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

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

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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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    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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    final double paymentTime = TimeCalculator.getTimeBetween(valuationTimeIsNoon, 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 / ACCURAL_FACTOR_7D);
    assertEquals("CouponArithmeticAverageON definition: toDerivative", cpnExpected, cpnConverted);

    // Test pricing, too. Notice that the value of a coupon on its payment date is non-zero
    final MulticurveProviderDiscount curves = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
    final MultipleCurrencyAmount pvConverted = com.opengamma.analytics.financial.interestrate.payments.provider.CouponFixedDiscountingMethod.getInstance().presentValue((CouponFixed) cpnConverted,
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    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 6, 25);
    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2008, 4, 30), DateUtils.getUTCDate(2008, 5, 31),
      DateUtils.getUTCDate(2018, 4, 30), DateUtils.getUTCDate(2018, 5, 31) }, new double[] {108.23, 108.64, 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(128.23 /
        INDEX_START_VALUE - 1.0 - Math.pow(1 + STRIKE, MATURITY), 0.0));
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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    final ZonedDateTime zonedDate = ZonedDateTime.of(LocalDateTime.of(referenceFixed.toLocalDate(), LocalTime.MIDNIGHT), ZoneOffset.UTC);
    final double paymentTime = actAct.getDayCountFraction(zonedDate, PAYMENT_DATE);
    final String fundingCurve = "Funding";
    final String forwardCurve = "Forward";
    final String[] curves = {fundingCurve, forwardCurve};
    final CouponFixed fra = new CouponFixed(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, (FRA_RATE + shift) - FRA_RATE);
    final Payment convertedFra = fraFixed.toDerivative(referenceFixed, fixingTS, curves);
    assertEquals(convertedFra.equals(fra), true);
  }
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    final double shift = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(FIXING_DATE, FRA_RATE + shift);
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    final ZonedDateTime zonedDate = ZonedDateTime.of(LocalDateTime.of(referenceFixed.toLocalDate(), LocalTime.MIDNIGHT), ZoneOffset.UTC);
    final double paymentTime = actAct.getDayCountFraction(zonedDate, PAYMENT_DATE);
    final CouponFixed fra = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, (FRA_RATE + shift) - FRA_RATE);
    final Payment convertedFra = fraFixed.toDerivative(referenceFixed, fixingTS);
    assertEquals(convertedFra.equals(fra), true);
  }
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  @Test
  public void testToDerivativeAfterFixing() {
    final ZonedDateTime date = FIXING_DATE.plusDays(2);
    double paymentTime = TimeCalculator.getTimeBetween(date, PAYMENT_DATE);
    CouponFixed couponFixed = new CouponFixed(CUR, paymentTime, IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_RATE + SPREAD);
    CouponFixed convertedDefinition = (CouponFixed) IBOR_COUPON_SPREAD_DEFINITION.toDerivative(date, FIXING_TS);
    assertEquals(couponFixed, convertedDefinition);
    paymentTime = TimeCalculator.getTimeBetween(FIXING_DATE, PAYMENT_DATE);
    couponFixed = new CouponFixed(CUR, paymentTime, IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_RATE + SPREAD);
    convertedDefinition = (CouponFixed) IBOR_COUPON_SPREAD_DEFINITION.toDerivative(FIXING_DATE, FIXING_TS);
    assertEquals(couponFixed, convertedDefinition);
  }
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    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE);
    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, IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_RATE + SPREAD);
    final Payment couponConverted = IBOR_COUPON_SPREAD_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 date = FIXING_DATE.plusDays(2);
    double paymentTime = TimeCalculator.getTimeBetween(date, PAYMENT_DATE);
    final String fundingCurve = "Funding";
    final String forwardCurve = "Forward";
    final String[] curves = {fundingCurve, forwardCurve };
    CouponFixed couponFixed = new CouponFixed(CUR, paymentTime, fundingCurve, IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_RATE + SPREAD);
    CouponFixed convertedDefinition = (CouponFixed) IBOR_COUPON_SPREAD_DEFINITION.toDerivative(date, FIXING_TS, curves);
    assertEquals(couponFixed, convertedDefinition);
    paymentTime = TimeCalculator.getTimeBetween(FIXING_DATE, PAYMENT_DATE);
    couponFixed = new CouponFixed(CUR, paymentTime, fundingCurve, IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_RATE + SPREAD);
    convertedDefinition = (CouponFixed) IBOR_COUPON_SPREAD_DEFINITION.toDerivative(FIXING_DATE, FIXING_TS, curves);
    assertEquals(couponFixed, convertedDefinition);
  }
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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, IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_RATE + SPREAD);
    final Payment couponConverted = IBOR_COUPON_SPREAD_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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