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

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

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    ArgumentChecker.notNull(curves, "curves");

    double sum = 0;

    final int n = annuity.getNumberOfPayments();
    Payment payment;
    for (int i = 0; i < n; i++) {
      payment = annuity.getNthPayment(i);
      final double temp = payment.accept(PRESENT_VALUE_CALCULATOR, curves);
      sum += temp * Math.exp(-zSpread * payment.getPaymentTime());
    }
    return sum;
  }
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    ArgumentChecker.notNull(curves, "curves");

    double sum = 0;

    final int n = annuity.getNumberOfPayments();
    Payment payment;
    for (int i = 0; i < n; i++) {
      payment = annuity.getNthPayment(i);
      final double temp = payment.accept(PRESENT_VALUE_CALCULATOR, curves);
      final double time = payment.getPaymentTime();
      sum -= time * temp * Math.exp(-zSpread * time);
    }
    return sum;
  }
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    ArgumentChecker.notNull(annuity, "annuity");
    ArgumentChecker.notNull(curves, "curves");

    double sum = 0;
    final int n = annuity.getNumberOfPayments();
    Payment payment;
    for (int i = 0; i < n; i++) {
      payment = annuity.getNthPayment(i);
      final MultipleCurrencyAmount pvs = payment.accept(_pvCalculator, curves);
      if (pvs.size() != 1) {
        throw new IllegalStateException("Had more than one currency in result: " + pvs.getCurrencyAmounts());
      }
      final double pv = Iterables.getOnlyElement(pvs).getAmount();
      sum += pv * Math.exp(-zSpread * payment.getPaymentTime());
    }
    return sum;
  }
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    ArgumentChecker.notNull(curves, "curves");

    double sum = 0;

    final int n = annuity.getNumberOfPayments();
    Payment payment;
    for (int i = 0; i < n; i++) {
      payment = annuity.getNthPayment(i);
      final MultipleCurrencyAmount pvs = payment.accept(_pvCalculator, curves);
      if (pvs.size() != 1) {
        throw new IllegalStateException("Had more than one currency in result: " + pvs.getCurrencyAmounts());
      }
      final double pv = Iterables.getOnlyElement(pvs).getAmount();
      final double time = payment.getPaymentTime();
      sum -= time * pv * Math.exp(-zSpread * time);
    }
    return sum;
  }
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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 = EONIA_COUPON_DEFINITION.toDerivative(REFERENCE_DATE_1, new String[] {CURVES_NAMES[0], bumpedCurveName });
    final double[] nodeTimesForward = new double[] {EONIA_COUPON_NOTSTARTED.getFixingPeriodStartTime(), EONIA_COUPON_NOTSTARTED.getFixingPeriodEndTime() };
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(couponBumpedForward, CURVES, CURVES_NAMES[1], bumpedCurveName, nodeTimesForward, deltaShift, METHOD_OIS);
    AssertJUnit.assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvcs.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);
      AssertJUnit.assertEquals("Sensitivity finite difference method: node sensitivity", pairPv.second, sensiForwardMethod[loopnode], deltaTolerancePrice);
    }
    // 2. Discounting curve sensitivity
    final Payment couponBumpedDisc = EONIA_COUPON_DEFINITION.toDerivative(REFERENCE_DATE_1, new String[] {bumpedCurveName, CURVES_NAMES[1] });
    final double[] nodeTimesDisc = new double[] {EONIA_COUPON_NOTSTARTED.getPaymentTime() };
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(couponBumpedDisc, CURVES, CURVES_NAMES[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_OIS);
    AssertJUnit.assertEquals("Sensitivity finite difference method: number of node", 1, sensiDiscMethod.length);
    final List<DoublesPair> sensiPvDisc = pvcs.getSensitivities().get(CURVES_NAMES[0]);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
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    //      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);
    //    }
    // Unique curve sensitivity
    final Payment couponBumpedDisc = EONIA_COUPON_DEFINITION.toDerivative(REFERENCE_DATE_1, new String[] {bumpedCurveName, bumpedCurveName });
    final double[] nodeTimesDisc = new double[] {EONIA_COUPON_NOTSTARTED.getFixingPeriodStartTime(), EONIA_COUPON_NOTSTARTED.getFixingPeriodEndTime(), EONIA_COUPON_NOTSTARTED.getPaymentTime() };
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(couponBumpedDisc, CURVES, CURVES_NAMES[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_OIS);
    final List<DoublesPair> sensiPvDisc = pvcs.getSensitivities().get(CURVES_NAMES[0]);
    AssertJUnit.assertEquals("Sensitivity finite difference method: number of node", 3, sensiPvDisc.size());
    AssertJUnit.assertEquals("Sensitivity coupon pv to forward curve", nodeTimesDisc[0], sensiPvDisc.get(1).first, 1E-8);
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   */
  public void testToDerivativeAfterFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 1, 10, 12, 0);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getPaymentDate());
    final CouponFixed coupon = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
    final Payment couponConverted = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    assertEquals("CouponIborDefinition: toDerivative", coupon, couponConverted);
  }
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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, ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
    final Payment couponConverted = IBOR_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 CouponIbor coupon2 = new CouponIbor(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        IBOR_COUPON_DEFINITION.getFixingPeriodAccrualFactor());
    final Payment couponConverted2 = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS2);
    assertEquals("CouponIborDefinition: toDerivative", coupon2, couponConverted2);
    final Payment couponConverted3 = IBOR_COUPON_DEFINITION.toDerivative(referenceDate);
    assertEquals("CouponIborDefinition: toDerivative", coupon2, couponConverted3);
  }
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    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, IBOR_COUPON_DEFINITION.getPaymentDate());
    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);
    final Payment couponConverted = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS, curves);
    assertEquals("CouponIborDefinition: 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);
    final Payment couponConverted = IBOR_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 CouponIbor coupon2 = new CouponIbor(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        IBOR_COUPON_DEFINITION.getFixingPeriodAccrualFactor(), forwardCurve);
    final Payment couponConverted2 = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS2, curves);
    assertEquals("CouponIborDefinition: toDerivative", coupon2, couponConverted2);
    final Payment couponConverted3 = IBOR_COUPON_DEFINITION.toDerivative(referenceDate, curves);
    assertEquals("CouponIborDefinition: toDerivative", coupon2, couponConverted3);
  }
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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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