Package com.opengamma.analytics.financial.provider.calculator.generic

Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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      final SmileDeltaTermStructureDataBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureDataBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(data, shiftTime);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
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      final PresentValueMCACalculator pvCalculator, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureDataBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(data, shiftTime);
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);
    final double todayCash = ((CouponFixed) swapToday.getSecondLeg().getNthPayment(0)).getAmount();

    final ZonedDateTime horizonDate = referenceDate.plusDays(1);
    final double horizon = TimeCalculator.getTimeBetween(referenceDate, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(horizon);
    final MultipleCurrencyAmount paymentToday = swapToday.accept(paymentCalculator);

    assertEquals("TodayPaymentCalculator: fixed-coupon swap", todayCash, paymentToday.getAmount(USD6MLIBOR3M.getCurrency()), TOLERANCE_PV);
  }
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    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);
    final double todayCash = 0.0;

    final ZonedDateTime horizonDate = referenceDate.plusDays(1);
    final double horizon = TimeCalculator.getTimeBetween(referenceDate, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(horizon);
    final MultipleCurrencyAmount paymentToday = swapToday.accept(paymentCalculator);

    assertEquals("TodayPaymentCalculator: fixed-coupon swap", todayCash, paymentToday.getAmount(USD6MLIBOR3M.getCurrency()), TOLERANCE_PV);
  }
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    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);
    final double todayCash = 0.0;

    final ZonedDateTime horizonDate = referenceDate.plusDays(1);
    final double horizon = TimeCalculator.getTimeBetween(referenceDate, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(horizon);
    final MultipleCurrencyAmount paymentToday = swapToday.accept(paymentCalculator);

    assertEquals("TodayPaymentCalculator: fixed-coupon swap", todayCash, paymentToday.getAmount(USD6MLIBOR3M.getCurrency()), TOLERANCE_PV);
  }
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    final ZonedDateTime horizonDate = referenceDate.plusDays(7);

    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);
    final double todayCash = ((CouponFixed) swapToday.getSecondLeg().getNthPayment(0)).getAmount();

    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(TimeCalculator.getTimeBetween(referenceDate, horizonDate));
    final MultipleCurrencyAmount paymentToday = swapToday.accept(paymentCalculator);

    assertEquals("TodayPaymentCalculator: fixed-coupon swap", todayCash, paymentToday.getAmount(USD6MLIBOR3M.getCurrency()), TOLERANCE_PV);
  }
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    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);
    final double todayCash = ((CouponFixed) swapToday.getSecondLeg().getNthPayment(0)).getAmount();

    final ZonedDateTime horizonDate = referenceDate.minusDays(1);
    final double horizon = TimeCalculator.getTimeBetween(referenceDate, horizonDate); // !!! Negative horizon
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(horizon);
    final MultipleCurrencyAmount paymentToday = swapToday.accept(paymentCalculator);

    assertEquals("TodayPaymentCalculator: fixed-coupon swap", todayCash, paymentToday.getAmount(USD6MLIBOR3M.getCurrency()), TOLERANCE_PV);
  }
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    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);
    final double todayCash = 0.0; // ((CouponFixed) swapToday.getSecondLeg().getNthPayment(0)).getAmount();

    final ZonedDateTime horizonDate = referenceDate.minusDays(1);
    final double horizon = TimeCalculator.getTimeBetween(referenceDate, horizonDate); // !!! Negative horizon
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(horizon);
    final MultipleCurrencyAmount paymentToday = swapToday.accept(paymentCalculator);

    assertEquals("TodayPaymentCalculator: fixed-coupon swap", todayCash, paymentToday.getAmount(USD6MLIBOR3M.getCurrency()), TOLERANCE_PV);
  }
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 8, 17);
    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);

    final ZonedDateTime forwardHorizonDate = referenceDate.minusDays(1);
    final double forwardHorizon = TimeCalculator.getTimeBetween(referenceDate, forwardHorizonDate); // !!! Negative horizon
    final TodayPaymentCalculator forwardCalculator = TodayPaymentCalculator.getInstance(forwardHorizon);
    final MultipleCurrencyAmount paymentIfLookingForward = swapToday.accept(forwardCalculator);

    final ZonedDateTime backwardHorizonDate = referenceDate.minusDays(1);
    final double backwardHorizon = TimeCalculator.getTimeBetween(referenceDate, backwardHorizonDate); // !!! Negative horizon
    final TodayPaymentCalculator backwardCalculator = TodayPaymentCalculator.getInstance(backwardHorizon);
    final MultipleCurrencyAmount paymentIfLookingBackward = swapToday.accept(backwardCalculator);

    assertEquals("TodayPaymentCalculator: fixed-coupon swap", paymentIfLookingForward.getAmount(USD6MLIBOR3M.getCurrency()), paymentIfLookingBackward.getAmount(USD6MLIBOR3M.getCurrency()),
        TOLERANCE_PV);
  }
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  public void tpcWontProvidePaymentFromOneWeekBack() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 8, 21);
    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);
    final ZonedDateTime horizonDate = referenceDate.minusDays(7);
    final double horizon = TimeCalculator.getTimeBetween(referenceDate, horizonDate); // !!! Negative horizon
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(horizon);
    final MultipleCurrencyAmount paymentToday = swapToday.accept(paymentCalculator);
    assertEquals("TodayPaymentCalculator: fixed-coupon swap", 0.0, paymentToday.getAmount(USD6MLIBOR3M.getCurrency()), TOLERANCE_PV);
  }
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