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

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

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        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[2]);
    double yearFractionLeft = 0.0;
    for (int loopperiod = 3; loopperiod < EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor().length; loopperiod++) {
      yearFractionLeft += EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[loopperiod];
    }
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, curvesNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, yearFractionLeft,
        notionalIncreased, curvesNames[1]);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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  @Test
  /**
   * Tests the toDerivative method.
   */
  public void toDerivativeNoFixing() {
    final CouponON cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(TRADE_DATE);
    final double paymentTime = TimeCalculator.getTimeBetween(TRADE_DATE, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(TRADE_DATE, START_ACCRUAL_DATE);
    final double fixingEndTime = TimeCalculator.getTimeBetween(TRADE_DATE, EUR_END_ACCRUAL_DATE);
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, EUR_FIXING_YEAR_FRACTION,
        NOTIONAL);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7) }, new double[] {0.01 });
    final Payment cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, START_ACCRUAL_DATE);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, EUR_END_ACCRUAL_DATE);
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, EUR_FIXING_YEAR_FRACTION,
        NOTIONAL);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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          0.01 });
    final Payment cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, START_ACCRUAL_DATE);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, EUR_END_ACCRUAL_DATE);
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, EUR_FIXING_YEAR_FRACTION,
        NOTIONAL);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]);
    double yearFractionLeft = 0.0;
    for (int loopperiod = 1; loopperiod < EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor().length; loopperiod++) {
      yearFractionLeft += EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[loopperiod];
    }
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, yearFractionLeft,
        notionalIncreased);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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        (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[1]);
    double yearFractionLeft = 0.0;
    for (int loopperiod = 2; loopperiod < EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor().length; loopperiod++) {
      yearFractionLeft += EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[loopperiod];
    }
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, yearFractionLeft,
        notionalIncreased);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[2]);
    double yearFractionLeft = 0.0;
    for (int loopperiod = 3; loopperiod < EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor().length; loopperiod++) {
      yearFractionLeft += EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[loopperiod];
    }
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, yearFractionLeft,
        notionalIncreased);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, USD_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, USD_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL;
    final double yearFractionLeft = USD_FIXING_YEAR_FRACTION;
    final CouponON cpnExpected = new CouponON(USD_FEDFUND.getCurrency(), paymentTime, curvesNames[0], USD_PAYMENT_YEAR_FRACTION, NOTIONAL, USD_FEDFUND, fixingStartTime, fixingEndTime,
        yearFractionLeft,
        notionalIncreased, curvesNames[1]);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final double notionalIncreased = NOTIONAL * (1 + fixingRates[2] * OIS_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]);
    double yearFractionLeft = 0.0;
    for (int loopperiod = 1; loopperiod < OIS_COUPON_DEFINITION.getFixingPeriodAccrualFactor().length; loopperiod++) {
      yearFractionLeft += OIS_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[loopperiod];
    }
    final CouponON cpnExpected = new CouponON(USD_FEDFUND.getCurrency(), paymentTime, curvesNames[0], USD_PAYMENT_YEAR_FRACTION, NOTIONAL, USD_FEDFUND, fixingStartTime, fixingEndTime,
        yearFractionLeft,
        notionalIncreased, curvesNames[1]);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, USD_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, USD_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL;
    final double yearFractionLeft = USD_FIXING_YEAR_FRACTION;
    final CouponON cpnExpected = new CouponON(USD_FEDFUND.getCurrency(), paymentTime, USD_PAYMENT_YEAR_FRACTION, NOTIONAL, USD_FEDFUND, fixingStartTime, fixingEndTime, yearFractionLeft,
        notionalIncreased);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponON

  • com.opengamma.analytics.financial.instrument.payment.CouponONDefinition
  • com.opengamma.analytics.financial.instrument.payment.CouponONDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONSimplifiedDefinition
  • com.opengamma.analytics.financial.instrument.payment.CouponONSimplifiedDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONSpreadDefinition
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponONDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CouponONDiscountingMethodTest
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