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

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

229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
    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);
      }
    }
    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);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double settlementTime = TimeCalculator.getTimeBetween(dateTime, _underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate());
    final SwapFixedCoupon<Coupon> swap = _underlyingSwap.toDerivative(dateTime);
    //Implementation remark: SwapFixedIbor can not be used as the first coupon may have fixed already and one CouponIbor is now fixed.
View Full Code Here
267
268
269
270
271
272
273
274
275
276
277
278
279
280
        }
        final CouponONSpread cpn = new CouponONSpread(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTime,
            fixingPeriodEndTime, fixingAccrualFactorLeft, accruedNotional, _spread);
        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
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
    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);
      }
    }
    if (dayConversion.isAfter(dayFixing)) { // The fixing is required
      final ZonedDateTime rezonedFixingDate = ZonedDateTime.of(LocalDateTime.of(getFixingDate().toLocalDate(), LocalTime.of(0, 0)), ZoneOffset.UTC);
      final Double fixedRate = indexFixingTimeSeries.getValue(rezonedFixingDate); // TODO: remove time from fixing date.
      if (fixedRate == null) {
        throw new OpenGammaRuntimeException("Could not get fixing value for date " + getFixingDate());
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime1 = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate1());
    final double fixingPeriodEndTime1 = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate1());
    final double fixingPeriodStartTime2 = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate2());
View Full Code Here
369
370
371
372
373
374
375
376
377
378
379
      }
    }
    if (nbFixed == nbSubPeriods) {
      // Implementation note: all dates already fixed: CouponFixed
      final double rate = (ratioAccrued - 1.0) / getPaymentYearFraction();
      return new CouponFixed(getCurrency(), paymentTime, discountingCurveName, getPaymentYearFraction(), getNotional(), rate, getAccrualStartDate(), getAccrualEndDate());
    }
    final double notionalAccrued = getNotional() * ratioAccrued;
    final int nbSubPeriodLeft = nbSubPeriods - nbFixed;
    final double[] paymentAccrualFactorsLeft = new double[nbSubPeriodLeft];
    System.arraycopy(_paymentAccrualFactors, nbFixed, paymentAccrualFactorsLeft, 0, nbSubPeriodLeft);
View Full Code Here
429
430
431
432
433
434
435
436
437
438
439
      }
    }
    if (nbFixed == nbSubPeriods) {
      // Implementation note: all dates already fixed: CouponFixed
      final double rate = (ratioAccrued - 1.0) / getPaymentYearFraction();
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), rate, getAccrualStartDate(), getAccrualEndDate());
    }
    final double notionalAccrued = getNotional() * ratioAccrued;
    final int nbSubPeriodLeft = nbSubPeriods - nbFixed;
    final double[] paymentAccrualFactorsLeft = new double[nbSubPeriodLeft];
    System.arraycopy(_paymentAccrualFactors, nbFixed, paymentAccrualFactorsLeft, 0, nbSubPeriodLeft);
View Full Code Here
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
    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(), payOff(fixedRate));
      }
    }
    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, fundingCurveName, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
    }
    // CMS is not fixed yet, all the details are required.
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double settlementTime = TimeCalculator.getTimeBetween(dateTime, _underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate());
    final SwapFixedCoupon<Coupon> swap = _underlyingSwap.toDerivative(dateTime, yieldCurveNames);
View Full Code Here
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
    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(), payOff(fixedRate));
      }
    }
    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(), payOff(fixedRate));
    }
    // CMS is not fixed yet, all the details are required.
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double settlementTime = TimeCalculator.getTimeBetween(dateTime, _underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate());
    final SwapFixedCoupon<Coupon> swap = _underlyingSwap.toDerivative(dateTime);
View Full Code Here
146
147
148
149
150
151
152
153
154
155
156
    // Non-constant rate
    final AnnuityCouponFixed annuity = SWAP_PAYER.getFixedLeg();
    final CouponFixed[] coupon = new CouponFixed[annuity.getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < annuity.getNumberOfPayments(); loopcpn++) {
      // Step-up by 10bps
      coupon[loopcpn] = new CouponFixed(CUR, annuity.getNthPayment(loopcpn).getPaymentTime(), CURVES_NAME[0], annuity.getNthPayment(loopcpn).getPaymentYearFraction(), NOTIONAL
          * (FIXED_IS_PAYER ? -1 : 1), RATE + loopcpn * 0.001);
    }
    final AnnuityCouponFixed annuityStepUp = new AnnuityCouponFixed(coupon);
    final SwapFixedCoupon<Coupon> swapStepup = new SwapFixedCoupon<>(annuityStepUp, SWAP_PAYER.getSecondLeg());
    couponEquiv = METHOD_SWAP.couponEquivalent(swapStepup, CURVES);
View Full Code Here
82
83
84
85
86
87
88
89
90
  @Test
  public void testToDerivativeDeprecated() {
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    final double paymentTime = actAct.getDayCountFraction(REFERENCE_DATE, PAYMENT_DATE);
    final String fundingCurve = "Funding";
    final CouponFixed couponFixed = new CouponFixed(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, RATE, FIXED_COUPON.getAccrualStartDate(), FIXED_COUPON.getAccrualEndDate());
    final CouponFixed convertedDefinition = FIXED_COUPON.toDerivative(REFERENCE_DATE, fundingCurve);
    assertEquals(couponFixed, convertedDefinition);
  }
View Full Code Here
91
92
93
94
95
96
97
98
99
  @Test
  public void testToDerivative() {
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    final double paymentTime = actAct.getDayCountFraction(REFERENCE_DATE, PAYMENT_DATE);
    final CouponFixed couponFixed = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, RATE, FIXED_COUPON.getAccrualStartDate(), FIXED_COUPON.getAccrualEndDate());
    final CouponFixed convertedDefinition = FIXED_COUPON.toDerivative(REFERENCE_DATE);
    assertEquals(couponFixed, convertedDefinition);
  }
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.