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, FIXING_START_DATE);
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_END_DATE);
    final CouponIborGearing coupon = new CouponIborGearing(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        FIXING_ACCRUAL_FACTOR, SPREAD, FACTOR);
    Payment couponConverted = COUPON_DEFINITION.toDerivative(referenceDate);
    assertEquals(coupon, couponConverted);
    couponConverted = COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon, couponConverted);
  }
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   */
  public void testToDerivativeAfterFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 5, 23);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_END_DATE);
    final CouponFixed coupon = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE * FACTOR + SPREAD);
    final Payment couponConverted = COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon, couponConverted);
  }
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    final double fixingTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE);
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_START_DATE);
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_END_DATE);
    // The fixing is known
    final CouponFixed coupon = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE * FACTOR + SPREAD);
    final Payment couponConverted = COUPON_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 CouponIborGearing coupon2 = new CouponIborGearing(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        FIXING_ACCRUAL_FACTOR, SPREAD, FACTOR);
    final Payment couponConverted2 = COUPON_DEFINITION.toDerivative(referenceDate, fixingTS2);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted2);
    final Payment couponConverted3 = COUPON_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 };
    final CouponIborGearing coupon = new CouponIborGearing(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        FIXING_ACCRUAL_FACTOR, SPREAD, FACTOR, forwardCurve);
    Payment couponConverted = COUPON_DEFINITION.toDerivative(referenceDate, curves);
    assertEquals(coupon, couponConverted);
    couponConverted = COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS, curves);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon, couponConverted);
  }
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    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_END_DATE);
    final String fundingCurve = "Funding";
    final String forwardCurve = "Forward";
    final String[] curves = {fundingCurve, forwardCurve };
    final CouponFixed coupon = new CouponFixed(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE * FACTOR + SPREAD);
    final Payment couponConverted = COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS, curves);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon, couponConverted);
  }
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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, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE * FACTOR + SPREAD);
    final Payment couponConverted = COUPON_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 CouponIborGearing coupon2 = new CouponIborGearing(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        FIXING_ACCRUAL_FACTOR, SPREAD, FACTOR, forwardCurve);
    final Payment couponConverted2 = COUPON_DEFINITION.toDerivative(referenceDate, fixingTS2, curves);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted2);
    final Payment couponConverted3 = COUPON_DEFINITION.toDerivative(referenceDate, curves);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted3);
  }
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   * Tests the present value.
   */
  public void presentValue() {
    final CurrencyAmount pv = METHOD.presentValue(COUPON, CURVES_BUNDLE);
    final CouponIborDefinition couponIborDefinition = new CouponIborDefinition(CUR, ACCRUAL_END_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
    final Payment couponIbor = couponIborDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final CouponFixedDefinition couponFixedDefinition = new CouponFixedDefinition(couponIborDefinition, SPREAD);
    final Payment couponFixed = couponFixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final PresentValueCalculator pvc = PresentValueCalculator.getInstance();
    final double pvIbor = couponIbor.accept(pvc, CURVES_BUNDLE);
    final double pvFixed = couponFixed.accept(pvc, CURVES_BUNDLE);
    assertEquals("Present value by discounting", pvIbor * FACTOR + pvFixed, pv.getAmount());
  }
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    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;
    // 1. Forward curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final Payment couponBumpedForward = COUPON_DEFINITION.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAMES[0], bumpedCurveName });
    final double[] nodeTimesForward = new double[] {COUPON.getFixingPeriodStartTime(), COUPON.getFixingPeriodEndTime() };
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(couponBumpedForward, CURVES_BUNDLE, CURVES_NAMES[1], bumpedCurveName, nodeTimesForward, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvsFuture.getSensitivities().get(CURVES_NAMES[1]);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity coupon pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity finite difference method: node sensitivity", pairPv.second, sensiForwardMethod[loopnode], deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final Payment couponBumpedDisc = COUPON_DEFINITION.toDerivative(REFERENCE_DATE, new String[] {bumpedCurveName, CURVES_NAMES[1] });
    final double[] nodeTimesDisc = new double[] {COUPON.getPaymentTime() };
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(couponBumpedDisc, CURVES_BUNDLE, CURVES_NAMES[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 1, sensiDiscMethod.length);
    final List<DoublesPair> sensiPvDisc = pvsFuture.getSensitivities().get(CURVES_NAMES[0]);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
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  public void toDerivativeFixingBeforeStartDeprecated() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final String[] curvesNames = curves.getAllNames().toArray(new String[curves.size()]);
    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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, START_ACCRUAL_DATE);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, EUR_END_ACCRUAL_DATE);
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, curvesNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, EUR_FIXING_YEAR_FRACTION,
        NOTIONAL, curvesNames[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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, START_ACCRUAL_DATE);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, EUR_END_ACCRUAL_DATE);
    final CouponON cpnExpected = new CouponON(EUR_CUR, paymentTime, curvesNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, EUR_FIXING_YEAR_FRACTION,
        NOTIONAL, curvesNames[1]);
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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
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  • com.opengamma.analytics.financial.instrument.payment.CouponIborGearingDefinitionTest
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  • com.opengamma.analytics.financial.instrument.payment.CouponONCompoundedDefinitionTest
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  • com.opengamma.analytics.financial.interestrate.annuity.ZSpreadCalculator
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