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

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

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    final double fixingTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE);
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getFixingPeriodEndDate());
    // The fixing is known
    final CouponFixed coupon = new CouponFixed(CUR, paymentTime, IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_RATE + SPREAD);
    final Payment couponConverted = IBOR_COUPON_SPREAD_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    assertEquals(coupon, couponConverted);
    // The fixing is not known
    final DoubleTimeSeries<ZonedDateTime> fixingTS2 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {ScheduleCalculator.getAdjustedDate(FIXING_DATE, -1, CALENDAR) },
        new double[] {FIXING_RATE });
    final CouponIborSpread coupon2 = new CouponIborSpread(CUR, paymentTime, IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime,
        fixingPeriodEndTime, IBOR_COUPON_SPREAD_DEFINITION.getFixingPeriodAccrualFactor(), SPREAD);
    final Payment couponConverted2 = IBOR_COUPON_SPREAD_DEFINITION.toDerivative(referenceDate, fixingTS2);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted2);
    final Payment couponConverted3 = IBOR_COUPON_SPREAD_DEFINITION.toDerivative(referenceDate);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted3);
  }
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    final String fundingCurve = "Funding";
    final String forwardCurve = "Forward";
    final String[] curves = {fundingCurve, forwardCurve };
    // The fixing is known
    final CouponFixed coupon = new CouponFixed(CUR, paymentTime, fundingCurve, IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_RATE + SPREAD);
    final Payment couponConverted = IBOR_COUPON_SPREAD_DEFINITION.toDerivative(referenceDate, FIXING_TS, curves);
    assertEquals(coupon, couponConverted);
    // The fixing is not known
    final DoubleTimeSeries<ZonedDateTime> fixingTS2 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {ScheduleCalculator.getAdjustedDate(FIXING_DATE, -1, CALENDAR) },
        new double[] {FIXING_RATE });
    final CouponIborSpread coupon2 = new CouponIborSpread(CUR, paymentTime, fundingCurve, IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime,
        fixingPeriodEndTime, IBOR_COUPON_SPREAD_DEFINITION.getFixingPeriodAccrualFactor(), SPREAD, forwardCurve);
    final Payment couponConverted2 = IBOR_COUPON_SPREAD_DEFINITION.toDerivative(referenceDate, fixingTS2, curves);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted2);
    final Payment couponConverted3 = IBOR_COUPON_SPREAD_DEFINITION.toDerivative(referenceDate, curves);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted3);
  }
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   * Tests the toDerivative method.
   */
  public void toDerivativeFixingBeforeStart() {
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(TRADE_DATE, 1, NYC);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7) }, new double[] {0.01 });
    final Payment cpnConverted = FEDFUND_CPN_3M_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_3M);
    final double[] fixingPeriodTimes = TimeCalculator.getTimeBetween(referenceDate, FEDFUND_CPN_3M_DEF.getFixingPeriodDates());
    final CouponArithmeticAverageONSpread cpnExpected = CouponArithmeticAverageONSpread.from(paymentTime, ACCURAL_FACTOR_3M, NOTIONAL, FEDFUND, fixingPeriodTimes,
        FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors(), 0.0, SPREAD);

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   */
  public void toDerivativeFixingOnStartNotYetFixed() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8) },
        new double[] {0.01, 0.01 });
    final Payment cpnConverted = FEDFUND_CPN_3M_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_3M);
    final double[] fixingPeriodTimes = TimeCalculator.getTimeBetween(referenceDate, FEDFUND_CPN_3M_DEF.getFixingPeriodDates());
    final CouponArithmeticAverageONSpread cpnExpected = CouponArithmeticAverageONSpread.from(paymentTime, ACCURAL_FACTOR_3M, NOTIONAL, FEDFUND, fixingPeriodTimes,
        FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors(), 0.0, SPREAD);
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);
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  public void toDerivativeFixingOnStartFixed() {
    final ZonedDateTime referenceDate = FEDFUND_CPN_3M_DEF.getFixingPeriodDates()[1];
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 8), DateUtils.getUTCDate(2011, 9, 9),
      DateUtils.getUTCDate(2011, 9, 12) }, new double[] {fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_3M_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_3M);
    final double rateAccrued = fixingRate * FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors()[0];
    final double[] fixingPeriodTimes = new double[FEDFUND_CPN_3M_DEF.getFixingPeriodDates().length - 1];

    for (int loopperiod = 1; loopperiod < FEDFUND_CPN_3M_DEF.getFixingPeriodDates().length; loopperiod++) {
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  public void toDerivativeFixingMiddleNotYetFixed() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 13);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8),
      DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12) }, new double[] {fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_3M_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_3M);
    final double rateAccrued = fixingRate * FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors()[1];
    final double[] fixingPeriodTimes = new double[FEDFUND_CPN_3M_DEF.getFixingPeriodDates().length - 2];

    for (int loopperiod = 2; loopperiod < FEDFUND_CPN_3M_DEF.getFixingPeriodDates().length; loopperiod++) {
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  public void toDerivativeFixingMiddleFixed() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 14);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8),
      DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12), DateUtils.getUTCDate(2011, 9, 13) }, new double[] {fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_3M_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_3M);
    final double rateAccrued = fixingRate * FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors()[2];
    final double[] fixingPeriodTimes = new double[FEDFUND_CPN_3M_DEF.getFixingPeriodDates().length - 3];

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    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
        new ZonedDateTime[] {
          DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12), DateUtils.getUTCDate(2011, 9, 13), DateUtils.getUTCDate(2011, 9, 14), DateUtils.getUTCDate(2011, 9, 15),
          DateUtils.getUTCDate(2011, 9, 16), DateUtils.getUTCDate(2011, 9, 19) }, new double[] {
          fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];
    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / FEDFUND_CPN_7D_DEF.getPaymentYearFraction());
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    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
        new ZonedDateTime[] {
          DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12), DateUtils.getUTCDate(2011, 9, 13), DateUtils.getUTCDate(2011, 9, 14), DateUtils.getUTCDate(2011, 9, 15),
          DateUtils.getUTCDate(2011, 9, 16), DateUtils.getUTCDate(2011, 9, 19) }, new double[] {
          fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];
    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / FEDFUND_CPN_7D_DEF.getPaymentYearFraction());
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    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
        new ZonedDateTime[] {
          DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12), DateUtils.getUTCDate(2011, 9, 13), DateUtils.getUTCDate(2011, 9, 14), DateUtils.getUTCDate(2011, 9, 15),
          DateUtils.getUTCDate(2011, 9, 16), DateUtils.getUTCDate(2011, 9, 19) }, new double[] {
          fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];
    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / FEDFUND_CPN_7D_DEF.getPaymentYearFraction());
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.Payment

  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborAverageDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborGearingDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONCompoundedDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONDefinitionTest
  • com.opengamma.analytics.financial.interestrate.annuity.ZSpreadCalculator
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