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

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

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    final String[] curvesNames = new String[] {"Funding", "Forward" };
    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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    final ZonedDateTime startFixingLeft = ScheduleCalculator.getAdjustedDate(referenceDate, 1, EUR_CALENDAR);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, EUR_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]);
 
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    final String[] curvesNames = new String[] {"Funding", "Forward" };
    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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    final ZonedDateTime startFixingLeft = referenceDate;
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, EUR_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
 
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    final String[] curvesNames = new String[] {"Funding", "Forward" };
    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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    final ZonedDateTime startFixingLeft = ScheduleCalculator.getAdjustedDate(referenceDate, 1, EUR_CALENDAR);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, EUR_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
 
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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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    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, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, EUR_FIXING_YEAR_FRACTION,
        NOTIONAL);
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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);
    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, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, fixingStartTime, fixingEndTime, EUR_FIXING_YEAR_FRACTION,
        NOTIONAL);
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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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final ZonedDateTime startFixingLeft = ScheduleCalculator.getAdjustedDate(referenceDate, 1, EUR_CALENDAR);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, EUR_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]);
 
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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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final ZonedDateTime startFixingLeft = referenceDate;
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, EUR_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
 
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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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final ZonedDateTime startFixingLeft = ScheduleCalculator.getAdjustedDate(referenceDate, 1, EUR_CALENDAR);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, EUR_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
 
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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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
        (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[1])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[2]) * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[3])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[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 = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
        (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[1])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[2]) * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[3])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[4]);
 
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