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

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

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        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "D"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderDiscount provider = new MulticurveProviderDiscount(discounting, ibor, overnight, matrix);
    assertEquals(provider, cycleObject(MulticurveProviderDiscount.class, provider));
  }
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        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "P"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderDiscount provider = new MulticurveProviderDiscount(discounting, ibor, overnight, matrix);
    final Map<IndexPrice, PriceIndexCurve> curves = new LinkedHashMap<>();
    curves.put(new IndexPrice("CPI1", Currency.USD), new PriceIndexCurve(ConstantDoublesCurve.from(0.02, "A")));
    curves.put(new IndexPrice("CPI2", Currency.EUR), new PriceIndexCurve(ConstantDoublesCurve.from(0.03, "B")));
    final InflationProviderDiscount inflation = new InflationProviderDiscount(provider, curves);
    assertEquals(inflation, cycleObject(InflationProviderDiscount.class, inflation));
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        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "P"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderDiscount provider = new MulticurveProviderDiscount(discounting, ibor, overnight, matrix);
    final Map<Pair<String, Currency>, YieldAndDiscountCurve> curves = new HashMap<>();
    curves.put(Pair.of("E", Currency.USD), new YieldCurve("L", ConstantDoublesCurve.from(0.1234, "l")));
    curves.put(Pair.of("F", Currency.EUR), new YieldCurve("P", ConstantDoublesCurve.from(0.1234, "p")));
    final IssuerProviderDiscount issuer = new IssuerProviderDiscount(provider, curves);
    assertEquals(issuer, cycleObject(IssuerProviderDiscount.class, issuer));
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        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "U"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderDiscount multicurve = new MulticurveProviderDiscount(discounting, ibor, overnight, matrix);
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = new HullWhiteOneFactorPiecewiseConstantParameters(0.04, new double[] {0.1, 0.2, 0.3, 0.4, 0.5}, new double[] {1, 2, 3, 4, 5});
    final HullWhiteOneFactorProviderDiscount provider = new HullWhiteOneFactorProviderDiscount(multicurve, parameters, Currency.USD);
    assertEquals(provider, cycleObject(HullWhiteOneFactorProviderDiscount.class, provider));
  }
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    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final int nbSpot = 50;
    final double range = 0.75;
    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    final MulticurveProviderDiscount multicurveForex = MULTICURVES.copy();
    for (int loopspot = 0; loopspot <= nbSpot; loopspot++) {
      spot[loopspot] = strike - range + 2.0d * range * loopspot / nbSpot;
      final FXMatrix fxMatrix = new FXMatrix(EUR, USD, spot[loopspot]);
      multicurveForex.setForexMatrix(fxMatrix);
      final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(multicurveForex, SMILE_TERM, Pair.of(EUR, USD));
      pv[loopspot] = METHOD_BLACK_DIGITAL.presentValue(forexOption, smile).getAmount(USD);
    }
  }
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    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final int nbSpot = 50;
    final double range = 0.75;
    final double[] spot = new double[nbSpot + 1];
    final double[] pv = new double[nbSpot + 1];
    final MulticurveProviderDiscount multicurveForex = MULTICURVES.copy();
    for (int loopspot = 0; loopspot <= nbSpot; loopspot++) {
      spot[loopspot] = strike - range + 2.0d * range * loopspot / nbSpot;
      final FXMatrix fxMatrix = new FXMatrix(EUR, USD, spot[loopspot]);
      multicurveForex.setForexMatrix(fxMatrix);
      final BlackForexSmileProviderDiscount smile = new BlackForexSmileProviderDiscount(multicurveForex, SMILE_TERM, Pair.of(EUR, USD));
      pv[loopspot] = METHOD_BLACK_DIGITAL.presentValue(forexOption, smile).getAmount(EUR);
    }
  }
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    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / ACCURAL_FACTOR_7D);
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);

    // Test pricing, too. Notice that the value of a coupon on its payment date is non-zero
    final MulticurveProviderDiscount curves = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
    final MultipleCurrencyAmount pvConverted = com.opengamma.analytics.financial.interestrate.payments.provider.CouponFixedDiscountingMethod.getInstance().presentValue((CouponFixed) cpnConverted,
        curves);
    final MultipleCurrencyAmount pvExpected = com.opengamma.analytics.financial.interestrate.payments.provider.CouponFixedDiscountingMethod.getInstance().presentValue(cpnExpected, curves);
    assertEquals("CouponArithmeticAverageONSpread  definition: toDerivative", pvConverted, pvExpected);
    assertEquals("CouponArithmeticAverageONSpread  definition: toDerivative", pvConverted, MultipleCurrencyAmount.of(Currency.USD, 19444.44444444444));
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   * Tests the currency exposure with a FD rate shift.
   */
  public void currencyExposureForeign2() {
    final double shift = 0.000005;
    final FXMatrix fxMatrixP = new FXMatrix(EUR, USD, SPOT + shift);
    final MulticurveProviderDiscount multicurvesP = MULTICURVES.copy();
    multicurvesP.setForexMatrix(fxMatrixP);
    final BlackForexSmileProviderDiscount smileP = new BlackForexSmileProviderDiscount(multicurvesP, SMILE_TERM_FLAT, Pair.of(EUR, USD));
    final MultipleCurrencyAmount ce = METHOD_DIGITAL_SPREAD.currencyExposure(FOREX_DIGITAL_CALL_FOR, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pv = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_FOR, SMILE_FLAT_MULTICURVES);
    final MultipleCurrencyAmount pvP = METHOD_DIGITAL_SPREAD.presentValue(FOREX_DIGITAL_CALL_FOR, smileP);
    assertEquals("Forex Digital option: call spread method - currency exposure - PL EUR", pvP.getAmount(EUR) - pv.getAmount(EUR), ce.getAmount(USD)
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   * Analyzes the shape of the forward curve.
   */
  public void marketQuoteSensitivityAnalysis() {
    // Create a 3 currencies provider
    final int indexEur = 4;
    final MulticurveProviderDiscount multicurves7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(indexEur).getFirst();
    multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst());
    final CurveBuildingBlockBundle blocks7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(indexEur).getSecond();
    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final GeneratorAttributeFX attr6Mx5Y = new GeneratorAttributeFX(Period.ofMonths(6), Period.ofYears(5), FX_MATRIX); //TODO Check dates swap
    final double notional = 100000;
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        Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[3]) * Math.pow(1 + fixingRate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodAccrualFactors()[4]);
    final CouponFixed cpnExpected = new CouponFixed(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, (notionalAccrued / NOTIONAL - 1.0) / EUR_PAYMENT_YEAR_FRACTION);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);

    // Test pricing, too. Notice that the value of a coupon on its payment date is non-zero
    final MulticurveProviderDiscount curves = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
    final MultipleCurrencyAmount pvConverted = com.opengamma.analytics.financial.interestrate.payments.provider.CouponFixedDiscountingMethod.getInstance().presentValue((CouponFixed) cpnConverted, curves);
    final MultipleCurrencyAmount pvExpected = com.opengamma.analytics.financial.interestrate.payments.provider.CouponFixedDiscountingMethod.getInstance().presentValue(cpnExpected, curves);
    assertEquals("CouponONCompounded definition: toDerivative", pvConverted, pvExpected);
    assertEquals("CouponONCompounded definition: toDerivative", pvConverted, MultipleCurrencyAmount.of(EUR_CUR, 19744.6689499392));

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Related Classes of com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount

  • com.opengamma.analytics.financial.forex.method.FXMatrix
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.provider.ForexOptionSingleBarrierBlackMethodTest
  • com.opengamma.analytics.financial.forex.provider.MulticurveProviderDiscountForexDataSets
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponONDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONCompoundedDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONDefinitionTest
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