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

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

322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final LocalDate dayFixing = getFixingDate().toLocalDate();
    if (dayConversion.equals(dayFixing)) { // The fixing is on the reference date; if known the fixing is used and if not, the floating coupon is created.
      final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate());
      if (fixedRate != null) {
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate + _spread);
      }
    }
    if (dayConversion.isAfter(dayFixing)) { // The fixing is required
      final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate().withHour(0)); // TODO: remove time from fixing date.
      if (fixedRate == null) {
        throw new OpenGammaRuntimeException("Could not get fixing value for date " + dayFixing);
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate + _spread);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    return new CouponIborSpread(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
View Full Code Here
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final LocalDate dayFixing = getFixingDate().toLocalDate();
    if (dayConversion.equals(dayFixing)) { // The fixing is on the reference date; if known the fixing is used and if not, the floating coupon is created.
      final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate());
      if (fixedRate != null) {
        return new CouponFixed(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), _factor * fixedRate + _spread);
      }
    }
    if (dayConversion.isAfter(dayFixing)) { // The fixing is required
      final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate());
      if (fixedRate == null) {
        throw new OpenGammaRuntimeException("Could not get fixing value for date " + getFixingDate());
      }
      return new CouponFixed(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), _factor * fixedRate + _spread);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    return new CouponIborGearing(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
View Full Code Here
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final LocalDate dayFixing = getFixingDate().toLocalDate();
    if (dayConversion.equals(dayFixing)) { // The fixing is on the reference date; if known the fixing is used and if not, the floating coupon is created.
      final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate());
      if (fixedRate != null) {
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _factor * fixedRate + _spread);
      }
    }
    if (dayConversion.isAfter(dayFixing)) { // The fixing is required
      final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate());
      if (fixedRate == null) {
        throw new OpenGammaRuntimeException("Could not get fixing value for date " + getFixingDate());
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _factor * fixedRate + _spread);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    return new CouponIborGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
View Full Code Here
214
215
216
217
218
219
220
221
222
223
224
    final Annuity<Coupon> annuity = annuityDefinition.toDerivative(referenceDate, fixingTS, CURVES_NAMES);
    final Coupon[] cpn = new Coupon[NB_COUPON - 1];
    double rate = MAIN_COEF[0] * FIRST_CPN_RATE + MAIN_COEF[1] * fixing + MAIN_COEF[2];
    rate = Math.max(rate, FLOOR_COEF[0] * FIRST_CPN_RATE + FLOOR_COEF[1] * fixing + FLOOR_COEF[2]);
    rate = Math.min(rate, CAP_COEF[0] * FIRST_CPN_RATE + CAP_COEF[1] * fixing + CAP_COEF[2]);
    cpn[0] = new CouponFixed(CUR, TimeCalculator.getTimeBetween(referenceDate, annuityDefinition.getNthPayment(1).getPaymentDate()), DISCOUNTING_CURVE_NAME, annuityDefinition.getNthPayment(1)
        .getPaymentYearFraction(), NOTIONAL, rate, annuityDefinition.getNthPayment(1).getAccrualStartDate(), annuityDefinition.getNthPayment(1).getAccrualEndDate());
    for (int loopcpn = 1; loopcpn < NB_COUPON - 1; loopcpn++) {
      cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn + 1).toDerivative(referenceDate, CURVES_NAMES);
    }
    final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
View Full Code Here
329
330
331
332
333
334
335
336
337
338
339
    final Annuity<Coupon> annuity = annuityDefinition.toDerivative(referenceDate, fixingTS);
    final Coupon[] cpn = new Coupon[NB_COUPON - 1];
    double rate = MAIN_COEF[0] * FIRST_CPN_RATE + MAIN_COEF[1] * fixing + MAIN_COEF[2];
    rate = Math.max(rate, FLOOR_COEF[0] * FIRST_CPN_RATE + FLOOR_COEF[1] * fixing + FLOOR_COEF[2]);
    rate = Math.min(rate, CAP_COEF[0] * FIRST_CPN_RATE + CAP_COEF[1] * fixing + CAP_COEF[2]);
    cpn[0] = new CouponFixed(CUR, TimeCalculator.getTimeBetween(referenceDate, annuityDefinition.getNthPayment(1).getPaymentDate()), annuityDefinition.getNthPayment(1)
        .getPaymentYearFraction(), NOTIONAL, rate, annuityDefinition.getNthPayment(1).getAccrualStartDate(), annuityDefinition.getNthPayment(1).getAccrualEndDate());
    for (int loopcpn = 1; loopcpn < NB_COUPON - 1; loopcpn++) {
      cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn + 1).toDerivative(referenceDate);
    }
    final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
View Full Code Here
308
309
310
311
312
313
314
315
316
317
318
          fixedRate = data.getLatestValue(); //TODO remove me as soon as possible
          //throw new OpenGammaRuntimeException("Could not get fixing value for date " + getFixingDate());
        }
      }

      return new CouponFixed(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
    }
    // CMS spread is not fixed yet, all the details are required.
    final double fixingTime = TimeCalculator.getTimeBetween(date, getFixingDate());
    final double settlementTime = TimeCalculator.getTimeBetween(date, _underlyingSwap1.getFixedLeg().getNthPayment(0).getAccrualStartDate());
    final SwapFixedCoupon<Coupon> swap1 = _underlyingSwap1.toDerivative(date, yieldCurveNames);
View Full Code Here
370
371
372
373
374
375
376
377
378
379
380
          fixedRate = data.getLatestValue(); //TODO remove me as soon as possible
          //throw new OpenGammaRuntimeException("Could not get fixing value for date " + getFixingDate());
        }
      }

      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
    }
    // CMS spread is not fixed yet, all the details are required.
    final double fixingTime = TimeCalculator.getTimeBetween(date, getFixingDate());
    final double settlementTime = TimeCalculator.getTimeBetween(date, _underlyingSwap1.getFixedLeg().getNthPayment(0).getAccrualStartDate());
    final SwapFixedCoupon<Coupon> swap1 = _underlyingSwap1.toDerivative(date);
View Full Code Here
267
268
269
270
271
272
273
274
275
276
277
278
        }
        final CouponArithmeticAverageONSpread cpn = CouponArithmeticAverageONSpread.from(paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodTimes,
            fixingAccrualFactorsLeft, accruedRate, _spread);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), accruedRate / getPaymentYearFraction());

    }

    // All fixed already
    return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), accruedRate / getPaymentYearFraction());
  }
View Full Code Here
331
332
333
334
335
336
337
338
339
340
341
342
343
344
        }
        final CouponONCompounded cpn = new CouponONCompounded(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTimes,
            fixingPeriodEndTimes, fixingAccrualFactorsLeft, fixingPeriodAccrualFactorsActAct, accruedNotional, yieldCurveNames[1]);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
          / getPaymentYearFraction());

    }

    // All fixed already
    return new CouponFixed(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
        / getPaymentYearFraction());
  }
View Full Code Here
401
402
403
404
405
406
407
408
409
410
411
412
413
414
        }
        final CouponONCompounded cpn = new CouponONCompounded(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTimes,
            fixingPeriodEndTimes, fixingAccrualFactorsLeft, fixingPeriodAccrualFactorsActAct, accruedNotional);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
          / getPaymentYearFraction());

    }

    // All fixed already
    return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
        / getPaymentYearFraction());
  }
View Full Code Here
TOP

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
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.