Package com.opengamma.analytics.financial.provider.description.interestrate

Examples of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderInterface

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  public void presentValueFromZSpread() {
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    double zSpread = 0.0;
    MultipleCurrencyAmount pvZ = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", pv.getAmount(CUR), pvZ.getAmount(CUR), TOLERANCE_PV);
    IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(ISSUER_MULTICURVES, BOND_FIXED_SECURITY_1.getIssuerCcy(), zSpread);
    MultipleCurrencyAmount pvZExpected = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, issuerShifted);
    assertEquals("Fixed coupon bond security: present value from z-spread", pvZExpected.getAmount(CUR), pvZ.getAmount(CUR), TOLERANCE_PV);
    zSpread = 0.0010; // 10bps
    issuerShifted = new IssuerProviderIssuerDecoratedSpread(ISSUER_MULTICURVES, BOND_FIXED_SECURITY_1.getIssuerCcy(), zSpread);
    pvZ = METHOD_BOND_SECURITY.presentValueFromZSpread(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
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  /**
   * Tests the z-spread computation from the clean price.
   */
  public void zSpreadFromCleanPrice() {
    final double zSpreadExpected = 0.0025; // 25bps
    final IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(ISSUER_MULTICURVES, BOND_FIXED_SECURITY_1.getIssuerCcy(), zSpreadExpected);
    final double cleanZSpread = METHOD_BOND_SECURITY.cleanPriceFromCurves(BOND_FIXED_SECURITY_1, issuerShifted);
    final double zSpread = METHOD_BOND_SECURITY.zSpreadFromCurvesAndClean(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, cleanZSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", zSpreadExpected, zSpread, TOLERANCE_PV);
  }
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  /**
   * Tests the z-spread sensitivity computation from the present value.
   */
  public void zSpreadSensitivityFromCleanPrice() {
    final double zSpread = 0.0025; // 25bps
    final IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(ISSUER_MULTICURVES, BOND_FIXED_SECURITY_1.getIssuerCcy(), zSpread);
    final double cleanZSpread = METHOD_BOND_SECURITY.cleanPriceFromCurves(BOND_FIXED_SECURITY_1, issuerShifted);
    final double zsComputed = METHOD_BOND_SECURITY.presentValueZSpreadSensitivityFromCurvesAndClean(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, cleanZSpread);
    final double zsExpected = METHOD_BOND_SECURITY.presentValueZSpreadSensitivity(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES, zSpread);
    assertEquals("Fixed coupon bond security: z-spread sensitivity", zsExpected, zsComputed, TOLERANCE_PV);
  }
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   * @param issuerMulticurves The issuer and multi-curves provider.
   * @param zSpread The z-spread.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValueFromZSpread(final BondSecurity<? extends Payment, ? extends Coupon> bond, final IssuerProviderInterface issuerMulticurves, final double zSpread) {
    final IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(issuerMulticurves, bond.getIssuerCcy(), zSpread);
    return presentValue(bond, issuerShifted);
  }
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   * @param issuerMulticurves The issuer and multi-curves provider.
   * @param zSpread The z-spread.
   * @return The Z spread sensitivity.
   */
  public double presentValueZSpreadSensitivity(final BondSecurity<? extends Payment, ? extends Coupon> bond, final IssuerProviderInterface issuerMulticurves, final double zSpread) {
    final IssuerProviderInterface issuerShifted = new IssuerProviderIssuerDecoratedSpread(issuerMulticurves, bond.getIssuerCcy(), zSpread);
    final StringAmount parallelSensi = presentValueParallelCurveSensitivity(bond, issuerShifted);
    return parallelSensi.getMap().get(issuerMulticurves.getName(bond.getIssuerCcy()));
  }
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    final Pair<String, Currency> issuerCcy = futures.getDeliveryBasket()[0].getIssuerCcy();
    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = futures.getDeliveryBasket().length;
    final String issuerName = futures.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, futures.getCurrency(), issuerName);
    final double expiry = futures.getNoticeLastTime();
    final double delivery = futures.getDeliveryLastTime();
    final double dfdelivery = data.getIssuerProvider().getDiscountFactor(issuerCcy, delivery);
    // Constructing non-homogeneous point series for the numerical estimations.
    final int nbPtWing = ((int) Math.floor(nbPoint / 20.)); // Number of point on each wing.
    final int nbPtCenter = nbPoint - 2 * nbPtWing;
    final double prob = 1.0 / (2.0 * nbPtCenter);
    final double xStart = NORMAL.getInverseCDF(prob);
    final double[] x = new double[nbPoint];
    for (int loopwing = 0; loopwing < nbPtWing; loopwing++) {
      x[loopwing] = xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
      x[nbPoint - 1 - loopwing] = -xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
    }
    for (int loopcent = 0; loopcent < nbPtCenter; loopcent++) {
      x[nbPtWing + loopcent] = xStart + loopcent * (-2.0 * xStart) / (nbPtCenter - 1);
    }
    // Figures for each bond
    final double[][] cfTime = new double[nbBond][];
    final double[][] df = new double[nbBond][];
    final double[][] alpha = new double[nbBond][];
    final double[][] beta = new double[nbBond][];
    final double[][] cfaAdjusted = new double[nbBond][];
    final double[] e = new double[nbBond];
    final double[][] pv = new double[nbPoint][nbBond];
    final AnnuityPaymentFixed[] cf = new AnnuityPaymentFixed[nbBond];
    for (int loopbnd = 0; loopbnd < nbBond; loopbnd++) {
      cf[loopbnd] = futures.getDeliveryBasket()[loopbnd].accept(CFEC, multicurvesDecorated);
      final int nbCf = cf[loopbnd].getNumberOfPayments();
      cfTime[loopbnd] = new double[nbCf];
      df[loopbnd] = new double[nbCf];
      alpha[loopbnd] = new double[nbCf];
      beta[loopbnd] = new double[nbCf];
      cfaAdjusted[loopbnd] = new double[nbCf];
      for (int loopcf = 0; loopcf < nbCf; loopcf++) {
        cfTime[loopbnd][loopcf] = cf[loopbnd].getNthPayment(loopcf).getPaymentTime();
        df[loopbnd][loopcf] = issuer.getDiscountFactor(issuerCcy, cfTime[loopbnd][loopcf]);
        alpha[loopbnd][loopcf] = MODEL.alpha(parameters, 0.0, expiry, delivery, cfTime[loopbnd][loopcf]);
        beta[loopbnd][loopcf] = MODEL.futuresConvexityFactor(parameters, expiry, cfTime[loopbnd][loopcf], delivery);
        cfaAdjusted[loopbnd][loopcf] = df[loopbnd][loopcf] / dfdelivery * beta[loopbnd][loopcf] * cf[loopbnd].getNthPayment(loopcf).getAmount() / futures.getConversionFactor()[loopbnd];
        for (int looppt = 0; looppt < nbPoint; looppt++) {
          pv[looppt][loopbnd] += cfaAdjusted[loopbnd][loopcf] * Math.exp(-alpha[loopbnd][loopcf] * alpha[loopbnd][loopcf] / 2.0 - alpha[loopbnd][loopcf] * x[looppt]);
 
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    final Pair<String, Currency> issuerCcy = futures.getDeliveryBasket()[0].getIssuerCcy();
    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = futures.getDeliveryBasket().length;
    final String issuerName = futures.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, futures.getCurrency(), issuerName);

    final double expiry = futures.getNoticeLastTime();
    final double delivery = futures.getDeliveryLastTime();
    final double dfdelivery = data.getIssuerProvider().getDiscountFactor(issuerCcy, delivery);
    // Constructing non-homogeneous point series for the numerical estimations.
    final int nbPtWing = ((int) Math.floor(nbPoint / 20.)); // Number of point on each wing.
    final int nbPtCenter = nbPoint - 2 * nbPtWing;
    final double prob = 1.0 / (2.0 * nbPtCenter);
    final double xStart = NORMAL.getInverseCDF(prob);
    final double[] x = new double[nbPoint];
    for (int loopwing = 0; loopwing < nbPtWing; loopwing++) {
      x[loopwing] = xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
      x[nbPoint - 1 - loopwing] = -xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
    }
    for (int loopcent = 0; loopcent < nbPtCenter; loopcent++) {
      x[nbPtWing + loopcent] = xStart + loopcent * (-2.0 * xStart) / (nbPtCenter - 1);
    }
    // Figures for each bond
    final double[][] cfTime = new double[nbBond][];
    final double[][] df = new double[nbBond][];
    final double[][] alpha = new double[nbBond][];
    final double[][] beta = new double[nbBond][];
    final double[][] cfaAdjusted = new double[nbBond][];
    final double[] e = new double[nbBond];
    final double[][] pv = new double[nbPoint][nbBond];
    final AnnuityPaymentFixed[] cf = new AnnuityPaymentFixed[nbBond];
    for (int loopbnd = 0; loopbnd < nbBond; loopbnd++) {
      cf[loopbnd] = futures.getDeliveryBasket()[loopbnd].accept(CFEC, multicurvesDecorated);
      final int nbCf = cf[loopbnd].getNumberOfPayments();
      cfTime[loopbnd] = new double[nbCf];
      df[loopbnd] = new double[nbCf];
      alpha[loopbnd] = new double[nbCf];
      beta[loopbnd] = new double[nbCf];
      cfaAdjusted[loopbnd] = new double[nbCf];
      for (int loopcf = 0; loopcf < nbCf; loopcf++) {
        cfTime[loopbnd][loopcf] = cf[loopbnd].getNthPayment(loopcf).getPaymentTime();
        df[loopbnd][loopcf] = issuer.getDiscountFactor(issuerCcy, cfTime[loopbnd][loopcf]);
        alpha[loopbnd][loopcf] = MODEL.alpha(parameters, 0.0, expiry, delivery, cfTime[loopbnd][loopcf]);
        beta[loopbnd][loopcf] = MODEL.futuresConvexityFactor(parameters, expiry, cfTime[loopbnd][loopcf], delivery);
        cfaAdjusted[loopbnd][loopcf] = df[loopbnd][loopcf] / dfdelivery * beta[loopbnd][loopcf] * cf[loopbnd].getNthPayment(loopcf).getAmount() / futures.getConversionFactor()[loopbnd];
        for (int looppt = 0; looppt < nbPoint; looppt++) {
          pv[looppt][loopbnd] += cfaAdjusted[loopbnd][loopcf] * Math.exp(-alpha[loopbnd][loopcf] * alpha[loopbnd][loopcf] / 2.0 - alpha[loopbnd][loopcf] * x[looppt]);
 
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    final Pair<String, Currency> issuerCcy = future.getDeliveryBasket()[0].getIssuerCcy();
    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = future.getDeliveryBasket().length;
    final String issuerName = future.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, future.getCurrency(), issuerName);
    final double expiry = future.getNoticeLastTime();
    final double delivery = future.getDeliveryLastTime();
    final double dfdelivery = data.getIssuerProvider().getDiscountFactor(issuerCcy, delivery);
    // Constructing non-homogeneous point series for the numerical estimations.
    final int nbPtWing = ((int) Math.floor(nbPoint / 20.)); // Number of point on each wing.
    final int nbPtCenter = nbPoint - 2 * nbPtWing;
    final double prob = 1.0 / (2.0 * nbPtCenter);
    final double xStart = NORMAL.getInverseCDF(prob);
    final double[] x = new double[nbPoint];
    for (int loopwing = 0; loopwing < nbPtWing; loopwing++) {
      x[loopwing] = xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
      x[nbPoint - 1 - loopwing] = -xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
    }
    for (int loopcent = 0; loopcent < nbPtCenter; loopcent++) {
      x[nbPtWing + loopcent] = xStart + loopcent * (-2.0 * xStart) / (nbPtCenter - 1);
    }
    // Figures for each bond
    final double[][] cfTime = new double[nbBond][];
    final double[][] df = new double[nbBond][];
    final double[][] alpha = new double[nbBond][];
    final double[][] beta = new double[nbBond][];
    final double[][] cfaAdjusted = new double[nbBond][];
    final double[] e = new double[nbBond];
    final double[][] pv = new double[nbPoint][nbBond];
    final AnnuityPaymentFixed[] cf = new AnnuityPaymentFixed[nbBond];
    for (int loopbnd = 0; loopbnd < nbBond; loopbnd++) {
      cf[loopbnd] = future.getDeliveryBasket()[loopbnd].accept(CFEC, multicurvesDecorated);
      final int nbCf = cf[loopbnd].getNumberOfPayments();
      cfTime[loopbnd] = new double[nbCf];
      df[loopbnd] = new double[nbCf];
      alpha[loopbnd] = new double[nbCf];
      beta[loopbnd] = new double[nbCf];
      cfaAdjusted[loopbnd] = new double[nbCf];
      for (int loopcf = 0; loopcf < nbCf; loopcf++) {
        cfTime[loopbnd][loopcf] = cf[loopbnd].getNthPayment(loopcf).getPaymentTime();
        df[loopbnd][loopcf] = issuer.getDiscountFactor(issuerCcy, cfTime[loopbnd][loopcf]);
        alpha[loopbnd][loopcf] = MODEL.alpha(parameters, 0.0, expiry, delivery, cfTime[loopbnd][loopcf]);
        beta[loopbnd][loopcf] = MODEL.futuresConvexityFactor(parameters, expiry, cfTime[loopbnd][loopcf], delivery);
        cfaAdjusted[loopbnd][loopcf] = df[loopbnd][loopcf] / dfdelivery * beta[loopbnd][loopcf] * cf[loopbnd].getNthPayment(loopcf).getAmount() / future.getConversionFactor()[loopbnd];
        for (int looppt = 0; looppt < nbPoint; looppt++) {
          pv[looppt][loopbnd] += cfaAdjusted[loopbnd][loopcf] * Math.exp(-alpha[loopbnd][loopcf] * alpha[loopbnd][loopcf] / 2.0 - alpha[loopbnd][loopcf] * x[looppt]);
 
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    final Pair<String, Currency> issuerCcy = future.getDeliveryBasket()[0].getIssuerCcy();
    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = future.getDeliveryBasket().length;
    final String issuerName = future.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, future.getCurrency(), issuerName);

    final double expiry = future.getNoticeLastTime();
    final double delivery = future.getDeliveryLastTime();
    final double dfdelivery = data.getIssuerProvider().getDiscountFactor(issuerCcy, delivery);
    // Constructing non-homogeneous point series for the numerical estimations.
    final int nbPtWing = ((int) Math.floor(nbPoint / 20.)); // Number of point on each wing.
    final int nbPtCenter = nbPoint - 2 * nbPtWing;
    final double prob = 1.0 / (2.0 * nbPtCenter);
    final double xStart = NORMAL.getInverseCDF(prob);
    final double[] x = new double[nbPoint];
    for (int loopwing = 0; loopwing < nbPtWing; loopwing++) {
      x[loopwing] = xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
      x[nbPoint - 1 - loopwing] = -xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
    }
    for (int loopcent = 0; loopcent < nbPtCenter; loopcent++) {
      x[nbPtWing + loopcent] = xStart + loopcent * (-2.0 * xStart) / (nbPtCenter - 1);
    }
    // Figures for each bond
    final double[][] cfTime = new double[nbBond][];
    final double[][] df = new double[nbBond][];
    final double[][] alpha = new double[nbBond][];
    final double[][] beta = new double[nbBond][];
    final double[][] cfaAdjusted = new double[nbBond][];
    final double[] e = new double[nbBond];
    final double[][] pv = new double[nbPoint][nbBond];
    final AnnuityPaymentFixed[] cf = new AnnuityPaymentFixed[nbBond];
    for (int loopbnd = 0; loopbnd < nbBond; loopbnd++) {
      cf[loopbnd] = future.getDeliveryBasket()[loopbnd].accept(CFEC, multicurvesDecorated);
      final int nbCf = cf[loopbnd].getNumberOfPayments();
      cfTime[loopbnd] = new double[nbCf];
      df[loopbnd] = new double[nbCf];
      alpha[loopbnd] = new double[nbCf];
      beta[loopbnd] = new double[nbCf];
      cfaAdjusted[loopbnd] = new double[nbCf];
      for (int loopcf = 0; loopcf < nbCf; loopcf++) {
        cfTime[loopbnd][loopcf] = cf[loopbnd].getNthPayment(loopcf).getPaymentTime();
        df[loopbnd][loopcf] = issuer.getDiscountFactor(issuerCcy, cfTime[loopbnd][loopcf]);
        alpha[loopbnd][loopcf] = MODEL.alpha(parameters, 0.0, expiry, delivery, cfTime[loopbnd][loopcf]);
        beta[loopbnd][loopcf] = MODEL.futuresConvexityFactor(parameters, expiry, cfTime[loopbnd][loopcf], delivery);
        cfaAdjusted[loopbnd][loopcf] = df[loopbnd][loopcf] / dfdelivery * beta[loopbnd][loopcf] * cf[loopbnd].getNthPayment(loopcf).getAmount() / future.getConversionFactor()[loopbnd];
        for (int looppt = 0; looppt < nbPoint; looppt++) {
          pv[looppt][loopbnd] += cfaAdjusted[loopbnd][loopcf] * Math.exp(-alpha[loopbnd][loopcf] * alpha[loopbnd][loopcf] / 2.0 - alpha[loopbnd][loopcf] * x[looppt]);
 
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Related Classes of com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderInterface

  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.BondFutureHullWhiteMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.BondFuturesSecurityHullWhiteMethod
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