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

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

Class describing an Ibor-like compounded coupon. The Ibor fixings are compounded over several sub-periods. The amount paid is equal to $$ \begin{equation*} \left(\prod_{i=1}^n (1+\delta_i r_i) \right)-1 \end{equation*} $$ where the $\delta_i$ are the accrual factors of the sub periods and the $r_i$ the fixing for the same periods. The fixing have their own start dates, end dates and accrual factors. In general they are close to the accrual dates used to compute the coupon accrual factors.

    assertEquals("CouponIborCompounded Discounting: present value curve sensitivity", 1, pscsComputed.getSensitivities().get(CURVES_NAMES[0]).size()); // 1 discounting
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 0.01 unit for a 1 bp move.
    final double deltaShift = 1.0E-6;
    // Credit curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final CouponIborCompounding cpnBumped = CPN_DEFINITION.toDerivative(REFERENCE_DATE_BEFORE, CURVES_NAMES[0], bumpedCurveName);
    final double[] nodeTimesDsc = new double[] {cpnBumped.getPaymentTime() };
    final List<DoublesPair> sensiDscFD = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(CPN_BEFORE, PVC, CURVES_BUNDLE, CURVES_NAMES[0], nodeTimesDsc, deltaShift);
    final List<DoublesPair> sensiDscComputed = pscsComputed.getSensitivities().get(CURVES_NAMES[0]);
    assertTrue("parSpread: curve sensitivity - dsc", InterestRateCurveSensitivityUtils.compare(sensiDscFD, sensiDscComputed, TOLERANCE_SENSI_2));
    final Set<Double> nodeTimesFwdSet = new TreeSet<>();
    final int nbSub = CPN_BEFORE.getFixingTimes().length;

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

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