
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    double referenceEndTime = 0.0;
    double referenceStartTime = 0.0;
    referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
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    if (dayConversion.isAfter(dayFixing)) {
      final Double fixedEndIndex = priceIndexTimeSeries.getValue(getReferenceEndDate());
      if (fixedEndIndex != null) {
        final Double fixedStartIndex = priceIndexTimeSeries.getValue(getReferenceStartDate());
        final Double fixedRate = (fixedEndIndex / fixedStartIndex - (payNotional() ? 0.0 : 1.0));
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    double referenceEndTime = 0.0;
    double referenceStartTime = 0.0;
    referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
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    final LocalDate dayFixing = getReferenceEndDate().toLocalDate();
    if (dayConversion.isAfter(dayFixing)) {
      final Double fixedEndIndex = priceIndexTimeSeries.getValue(getReferenceEndDate());
      if (fixedEndIndex != null) {
        final Double fixedRate = (fixedEndIndex / indexStartValue - (payNotional() ? 0.0 : 1.0));
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    double referenceEndTime = 0.0;
    referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
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    }
    // Derivatives
    final CouponDefinition cpn0 = getNthPayment(0);
    if (!date.isAfter(cpn0.getPaymentDate())) {
      if (isFixed[0]) {
        cpnList.add(new CouponFixed(getCurrency(), TimeCalculator.getTimeBetween(date, cpn0.getPaymentDate()), yieldCurveNames[0], cpn0.getPaymentYearFraction(), cpn0.getNotional(), fixedCpn.get(0),
            cpn0.getAccrualStartDate(), cpn0.getAccrualEndDate()));
      } else { // CouponIborGearingDefinition
        cpnList.add(((CouponIborGearingDefinition) cpn0).toDerivative(date, yieldCurveNames));
      }
    }
    for (int loopcpn = 1; loopcpn < getNumberOfPayments(); loopcpn++) {
      final CouponDefinition cpn = getNthPayment(loopcpn);
      if (!date.isAfter(getNthPayment(loopcpn).getPaymentDate())) {
        if (isFixed[loopcpn]) {
          cpnList.add(new CouponFixed(getCurrency(), TimeCalculator.getTimeBetween(date, cpn.getPaymentDate()), yieldCurveNames[0], cpn.getPaymentYearFraction(), cpn.getNotional(), fixedCpn
              .get(loopcpn), cpn.getAccrualStartDate(), cpn.getAccrualEndDate()));
        } else {
          cpnList.add(((CouponIborRatchetDefinition) cpn).toDerivative(date, yieldCurveNames));
        }
      }
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    if (dayConversion.isAfter(dayFixing)) {
      final Double fixedEndIndex = priceIndexTimeSeries.getValue(getReferenceEndDate());

      if (fixedEndIndex != null) {
        final Double fixedRate = (fixedEndIndex / fixedStartIndex - 1.0);
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
      }
    }

    final double referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    final double lastKnownFixingTime = TimeCalculator.getTimeBetween(date, getlastKnownFixingDate());
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinitionTest
  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition
  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinitionTest
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearInterpolationDefinition
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearInterpolationDefinitionTest
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearMonthlyDefinition
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearMonthlyDefinitionTest
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationZeroCouponInterpolationDefinition
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationZeroCouponInterpolationDefinitiontest
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