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

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

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    assertTrue("valuationTimeIsNoon used to be after paymentDate, which was midnight. Confirm behaviour", valuationTimeIsNoon.isAfter(FEDFUND_CPN_7D_DEF.getPaymentDate()));
    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), DateUtils.getUTCDate(2011, 9, 14), DateUtils.getUTCDate(2011, 9, 15) }, new double[] {
      fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(valuationTimeIsNoon, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(valuationTimeIsNoon, 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];

 
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   */
  public void toDerivativeFixingBeforeStartDeprecated() {
    final String[] curveNames = new String[] {"a", "b"};
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(TRADE_DATE, 1, EUR_CALENDAR);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7) }, new double[] {0.01 });
    final Payment cpnConverted = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curveNames);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, 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];
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   * Tests the toDerivative method.
   */
  public void toDerivativeFixingBeforeStart() {
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(TRADE_DATE, 1, EUR_CALENDAR);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7) }, new double[] {0.01 });
    final Payment cpnConverted = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, 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];
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    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 = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curveNames);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, 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];
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    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 = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, 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];
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    final String[] curveNames = new String[] {"a", "b"};
    final ZonedDateTime referenceDate = SPOT_DATE;
    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) }, new double[] {fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curveNames);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalAccrued = NOTIONAL * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[0]);
    final double[] FIXING_PERIOD_START_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 2];
    final double[] FIXING_PERIOD_END_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 2];
    final double[] FIXING_PERIOD_ACCRUAL_FACTOR = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 2];
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  public void toDerivativeFixingOnStartFixed() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    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) }, new double[] {fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalAccrued = NOTIONAL * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[0]);
    final double[] FIXING_PERIOD_START_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 2];
    final double[] FIXING_PERIOD_END_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 2];
    final double[] FIXING_PERIOD_ACCRUAL_FACTOR = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 2];
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    final String[] curveNames = new String[] {"a", "b"};
    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 = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curveNames);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalAccrued = NOTIONAL * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[0]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[1]);
    final double[] FIXING_PERIOD_START_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 3];
    final double[] FIXING_PERIOD_END_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 3];
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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 = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalAccrued = NOTIONAL * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[0]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[1]);
    final double[] FIXING_PERIOD_START_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 3];
    final double[] FIXING_PERIOD_END_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 3];
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    final String[] curveNames = new String[] {"a", "b"};
    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), DateUtils.getUTCDate(2011, 9, 13) }, new double[] {fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curveNames);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalAccrued = NOTIONAL * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[0]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[1])
        * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[2]);
    final double[] FIXING_PERIOD_START_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 4];
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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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