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

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

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

com.opengamma.analytics.financial.interestrate.payments.derivative.CouponON
Class describing a OIS-like floating coupon. The description is simplified by not creating the full set of fixing times. Only the start and the end of the fixing period times are described. The description is enough to construct curves from OIS and price OIS coupons (even if some fixing already took place).

    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, USD_PAYMENT_YEAR_FRACTION, NOTIONAL, USD_FEDFUND, fixingStartTime, fixingEndTime,
        yearFractionLeft, notionalIncreased);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }

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        "Simplified Coupon OIS only valid for dates where the fixing has not taken place yet.");
    ArgumentChecker.isTrue(yieldCurveNames.length > 1, "at least two curves required");
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(date, _fixingPeriodStartDate);
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(date, _fixingPeriodEndDate);
    final CouponON cpn = new CouponON(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTime,
        fixingPeriodEndTime, _fixingPeriodAccrualFactor, getNotional(), yieldCurveNames[1]);
    return cpn;
  }

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    ArgumentChecker.isTrue(!date.isAfter(_fixingPeriodStartDate) || date.toLocalDate().equals(_fixingPeriodStartDate.toLocalDate()),
        "Simplified Coupon OIS only valid for dates where the fixing has not taken place yet.");
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(date, _fixingPeriodStartDate);
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(date, _fixingPeriodEndDate);
    final CouponON cpn = new CouponON(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTime,
        fixingPeriodEndTime, _fixingPeriodAccrualFactor, getNotional());
    return cpn;
  }

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    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(date, _fixingPeriodDate[_fixingPeriodDate.length - 1]);
    double fixingAccrualFactorTotal = 0.0;
    for (final Double element : _fixingPeriodAccrualFactor) {
      fixingAccrualFactorTotal += element;
    }
    final CouponON cpn = new CouponON(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTime,
        fixingPeriodEndTime, fixingAccrualFactorTotal, getNotional(), yieldCurveNames[1]);
    return cpn;
  }

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        final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(valZdt, _fixingPeriodDate[_fixingPeriodDate.length - 1]);
        double fixingAccrualFactorLeft = 0.0;
        for (int loopperiod = fixedPeriod; loopperiod < _fixingPeriodAccrualFactor.length; loopperiod++) {
          fixingAccrualFactorLeft += _fixingPeriodAccrualFactor[loopperiod];
        }
        final CouponON cpn = new CouponON(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTime,
            fixingPeriodEndTime, fixingAccrualFactorLeft, accruedNotional, yieldCurveNames[1]);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
          / getPaymentYearFraction());

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    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(date, _fixingPeriodDate[_fixingPeriodDate.length - 1]);
    double fixingAccrualFactorTotal = 0.0;
    for (final Double element : _fixingPeriodAccrualFactor) {
      fixingAccrualFactorTotal += element;
    }
    final CouponON cpn = new CouponON(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTime,
        fixingPeriodEndTime, fixingAccrualFactorTotal, getNotional());
    return cpn;
  }

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        final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(valZdt, _fixingPeriodDate[_fixingPeriodDate.length - 1]);
        double fixingAccrualFactorLeft = 0.0;
        for (int loopperiod = fixedPeriod; loopperiod < _fixingPeriodAccrualFactor.length; loopperiod++) {
          fixingAccrualFactorLeft += _fixingPeriodAccrualFactor[loopperiod];
        }
        final CouponON cpn = new CouponON(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTime,
            fixingPeriodEndTime, fixingAccrualFactorLeft, accruedNotional);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
          / getPaymentYearFraction());

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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

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