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

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

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

com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborCompoundingFlatSpread
Class describing a Ibor-like coupon with compounding and spread. There are three ISDA versions of compounding with spread. The one referred in this class is the "Flat Compounding" (not "Compounding" and not "Compounding treating spread as simple interest"). The Ibor fixing are compounded over several sub-periods. The amount paid is described in the reference below. 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.
Reference: Mengle, D. (2009). Alternative compounding methods for over-the-counter derivative transactions. ISDA.

    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, _fixingSubperiodStartDates);
    final double[] fixingPeriodEndTimes = TimeCalculator.getTimeBetween(dateTime, _fixingSuberiodEndDates);
    return new CouponIborCompoundingFlatSpread(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), 0, _index, _subperiodAccrualFactors,
        fixingTimes, fixingPeriodStartTimes, fixingPeriodEndTimes, _fixingSubperiodAccrualFactors, _spread);
  }

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    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingSubperiodStartDates), nbFixed, fixingPeriodStartTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodEndTimesLeft = new double[nbSubPeriodLeft];
    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingSuberiodEndDates), nbFixed, fixingPeriodEndTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodAccrualFactorsLeft = new double[nbSubPeriodLeft];
    System.arraycopy(_fixingSubperiodAccrualFactors, nbFixed, fixingPeriodAccrualFactorsLeft, 0, nbSubPeriodLeft);
    return new CouponIborCompoundingFlatSpread(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), cpaAccumulated, _index, paymentAccrualFactorsLeft,
        fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, _spread);
  }

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


  @Test
  public void toDerivativeNoFixing() {
    final CouponIborCompoundingFlatSpread cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE);
    final CouponIborCompoundingFlatSpread cpnExpected = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, 0, USDLIBOR1M,
        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
    assertEquals("CouponIborCompoundingFlatSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS);
    assertEquals("CouponIborCompoundingFlatSpreadDefinition: toDerivative", cpnExpected, cpnConverted2);
  }

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    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 CouponIborCompoundingFlatSpread cpnExpected = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, cpaAccumulated, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, SPREAD);
    assertEquals("CouponIborCompoundingFlatSpreadDefinition: toDerivative", cpnExpected, cpnConverted);
  }

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    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 CouponIborCompoundingFlatSpread cpnExpected = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, cpaAccumulated, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, SPREAD);
    assertEquals("CouponIborCompoundingFlatSpreadDefinition: toDerivative", cpnExpected, cpnConverted);
  }

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

com.opengamma.analytics.financial.instrument.payment.CouponIborCompoundingFlatSpreadDefinition

com.opengamma.analytics.financial.instrument.payment.CouponIborCompoundingFlatSpreadDefinitionTest

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