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

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

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

com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONSpread
Class describing a overnight indexed floating coupon with spread. 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).

    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 CouponONSpread cpn = new CouponONSpread(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTime,
        fixingPeriodEndTime, _fixingPeriodAccrualFactor, getNotional(), _spreadAmount);
    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 CouponONSpread cpn = new CouponONSpread(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTime,
            fixingPeriodEndTime, fixingAccrualFactorLeft, accruedNotional, _spread);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
          / getPaymentYearFraction());

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  @Test
  /**
   * Tests the toDerivative method.
   */
  public void toDerivative() {
    final CouponONSpread 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 double spreadAmount = SPREAD * NOTIONAL * PAYMENT_ACCRUAL_FACTOR;
    final CouponONSpread cpnExpected = new CouponONSpread(EUR_CUR, paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, FIXING_YEAR_FRACTION,
        NOTIONAL, spreadAmount);
    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 CouponONSpread 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 double spreadAmount = SPREAD * NOTIONAL * PAYMENT_ACCRUAL_FACTOR;
    final CouponONSpread cpnExpected = new CouponONSpread(EUR_CUR, paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, FIXING_YEAR_FRACTION,
        NOTIONAL, spreadAmount);
    assertEquals("CouponOISSimplified definition: toDerivative", cpnExpected, cpnConverted);
  }

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

com.opengamma.analytics.financial.instrument.payment.CouponONSpreadDefinition

com.opengamma.analytics.financial.instrument.payment.CouponONSpreadSimplifiedDefinition

com.opengamma.analytics.financial.instrument.payment.CouponONSpreadSimplifiedDefinitionTest

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