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

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

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  public void toDerivativeFixingMiddleFixed() {
    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);
    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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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 15);
    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 = 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]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[2]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
    final CouponFixed cpnExpected = new CouponFixed(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, (notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 15);
    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 = 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]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
    final CouponFixed cpnExpected = new CouponFixed(EUR_CUR, paymentTime, curveNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, (notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 16);
    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 = 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]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
    final CouponFixed cpnExpected = new CouponFixed(EUR_CUR, paymentTime, curveNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, (notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 16);
    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 = 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]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[2]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
    final CouponFixed cpnExpected = new CouponFixed(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, (notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 19);
    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 = 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]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
    final CouponFixed cpnExpected = new CouponFixed(EUR_CUR, paymentTime, curveNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, (notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 19);
    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 = 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]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[2]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
    final CouponFixed cpnExpected = new CouponFixed(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, (notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
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    assertTrue("valuationTimeIsNoon used to be after paymentDate, which was midnight. Confirm behaviour", valuationTimeIsNoon.isAfter(ON_COMPOUNDED_COUPON_DEFINITION.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 = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(valuationTimeIsNoon, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(valuationTimeIsNoon, 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]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
    final CouponFixed cpnExpected = new CouponFixed(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, (notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
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    assertTrue("valuationTimeIsNoon used to be after paymentDate, which was midnight. Confirm behaviour", valuationTimeIsNoon.isAfter(ON_COMPOUNDED_COUPON_DEFINITION.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 = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(valuationTimeIsNoon, fixingTS, curveNames);
    final double paymentTime = TimeCalculator.getTimeBetween(valuationTimeIsNoon, 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]) *
        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
    final CouponFixed cpnExpected = new CouponFixed(EUR_CUR, paymentTime, curveNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, (notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
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    final double resetTime = 2.9;
    final double notional = 56;

    final List<Payment> list = new ArrayList<>();
    double expected = 0.0;
    Payment temp = new PaymentFixed(CUR, time, amount, FIVE_PC_CURVE_NAME);
    expected += amount * CURVES.getCurve(FIVE_PC_CURVE_NAME).getDiscountFactor(time);
    list.add(temp);
    temp = new CouponFixed(CUR, time, FIVE_PC_CURVE_NAME, yearFrac, notional, coupon);
    expected += notional * yearFrac * coupon * CURVES.getCurve(FIVE_PC_CURVE_NAME).getDiscountFactor(time);
    list.add(temp);
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