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

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

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

com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedCompounding
Class describing a fixed compounded coupon. The amount paid is equal to $$ \begin{equation*} \left(\prod_{i=1}^n (1+\delta_i r) \right)-1 \end{equation*} $$ where the $\delta_i$ are the accrual factors of the sub periods and the $r$ the fixed rate. dates used to compute the coupon accrual factors.

    if (swap.getFirstLeg().getNumberOfPayments() == 1 && swap.getFirstLeg().getNthPayment(0) instanceof CouponFixedCompounding) {
      // Implementation note: check if the swap is an inflation swap.
      final InflationSensitivity pvcis = swap.getSecondLeg().accept(PVISC, inflation).getSensitivity(swap.getSecondLeg().getCurrency());
      final MulticurveSensitivity pvcs = swap.getFirstLeg().accept(PVSC, inflation.getMulticurveProvider()).getSensitivity(swap.getFirstLeg().getCurrency());


      final CouponFixedCompounding cpn = (CouponFixedCompounding) swap.getFirstLeg().getNthPayment(0);
      final double pvInflationLeg = swap.getSecondLeg().accept(PVIC, inflation).getAmount(swap.getSecondLeg().getCurrency());
      final double discountFactor = inflation.getDiscountFactor(swap.getFirstLeg().getCurrency(), cpn.getPaymentTime());
      final double tenor = cpn.getPaymentAccrualFactors().length;


      final double notional = ((CouponInflation) swap.getSecondLeg().getNthPayment(0)).getNotional();
      final double intermediateVariable = (1 / tenor) * Math.pow(pvInflationLeg / discountFactor / notional + 1, 1 / tenor - 1) / (discountFactor * notional);
      final MulticurveSensitivity modifiedpvcs = pvcs.multipliedBy(-pvInflationLeg * intermediateVariable / discountFactor);
      final InflationSensitivity modifiedpvcis = pvcis.multipliedBy(intermediateVariable);

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  @Override
  public Double visitSwap(final Swap<?, ?> swap, final InflationProviderInterface inflation) {
    ArgumentChecker.notNull(inflation, "Market");
    ArgumentChecker.notNull(swap, "Swap");
    if (swap.getFirstLeg().getNumberOfPayments() == 1 && swap.getFirstLeg().getNthPayment(0) instanceof CouponFixedCompounding) {
      final CouponFixedCompounding cpn = (CouponFixedCompounding) swap.getFirstLeg().getNthPayment(0);
      final double pvInflationLeg = swap.getSecondLeg().accept(PVIC, inflation).getAmount(swap.getSecondLeg().getCurrency());
      final double discountFactor = inflation.getDiscountFactor(swap.getFirstLeg().getCurrency(), cpn.getPaymentTime());
      final double tenor = cpn.getPaymentAccrualFactors().length;
      final double notional = ((CouponInflation) swap.getSecondLeg().getNthPayment(0)).getNotional();
      return Math.pow(pvInflationLeg / discountFactor / notional + 1, 1 / tenor) - 1 - cpn.getRate();
    }
    final MulticurveProviderInterface multicurves = inflation.getMulticurveProvider();
    return -multicurves.getFxRates().convert(swap.accept(PVMC, multicurves), swap.getFirstLeg().getCurrency()).getAmount() / swap.getFirstLeg().accept(PVMQSC, multicurves);
  }

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  public CouponFixedCompounding toDerivative(final ZonedDateTime date) {
    ArgumentChecker.notNull(date, "date");
    final LocalDate dayConversion = date.toLocalDate();
    ArgumentChecker.isTrue(!dayConversion.isAfter(getPaymentDate().toLocalDate()), "date is after payment date");
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    return new CouponFixedCompounding(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(),
        getPaymentAccrualFactors(), getRate());
  }

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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedCompounding

com.opengamma.analytics.financial.instrument.payment.CouponFixedCompoundingDefinition

com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteCurveSensitivityDiscountingCalculator

com.opengamma.analytics.financial.provider.calculator.inflation.ParSpreadInflationMarketQuoteDiscountingCalculator

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