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

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

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.

    CPN_FROM_INDEX_DEFINITION.toDerivative(DateUtils.getUTCDate(2012, 8, 25));
  }


  @Test
  public void toDerivativeNoTS() {
    final CouponIborCompounding cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL, USDLIBOR1M, PAYMENT_ACCRUAL_FACTORS,
        FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted2);
  }

View Full Code Here

    final double[] fixingPeriodEndTimesLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES), 1, fixingPeriodEndTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodAccrualFactorsLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(FIXING_ACCRUAL_FACTORS, 1, fixingPeriodAccrualFactorsLeft, 0, NB_SUB_PERIOD - 1);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }

View Full Code Here

    final double[] fixingTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_DATES[2]) };
    final double[] fixingPeriodStartTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES[2]) };
    final double[] fixingPeriodEndTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES[2]) };
    final double[] fixingPeriodAccrualFactorsLeft = new double[] {FIXING_ACCRUAL_FACTORS[2] };
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }

View Full Code Here

  }


  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeNoTSDeprecated() {
    final CouponIborCompounding cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, new String[] {DSC_NAME, FWD_NAME });
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL, USDLIBOR1M,
        PAYMENT_ACCRUAL_FACTORS,
        FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, FWD_NAME);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted2);

View Full Code Here

    final double[] fixingPeriodEndTimesLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES), 1, fixingPeriodEndTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodAccrualFactorsLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(FIXING_ACCRUAL_FACTORS, 1, fixingPeriodAccrualFactorsLeft, 0, NB_SUB_PERIOD - 1);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, FWD_NAME);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }

View Full Code Here

    final double[] fixingTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_DATES[2]) };
    final double[] fixingPeriodStartTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES[2]) };
    final double[] fixingPeriodEndTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES[2]) };
    final double[] fixingPeriodAccrualFactorsLeft = new double[] {FIXING_ACCRUAL_FACTORS[2] };
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, FWD_NAME);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }

View Full Code Here

    final String forwardCurveName = yieldCurveNames[1];
    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final double[] fixingTimes = TimeCalculator.getTimeBetween(dateTime, _fixingDates);
    final double[] fixingPeriodStartTimes = TimeCalculator.getTimeBetween(dateTime, _fixingPeriodStartDates);
    final double[] fixingPeriodEndTimes = TimeCalculator.getTimeBetween(dateTime, _fixingPeriodEndDates);
    return new CouponIborCompounding(getCurrency(), paymentTime, discountingCurveName, getPaymentYearFraction(), getNotional(), getNotional(), _index,
        _paymentAccrualFactors, fixingTimes, fixingPeriodStartTimes, fixingPeriodEndTimes, _fixingPeriodAccrualFactors, forwardCurveName);
  }

View Full Code Here

    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingPeriodStartDates), nbFixed, fixingPeriodStartTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodEndTimesLeft = new double[nbSubPeriodLeft];
    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingPeriodEndDates), nbFixed, fixingPeriodEndTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodAccrualFactorsLeft = new double[nbSubPeriodLeft];
    System.arraycopy(_fixingPeriodAccrualFactors, nbFixed, fixingPeriodAccrualFactorsLeft, 0, nbSubPeriodLeft);
    return new CouponIborCompounding(getCurrency(), paymentTime, discountingCurveName, getPaymentYearFraction(), getNotional(), notionalAccrued, _index,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, forwardCurveName);
  }

View Full Code Here

    ArgumentChecker.isTrue(!dateConversion.isAfter(_fixingDates[0].toLocalDate()), "toDerivative without time series should have a date before the first fixing date.");
    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final double[] fixingTimes = TimeCalculator.getTimeBetween(dateTime, _fixingDates);
    final double[] fixingPeriodStartTimes = TimeCalculator.getTimeBetween(dateTime, _fixingPeriodStartDates);
    final double[] fixingPeriodEndTimes = TimeCalculator.getTimeBetween(dateTime, _fixingPeriodEndDates);
    return new CouponIborCompounding(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getNotional(), _index,
        _paymentAccrualFactors, fixingTimes, fixingPeriodStartTimes, fixingPeriodEndTimes, _fixingPeriodAccrualFactors);
  }

View Full Code Here

    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingPeriodStartDates), nbFixed, fixingPeriodStartTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodEndTimesLeft = new double[nbSubPeriodLeft];
    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingPeriodEndDates), nbFixed, fixingPeriodEndTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodAccrualFactorsLeft = new double[nbSubPeriodLeft];
    System.arraycopy(_fixingPeriodAccrualFactors, nbFixed, fixingPeriodAccrualFactorsLeft, 0, nbSubPeriodLeft);
    return new CouponIborCompounding(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), notionalAccrued, _index,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft);
  }

View Full Code Here

0 1

TOP

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

com.opengamma.analytics.financial.instrument.payment.CouponIborCompoundingDefinition

com.opengamma.analytics.financial.instrument.payment.CouponIborCompoundingDefinitionTest

com.opengamma.analytics.financial.interestrate.payments.method.CouponIborCompoundedDiscountingMethodTest

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.