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

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

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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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  @Test
  public void testFixedPayment() {
    final double time = 1.23;
    final double amount = 4345.3;
    final PaymentFixed payment = new PaymentFixed(CUR, time, amount, FIVE_PC_CURVE_NAME);
    final double expected = amount * CURVES.getCurve(FIVE_PC_CURVE_NAME).getDiscountFactor(time);
    final double pv = payment.accept(PVC, CURVES);
    assertEquals(expected, pv, 1e-8);
  }
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    final double[] paymentTimes = new double[n];
    for (int i = 0; i < n; i++) {
      paymentTimes[i] = tau * (i + 1);
      yearFracs[i] = yearFrac;
    }
    final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, 11, 1, FIVE_PC_CURVE_NAME)});
    AnnuityCouponFixed coupon = new AnnuityCouponFixed(CUR, new double[] {0.5, 1}, 0.03, FIVE_PC_CURVE_NAME, false);
    BondFixedSecurity bond = new BondFixedSecurity(nominal, coupon, 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final double rate = bond.accept(PRC, CURVES);
    coupon = new AnnuityCouponFixed(CUR, new double[] {0.5, 1}, rate, FIVE_PC_CURVE_NAME, false);
    bond = new BondFixedSecurity(nominal, coupon, 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
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    final double ramp = 0.0025;
    final CouponFixed[] coupons = new CouponFixed[n];
    for (int i = 0; i < n; i++) {
      coupons[i] = new CouponFixed(CUR, tau * (i + 1), FUNDING_CURVE_NAME, yearFrac, initialCoupon + i * ramp);
    }
    final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, tau * n, 1, FUNDING_CURVE_NAME) });
    final BondFixedSecurity bond = new BondFixedSecurity(nominal, new AnnuityCouponFixed(coupons), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FUNDING_CURVE_NAME, "S");
    doTest(bond, CURVES);
  }
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    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double expectedPriceLongPayer = 5107666.869;
    final double premiumAmount = expectedPriceLongPayer / curves.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(SWAPTION_LONG_PAYER.getSettlementTime());
    final PaymentFixedDefinition premiumDefinition = new PaymentFixedDefinition(CUR, SETTLEMENT_DATE, -premiumAmount);
    final PaymentFixed premium = premiumDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double pvPremium = premium.accept(PVC, sabrBundle);
    final double swaptionPV = SWAPTION_LONG_PAYER.accept(PVC, sabrBundle);
    assertEquals("swaption present value with premium", -expectedPriceLongPayer, pvPremium, 1.0E-2);
    assertEquals("swaption present value with premium", expectedPriceLongPayer, swaptionPV, 1.0E-2);
  }
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   * @return
   */
  //TODO determine domestic and notional from dominance data
  private static ForexForward getFXForward(final Currency ccy1, final Currency ccy2, final double paymentTime, final double spotFX, final double forwardFX,
      final String curveName1, final String curveName2) {
    final PaymentFixed paymentCurrency1 = new PaymentFixed(ccy1, paymentTime, 1, curveName1);
    final PaymentFixed paymentCurrency2 = new PaymentFixed(ccy2, paymentTime, -1. / forwardFX, curveName2);
    return new ForexForward(paymentCurrency1, paymentCurrency2, spotFX);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

  • com.opengamma.analytics.financial.forex.definition.ForexDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexDefinitionTest
  • com.opengamma.analytics.financial.forex.derivative.ForexTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.instrument.bond.BondInterestIndexedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondinterestIndexedSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.BondFutureOptionPremiumTransactionDefinition
  • com.opengamma.analytics.financial.instrument.future.BondFutureOptionPremiumTransactionDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinition
  • com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinitionTest
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