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

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

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          } else {
            if (getNthPayment(loopcpn) instanceof CouponFixed) {
              final CouponFixed cpn = (CouponFixed) getNthPayment(loopcpn);
              cpnRate[loopcpn] = cpn.getFixedRate();
            } else {
              final CouponIborGearing cpn = (CouponIborGearing) getNthPayment(loopcpn);
              final double ibor = prc.visitCouponIborGearing(cpn, curves);
              cpnRate[loopcpn] = cpn.getFactor() * ibor + cpn.getSpread();
            }
          }
        }
        break;

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            final double cpnCap = cpn.getCapCoefficients()[0] * cpnRate[loopcpn - 1][looppath] + cpn.getCapCoefficients()[1] * ibor + cpn.getCapCoefficients()[2];
            cpnRate[loopcpn][looppath] = Math.min(Math.max(cpnFloor, cpnMain), cpnCap);
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * discounting[loopcpn][impactIndex[loopcpn][1]][looppath];
          }
        } else {
          final CouponIborGearing cpn = (CouponIborGearing) annuity.getNthPayment(loopcpn); // Only possible for the first coupon
          for (int looppath = 0; looppath < nbPath; looppath++) {
            ibor = (-impactAmount[0][0] * discounting[loopcpn][impactIndex[loopcpn][0]][looppath] / (impactAmount[0][1] * discounting[loopcpn][impactIndex[loopcpn][1]][looppath]) - 1.0)
                / cpn.getFixingAccrualFactor();
            cpnRate[loopcpn][looppath] = cpn.getFactor() * ibor + cpn.getSpread();
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * discounting[loopcpn][impactIndex[loopcpn][1]][looppath];
          }
        }
      }
    }
    double price = 0.0;
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            final double cpnCap = cpn.getCapCoefficients()[0] * cpnRate[loopcpn - 1][looppath] + cpn.getCapCoefficients()[1] * ibor + cpn.getCapCoefficients()[2];
            cpnRate[loopcpn][looppath] = Math.min(Math.max(cpnFloor, cpnMain), cpnCap);
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * discounting[loopcpn][impactIndex[loopcpn][1]][looppath];
          }
        } else {
          final CouponIborGearing cpn = (CouponIborGearing) annuity.getNthPayment(loopcpn); // Only possible for the first coupon
          for (int looppath = 0; looppath < nbPath; looppath++) {
            ibor = (-impactAmount[0][0] * discounting[loopcpn][impactIndex[loopcpn][0]][looppath] / (impactAmount[0][1] * discounting[loopcpn][impactIndex[loopcpn][1]][looppath]) - 1.0)
                / cpn.getFixingAccrualFactor();
            cpnRate[loopcpn][looppath] = cpn.getFactor() * ibor + cpn.getSpread();
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * discounting[loopcpn][impactIndex[loopcpn][1]][looppath];
          }
        }
      }
    }
    double price = 0.0;
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            final double cpnCap = cpn.getCapCoefficients()[0] * cpnRate[loopcpn - 1][looppath] + cpn.getCapCoefficients()[1] * ibor + cpn.getCapCoefficients()[2];
            cpnRate[loopcpn][looppath] = Math.min(Math.max(cpnFloor, cpnMain), cpnCap);
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1];
          }
        } else {
          final CouponIborGearing cpn = (CouponIborGearing) annuity.getNthPayment(loopcpn);
          for (int looppath = 0; looppath < nbPath; looppath++) {
            ibor = (-impactAmount[0][0] * pathDiscountFactors[looppath][0][0] / (impactAmount[0][1] * pathDiscountFactors[looppath][0][1]) - 1.0) / cpn.getFixingAccrualFactor();
            cpnRate[loopcpn][looppath] = cpn.getFactor() * ibor + cpn.getSpread();
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1];
          }
        }
      }
    }
    for (int looppath = 0; looppath < nbPath; looppath++) {
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            cpnCap[loopcpn][looppath] = cpn.getCapCoefficients()[0] * cpnRate[loopcpn - 1][looppath] + cpn.getCapCoefficients()[1] * ibor[loopcpn][looppath] + cpn.getCapCoefficients()[2];
            cpnRate[loopcpn][looppath] = Math.min(Math.max(cpnFloor[loopcpn][looppath], cpnMain[loopcpn][looppath]), cpnCap[loopcpn][looppath]);
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1];
          }
        } else {
          final CouponIborGearing cpn = (CouponIborGearing) annuity.getNthPayment(loopcpn);
          for (int looppath = 0; looppath < nbPath; looppath++) {
            ibor[loopcpn][looppath] = (-impactAmount[0][0] * pathDiscountFactors[looppath][0][0] / (impactAmount[0][1] * pathDiscountFactors[looppath][0][1]) - 1.0) / cpn.getFixingAccrualFactor();
            cpnRate[loopcpn][looppath] = cpn.getFactor() * ibor[loopcpn][looppath] + cpn.getSpread();
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1];
          }
        }
      }
    }
    for (int looppath = 0; looppath < nbPath; looppath++) {
      price += annuityPathValue[looppath];
    }
    price = price / nbPath;
    // Backward sweep
    final double priceBar = 1.0;
    final double[] annuityPathValueBar = new double[nbPath];
    for (int looppath = 0; looppath < nbPath; looppath++) {
      annuityPathValueBar[looppath] = 1.0 / nbPath * priceBar;
    }
    final double[][] impactAmountBar = new double[nbCpn][];
    final double[][] cpnRateBar = new double[nbCpn][nbPath];
    final double[][] iborBar = new double[nbCpn][nbPath];
    final double[][] cpnMainBar = new double[nbCpn][nbPath];
    final double[][] cpnFloorBar = new double[nbCpn][nbPath];
    final double[][] cpnCapBar = new double[nbCpn][nbPath];
    final Double[][][] pathDiscountFactorsBar = new Double[nbPath][nbCpn][];
    for (int loopcpn = nbCpn - 1; loopcpn >= 0; loopcpn--) {
      impactAmountBar[loopcpn] = new double[impactAmount[loopcpn].length];
      for (int looppath = 0; looppath < nbPath; looppath++) {
        pathDiscountFactorsBar[looppath][loopcpn] = new Double[impactAmount[loopcpn].length];
      }
      if (annuity.isFixed()[loopcpn]) { // Coupon already fixed: only one cash flow
        for (int looppath = 0; looppath < nbPath; looppath++) {
          impactAmountBar[loopcpn][0] += pathDiscountFactors[looppath][loopcpn][0] * annuityPathValueBar[looppath];
          pathDiscountFactorsBar[looppath][loopcpn][0] = impactAmount[loopcpn][0] * annuityPathValueBar[looppath];
        }
      } else {
        if (annuity.getNthPayment(loopcpn) instanceof CouponIborRatchet) {
          final CouponIborRatchet cpn = (CouponIborRatchet) annuity.getNthPayment(loopcpn);
          for (int looppath = 0; looppath < nbPath; looppath++) {
            cpnRateBar[loopcpn][looppath] += cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1] * annuityPathValueBar[looppath];
            cpnCapBar[loopcpn][looppath] = (cpnCap[loopcpn][looppath] < Math.max(cpnFloor[loopcpn][looppath], cpnMain[loopcpn][looppath]) ? 1.0 : 0.0) * cpnRateBar[loopcpn][looppath];
            cpnFloorBar[loopcpn][looppath] = (cpnCap[loopcpn][looppath] >= Math.max(cpnFloor[loopcpn][looppath], cpnMain[loopcpn][looppath]) ? 1.0 : 0.0)
                * (cpnFloor[loopcpn][looppath] > cpnMain[loopcpn][looppath] ? 1.0 : 0.0) * cpnRateBar[loopcpn][looppath];
            cpnMainBar[loopcpn][looppath] = (cpnCap[loopcpn][looppath] >= Math.max(cpnFloor[loopcpn][looppath], cpnMain[loopcpn][looppath]) ? 1.0 : 0.0)
                * (cpnFloor[loopcpn][looppath] <= cpnMain[loopcpn][looppath] ? 1.0 : 0.0) * cpnRateBar[loopcpn][looppath];
            cpnRateBar[loopcpn - 1][looppath] += cpn.getCapCoefficients()[0] * cpnCapBar[loopcpn][looppath] + cpn.getFloorCoefficients()[0] * cpnFloorBar[loopcpn][looppath]
                + cpn.getMainCoefficients()[0] * cpnMainBar[loopcpn][looppath];
            iborBar[loopcpn][looppath] = cpn.getMainCoefficients()[1] * cpnMainBar[loopcpn][looppath] + cpn.getFloorCoefficients()[1] * cpnFloorBar[loopcpn][looppath] + cpn.getCapCoefficients()[1]
                * cpnCapBar[loopcpn][looppath];
            impactAmountBar[loopcpn][0] += -pathDiscountFactors[looppath][loopcpn][0] / (impactAmount[loopcpn][1] * pathDiscountFactors[looppath][loopcpn][1]) / cpn.getFixingAccrualFactor()
                * iborBar[loopcpn][looppath];
            impactAmountBar[loopcpn][1] += impactAmount[loopcpn][0] * pathDiscountFactors[looppath][loopcpn][0] / pathDiscountFactors[looppath][loopcpn][1]
                / (impactAmount[loopcpn][1] * impactAmount[loopcpn][1]) / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
            pathDiscountFactorsBar[looppath][loopcpn][1] = cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * annuityPathValueBar[looppath];
            pathDiscountFactorsBar[looppath][loopcpn][0] = -impactAmount[loopcpn][0] / (impactAmount[loopcpn][1] * pathDiscountFactors[looppath][loopcpn][1]) / cpn.getFixingAccrualFactor()
                * iborBar[loopcpn][looppath];
            pathDiscountFactorsBar[looppath][loopcpn][1] += impactAmount[loopcpn][0] * pathDiscountFactors[looppath][loopcpn][0] / impactAmount[loopcpn][1]
                / (pathDiscountFactors[looppath][loopcpn][1] * pathDiscountFactors[looppath][loopcpn][1]) / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
          }
        } else {
          final CouponIborGearing cpn = (CouponIborGearing) annuity.getNthPayment(loopcpn);
          for (int looppath = 0; looppath < nbPath; looppath++) {
            cpnRateBar[loopcpn][looppath] += cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1] * annuityPathValueBar[looppath];
            iborBar[loopcpn][looppath] = cpn.getFactor() * cpnRateBar[loopcpn][looppath];
            impactAmountBar[0][0] += -pathDiscountFactors[looppath][0][0] / (impactAmount[0][1] * pathDiscountFactors[looppath][0][1]) / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
            impactAmountBar[0][1] += impactAmount[0][0] * pathDiscountFactors[looppath][0][0] / pathDiscountFactors[looppath][0][1] / (impactAmount[0][1] * impactAmount[0][1])
                / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
            pathDiscountFactorsBar[looppath][loopcpn][1] = cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * annuityPathValueBar[looppath];
            pathDiscountFactorsBar[looppath][0][0] = -impactAmount[0][0] / (impactAmount[0][1] * pathDiscountFactors[looppath][0][1]) / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
            pathDiscountFactorsBar[looppath][0][1] += impactAmount[0][0] * pathDiscountFactors[looppath][0][0] / impactAmount[0][1]
                / (pathDiscountFactors[looppath][0][1] * pathDiscountFactors[looppath][0][1]) / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
          }
        }
      }
    }
    mcResults.setImpactAmountDerivative(impactAmountBar);
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    final String forwardCurveName = yieldCurveNames[1];
    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    return new CouponIborGearing(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
        getFixingPeriodAccrualFactor(), _spread, _factor, forwardCurveName);
  }
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      return new CouponFixed(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), _factor * fixedRate + _spread);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    return new CouponIborGearing(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
        getFixingPeriodAccrualFactor(), _spread, _factor, forwardCurveName);
  }
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    ArgumentChecker.isTrue(!dayConversion.isAfter(getPaymentDate().toLocalDate()), "date is after payment date");
    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    return new CouponIborGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
        getFixingPeriodAccrualFactor(), _spread, _factor);
  }
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      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _factor * fixedRate + _spread);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    return new CouponIborGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
        getFixingPeriodAccrualFactor(), _spread, _factor);
  }
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2010, 12, 27, 9, 0);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_END_DATE);
    final double fixingTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE);
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_START_DATE);
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_END_DATE);
    final CouponIborGearing coupon = new CouponIborGearing(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        FIXING_ACCRUAL_FACTOR, SPREAD, FACTOR);
    Payment couponConverted = COUPON_DEFINITION.toDerivative(referenceDate);
    assertEquals(coupon, couponConverted);
    couponConverted = COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon, couponConverted);
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing

  • com.opengamma.analytics.financial.instrument.payment.CouponIborGearingDefinition
  • com.opengamma.analytics.financial.instrument.payment.CouponIborGearingDefinitionTest
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  • com.opengamma.analytics.financial.montecarlo.provider.MonteCarloIborRateCalculator
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