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

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

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  public void presentValueStarted() {
    final double fixing = 0.0015;
    final ZonedDateTimeDoubleTimeSeries TS_ON = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 5, 20), DateUtils.getUTCDate(2011, 5, 23) }, new double[] {
        0.0010, fixing });
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(EFFECTIVE_DATE, 1, TARGET);
    final CouponON cpnOISStarted = (CouponON) CPN_OIS_DEFINITION.toDerivative(referenceDate, TS_ON);
    final double notionalAccrued = NOTIONAL * (1 + fixing * EONIA.getDayCount().getDayCountFraction(EFFECTIVE_DATE, referenceDate));
    assertEquals("CouponOISDiscountingMarketMethod: present value", notionalAccrued, cpnOISStarted.getNotionalAccrued(), TOLERANCE_PV);
    final MultipleCurrencyAmount pvComputed = METHOD_CPN_OIS.presentValue(cpnOISStarted, MULTICURVES);
    final double forward = MULTICURVES.getForwardRate(EONIA, cpnOISStarted.getFixingPeriodStartTime(), cpnOISStarted.getFixingPeriodEndTime(), cpnOISStarted.getFixingPeriodAccrualFactor());
    final double pvExpected = (cpnOISStarted.getNotionalAccrued() * (1 + cpnOISStarted.getFixingPeriodAccrualFactor() * forward) - NOTIONAL)
        * MULTICURVES.getDiscountFactor(cpnOISStarted.getCurrency(), cpnOISStarted.getPaymentTime());
    assertEquals("CouponOISDiscountingMarketMethod: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }
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  @Test
  /**
   * Tests the present value rate sensitivity: two curves identical.
   */
  public void presentValueCurveSensitivityOneCurveNotStarted() {
    final CouponON eoniaCouponNotStartedOneCurve = new CouponON(EUR_CUR, PAYMENT_TIME_1, CURVES_NAMES[0], PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, START_ACCRUAL_TIME_1, END_ACCRUAL_TIME_1,
        FIXING_YEAR_FRACTION, NOTIONAL, CURVES_NAMES[0]);
    final InterestRateCurveSensitivity pvcs = METHOD_OIS.presentValueCurveSensitivity(eoniaCouponNotStartedOneCurve, CURVES);
    //pvcs = pvcs.cleaned();
    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
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  @Test
  /**
   * Tests the toDerivative method.
   */
  public void toDerivative() {
    final CouponON cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(TRADE_DATE);
    final double paymentTime = TimeCalculator.getTimeBetween(TRADE_DATE, PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(TRADE_DATE, START_ACCRUAL_DATE);
    final double fixingEndTime = TimeCalculator.getTimeBetween(TRADE_DATE, END_ACCRUAL_DATE);
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, FIXING_YEAR_FRACTION, NOTIONAL);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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  /**
   * Tests the toDerivative method.
   */
  public void toDerivativeDeprecated() {
    final String[] curveNames = new String[] {"Funding", "Forward"};
    final CouponON cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(TRADE_DATE, curveNames);
    final double paymentTime = TimeCalculator.getTimeBetween(TRADE_DATE, PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(TRADE_DATE, START_ACCRUAL_DATE);
    final double fixingEndTime = TimeCalculator.getTimeBetween(TRADE_DATE, END_ACCRUAL_DATE);
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, curveNames[0], PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, FIXING_YEAR_FRACTION, NOTIONAL,
        curveNames[1]);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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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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  /**
   * Tests the toDerivative method.
   */
  public void toDerivativeNoFixingDeprecated() {
    final String[] curvesNames = new String[] {"Funding", "Forward" };
    final CouponON cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(TRADE_DATE, curvesNames);
    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, curvesNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, EUR_FIXING_YEAR_FRACTION,
        NOTIONAL, curvesNames[1]);
    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, curvesNames);
    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, curvesNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, EUR_FIXING_YEAR_FRACTION,
        NOTIONAL, curvesNames[1]);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }
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          0.01 });
    final Payment cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    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, curvesNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, EUR_FIXING_YEAR_FRACTION,
        NOTIONAL, curvesNames[1]);
    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, 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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        (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, 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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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponON

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