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

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

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  @Test
  public void testToDerivativeAfterFixing() {
    final ZonedDateTime date = FIXING_DATE.plusDays(2);
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    double paymentTime = actAct.getDayCountFraction(date, PAYMENT_DATE);
    CouponFixed couponFixed = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
    assertEquals(couponFixed, CMS_COUPON_DEFINITION.toDerivative(date, FIXING_TS));
    paymentTime = actAct.getDayCountFraction(FIXING_DATE, PAYMENT_DATE);
    couponFixed = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
    assertEquals(couponFixed, CMS_COUPON_DEFINITION.toDerivative(FIXING_DATE, FIXING_TS));
  }
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    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]) * (1.0 + PAYMENT_ACCRUAL_FACTORS[1] * FIXING_RATES[2]) * (1.0 + PAYMENT_ACCRUAL_FACTORS[2] * FIXING_RATES[3]) - 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]);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 10, 25);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    final double rate = ((1.0 + PAYMENT_ACCRUAL_FACTORS[0] * FIXING_RATES[1]) * (1.0 + PAYMENT_ACCRUAL_FACTORS[1] * FIXING_RATES[2]) * (1.0 + PAYMENT_ACCRUAL_FACTORS[2] * FIXING_RATES[3]) - 1.0)
        / PAYMENT_ACCRUAL_FACTOR;
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, CPN_FROM_INDEX_DEFINITION.getPaymentDate());
    final CouponFixed cpnExpected = new CouponFixed(USDLIBOR1M.getCurrency(), paymentTime, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, rate, ACCRUAL_START_DATES[0],
        ACCRUAL_END_DATES[NB_SUB_PERIOD - 1]);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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   * Tests the toDerivative method where the fixing date before the current date.
   */
  public void testToDerivativeAfterFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 1, 10, 12, 0);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getPaymentDate());
    final CouponFixed coupon = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
    final Payment couponConverted = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    assertEquals("CouponIborDefinition: toDerivative", coupon, couponConverted);
  }
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    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getPaymentDate());
    final double fixingTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE);
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getFixingPeriodEndDate());
    // The fixing is known
    final CouponFixed coupon = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
    final Payment couponConverted = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    assertEquals(coupon, couponConverted);
    // The fixing is not known
    final DoubleTimeSeries<ZonedDateTime> fixingTS2 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {ScheduleCalculator.getAdjustedDate(FIXING_DATE, -1, CALENDAR) },
        new double[] {FIXING_RATE });
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 1, 10, 12, 0);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getPaymentDate());
    final String fundingCurve = "Funding";
    final String forwardCurve = "Forward";
    final String[] curves = {fundingCurve, forwardCurve };
    final CouponFixed coupon = new CouponFixed(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
    final Payment couponConverted = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS, curves);
    assertEquals("CouponIborDefinition: toDerivative", coupon, couponConverted);
  }
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    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getFixingPeriodEndDate());
    final String fundingCurve = "Funding";
    final String forwardCurve = "Forward";
    final String[] curves = {fundingCurve, forwardCurve };
    // The fixing is known
    final CouponFixed coupon = new CouponFixed(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
    final Payment couponConverted = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS, curves);
    assertEquals(coupon, couponConverted);
    // The fixing is not known
    final DoubleTimeSeries<ZonedDateTime> fixingTS2 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {ScheduleCalculator.getAdjustedDate(FIXING_DATE, -1, CALENDAR) },
        new double[] {FIXING_RATE });
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    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]);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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    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]);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];
    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / FEDFUND_CPN_7D_DEF.getPaymentYearFraction());
    assertEquals("CouponArithmeticAverageON definition: toDerivative", cpnExpected, cpnConverted);
  }
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