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

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

229
230
231
232
233
234
235
236
237
    for (int i = 0; i < _fixingPeriodDates.length - 1; i++) {
      fixingPeriodStartTimes[i] = TimeCalculator.getTimeBetween(date, _fixingPeriodDates[i]);
      fixingPeriodEndTimes[i] = TimeCalculator.getTimeBetween(date, _fixingPeriodDates[i + 1]);
      fixingPeriodAccrualFactorsActAct[i] = TimeCalculator.getTimeBetween(_fixingPeriodDates[i], _fixingPeriodDates[i + 1]);
    }
    final CouponONCompounded cpn = new CouponONCompounded(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTimes,
        fixingPeriodEndTimes, _fixingPeriodAccrualFactors, fixingPeriodAccrualFactorsActAct, getNotional(), yieldCurveNames[1]);
    return cpn;
  }
View Full Code Here
250
251
252
253
254
255
256
257
258
      fixingPeriodStartTimes[i] = TimeCalculator.getTimeBetween(date, _fixingPeriodDates[i]);
      fixingPeriodEndTimes[i] = TimeCalculator.getTimeBetween(date, _fixingPeriodDates[i + 1]);
      fixingPeriodAccrualFactorsActAct[i] = TimeCalculator.getTimeBetween(_fixingPeriodDates[i], _fixingPeriodDates[i + 1]);
    }

    final CouponONCompounded cpn = new CouponONCompounded(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTimes,
        fixingPeriodEndTimes, _fixingPeriodAccrualFactors, fixingPeriodAccrualFactorsActAct, getNotional());
    return cpn;
  }
View Full Code Here
327
328
329
330
331
332
333
334
335
336
337
        }

        for (int loopperiod = 0; loopperiod < _fixingPeriodAccrualFactors.length - fixedPeriod; loopperiod++) {
          fixingAccrualFactorsLeft[loopperiod] = _fixingPeriodAccrualFactors[loopperiod + fixedPeriod];
        }
        final CouponONCompounded cpn = new CouponONCompounded(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTimes,
            fixingPeriodEndTimes, fixingAccrualFactorsLeft, fixingPeriodAccrualFactorsActAct, accruedNotional, yieldCurveNames[1]);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
          / getPaymentYearFraction());
View Full Code Here
397
398
399
400
401
402
403
404
405
406
407
        }

        for (int loopperiod = 0; loopperiod < _fixingPeriodAccrualFactors.length - fixedPeriod; loopperiod++) {
          fixingAccrualFactorsLeft[loopperiod] = _fixingPeriodAccrualFactors[loopperiod + fixedPeriod];
        }
        final CouponONCompounded cpn = new CouponONCompounded(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTimes,
            fixingPeriodEndTimes, fixingAccrualFactorsLeft, fixingPeriodAccrualFactorsActAct, accruedNotional);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
          / getPaymentYearFraction());
View Full Code Here
109
110
111
112
113
114
115
116
117
118
119
120
121
122
  @Test
  public void presentValueCurveSensitivity() {
    InterestRateCurveSensitivity pvcsSwaption = METHOD_BLACK.presentValueCurveSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    // 1. Discounting curve sensitivity
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    final CouponONCompounded cpnON = SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNthPayment(0);
    discTime.add(cpnON.getFixingPeriodStartTimes()[0]);
    for (int loopp = 0; loopp < cpnON.getFixingPeriodStartTimes().length; loopp++) {
      discTime.add(cpnON.getFixingPeriodEndTimes()[loopp]);
    }
    final CouponFixedAccruedCompounding cpnF = SWAPTION_LONG_REC.getUnderlyingSwap().getFirstLeg().getNthPayment(0);
    discTime.add(cpnF.getPaymentTime());
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final List<DoublesPair> sensiPvDisc = pvcsSwaption.getSensitivities().get(CURVES_NAME[0]);
View Full Code Here
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
  /**
   * Tests the toDerivative method.
   */
  public void toDerivativeNoFixingDeprecated() {
    final String[] curveNames = new String[] {"a", "b"};
    final CouponONCompounded cpnConverted = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(TRADE_DATE, curveNames);
    final double paymentTime = TimeCalculator.getTimeBetween(TRADE_DATE, EUR_PAYMENT_DATE);
    final double[] FIXING_PERIOD_START_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_END_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_ACCRUAL_FACTOR = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    for (int i = 0; i < ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1; i++) {
      FIXING_PERIOD_START_TIMES[i] = TimeCalculator.getTimeBetween(TRADE_DATE, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i]);
      FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(TRADE_DATE, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
      FIXING_PERIOD_ACCRUAL_FACTOR[i] = EUR_DAY_COUNT.getDayCountFraction(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
          EUR_CALENDAR);
      FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] = TimeCalculator.getTimeBetween(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
    }
    final CouponONCompounded cpnExpected = new CouponONCompounded(EUR_CUR, paymentTime, curveNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, FIXING_PERIOD_START_TIMES,
        FIXING_PERIOD_END_TIMES, FIXING_PERIOD_ACCRUAL_FACTOR, FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT, NOTIONAL, curveNames[1]);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
  }
View Full Code Here
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
  @Test
  /**
   * Tests the toDerivative method.
   */
  public void toDerivativeNoFixing() {
    final CouponONCompounded cpnConverted = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(TRADE_DATE);
    final double paymentTime = TimeCalculator.getTimeBetween(TRADE_DATE, EUR_PAYMENT_DATE);
    final double[] FIXING_PERIOD_START_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_END_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_ACCRUAL_FACTOR = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    for (int i = 0; i < ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1; i++) {
      FIXING_PERIOD_START_TIMES[i] = TimeCalculator.getTimeBetween(TRADE_DATE, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i]);
      FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(TRADE_DATE, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
      FIXING_PERIOD_ACCRUAL_FACTOR[i] = EUR_DAY_COUNT.getDayCountFraction(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
          EUR_CALENDAR);
      FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] = TimeCalculator.getTimeBetween(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
    }
    final CouponONCompounded cpnExpected = new CouponONCompounded(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, FIXING_PERIOD_START_TIMES,
        FIXING_PERIOD_END_TIMES, FIXING_PERIOD_ACCRUAL_FACTOR, FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT, NOTIONAL);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
  }
View Full Code Here
185
186
187
188
189
190
191
192
193
      FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(referenceDate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
      FIXING_PERIOD_ACCRUAL_FACTOR[i] = EUR_DAY_COUNT.getDayCountFraction(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
          EUR_CALENDAR);
      FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] = TimeCalculator.getTimeBetween(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
    }
    final CouponONCompounded cpnExpected = new CouponONCompounded(EUR_CUR, paymentTime, curveNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, FIXING_PERIOD_START_TIMES,
        FIXING_PERIOD_END_TIMES, FIXING_PERIOD_ACCRUAL_FACTOR, FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT, NOTIONAL, curveNames[1]);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
  }
View Full Code Here
210
211
212
213
214
215
216
217
218
      FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(referenceDate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
      FIXING_PERIOD_ACCRUAL_FACTOR[i] = EUR_DAY_COUNT.getDayCountFraction(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
          EUR_CALENDAR);
      FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] = TimeCalculator.getTimeBetween(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
    }
    final CouponONCompounded cpnExpected = new CouponONCompounded(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, FIXING_PERIOD_START_TIMES,
        FIXING_PERIOD_END_TIMES, FIXING_PERIOD_ACCRUAL_FACTOR, FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT, NOTIONAL);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
  }
View Full Code Here
239
240
241
242
243
244
245
246
247
      FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(referenceDate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
      FIXING_PERIOD_ACCRUAL_FACTOR[i] = EUR_DAY_COUNT.getDayCountFraction(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
          EUR_CALENDAR);
      FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] = TimeCalculator.getTimeBetween(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
    }
    final CouponONCompounded cpnExpected = new CouponONCompounded(EUR_CUR, paymentTime, curveNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, FIXING_PERIOD_START_TIMES,
        FIXING_PERIOD_END_TIMES, FIXING_PERIOD_ACCRUAL_FACTOR, FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT, NOTIONAL, curveNames[1]);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
  }
View Full Code Here
TOP

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

  • com.opengamma.analytics.financial.instrument.payment.CouponONCompoundedDefinition
  • com.opengamma.analytics.financial.instrument.payment.CouponONCompoundedDefinitionTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CouponONCompoundedDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedCompoundedONCompoundedBlackMethodTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.