Examples of PaymentFixed

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

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    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final MultipleCurrencyMulticurveSensitivity pvcsNominal = bond.getBondTransaction().getNominal().accept(PVSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvcsCoupon = bond.getBondTransaction().getCoupon().accept(PVSDC, multicurvesDecorated);
    final double settlementAmount = bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional(); //FIXME: add accrued.
    LOGGER.error("The FRN settlement amount does not include the accrued interests.");
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
    final MultipleCurrencyMulticurveSensitivity pvcsSettlement = settlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider());
    return pvcsNominal.plus(pvcsCoupon).multipliedBy(bond.getQuantity()).plus(pvcsSettlement);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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   */
  public double parSpread(final BondFixedTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final PaymentFixed nominalAtSettlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), bond.getBondTransaction().getCoupon()
        .getNthPayment(0).getNotional() *
        bond.getQuantity());
    final double pvNominalAtSettlement = nominalAtSettlement.accept(PVDC, issuerMulticurves.getMulticurveProvider()).getAmount(ccy);
    return -presentValue(bond, issuerMulticurves).getAmount(ccy) / pvNominalAtSettlement;
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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  public double parSpread(final BondIborTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final PaymentFixed nominalAtSettlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), bond.getBondTransaction().getCoupon()
        .getNthPayment(0).getNotional() *
        bond.getQuantity());
    final double pvNominalAtSettlement = nominalAtSettlement.accept(PVDC, issuerMulticurves.getMulticurveProvider()).getAmount(ccy);
    return -presentValue(bond, issuerMulticurves).getAmount(ccy) / pvNominalAtSettlement;
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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   */
  public MulticurveSensitivity parSpreadCurveSensitivity(final BondFixedTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final PaymentFixed nominalAtSettlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), bond.getBondTransaction().getCoupon()
        .getNthPayment(0).getNotional() *
        bond.getQuantity());
    final double pvNominalAtSettlement = nominalAtSettlement.accept(PVDC, issuerMulticurves.getMulticurveProvider()).getAmount(ccy);
    final MulticurveSensitivity pvcsNominalAtSettlement = nominalAtSettlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider()).getSensitivity(ccy);
    final MulticurveSensitivity pvcsBond = presentValueSensitivity(bond, issuerMulticurves).getSensitivity(ccy);
    final double pvBond = presentValue(bond, issuerMulticurves).getAmount(ccy);
    return pvcsBond.multipliedBy(-1 / pvNominalAtSettlement).plus(pvcsNominalAtSettlement.multipliedBy(pvBond / (pvNominalAtSettlement * pvNominalAtSettlement)));
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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  public MulticurveSensitivity parSpreadCurveSensitivity(final BondIborTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final PaymentFixed nominalAtSettlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), bond.getBondTransaction().getCoupon()
        .getNthPayment(0).getNotional() *
        bond.getQuantity());
    final double pvNominalAtSettlement = nominalAtSettlement.accept(PVDC, issuerMulticurves.getMulticurveProvider()).getAmount(ccy);
    final MulticurveSensitivity pvcsNominalAtSettlement = nominalAtSettlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider()).getSensitivity(ccy);
    final MulticurveSensitivity pvcsBond = presentValueSensitivity(bond, issuerMulticurves).getSensitivity(ccy);
    final double pvBond = presentValue(bond, issuerMulticurves).getAmount(ccy);
    return pvcsBond.multipliedBy(-1 / pvNominalAtSettlement).plus(pvcsNominalAtSettlement.multipliedBy(pvBond / (pvNominalAtSettlement * pvNominalAtSettlement)));
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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    }
    final Annuity<CouponFixed> unitCouponAnnuity = new Annuity<>(unitCoupons);
    final double a = unitCouponAnnuity.accept(PV_CALCULATOR, curves);
    final Map<String, List<DoublesPair>> senseA = unitCouponAnnuity.accept(PV_SENSITIVITY_CALCULATOR, curves);
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final PaymentFixed principlePayment = bond.getNominal().getNthPayment(0);
    final double df = principlePayment.accept(PV_CALCULATOR, curves);
    final double factor = -(1 - df) / a / a;
    for (final String name : curves.getAllNames()) {
      if (senseA.containsKey(name)) {
        final List<DoublesPair> temp = new ArrayList<>();
        final List<DoublesPair> list = senseA.get(name);
        final int m = list.size();
        for (int i = 0; i < (m - 1); i++) {
          final DoublesPair pair = list.get(i);
          temp.add(new DoublesPair(pair.getFirst(), factor * pair.getSecond()));
        }
        final DoublesPair pair = list.get(m - 1);
        temp.add(new DoublesPair(pair.getFirst(), principlePayment.getPaymentTime() * df / a + factor * pair.getSecond()));
        result.put(name, temp);
      }
    }
    return result;
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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    final double fixingStartTime = payment.getFixingPeriodStartTime();
    final double fixingEndTime = payment.getFixingPeriodEndTime();
    final double paymentTime = payment.getPaymentTime();
    final double beta = (1.0 + payment.getFixingAccrualFactor() * multicurves.getForwardRate(payment.getIndex(), fixingStartTime, fixingEndTime, payment.getFixingAccrualFactor()))
        * multicurves.getDiscountFactor(ccy, paymentTime) / multicurves.getDiscountFactor(ccy, fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, -payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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    final double fixingStartTime = payment.getFixingPeriodStartTime();
    final double fixingEndTime = payment.getFixingPeriodEndTime();
    final double paymentTime = payment.getPaymentTime();
    final double beta = (1.0 + payment.getFixingAccrualFactor() * multicurves.getForwardRate(payment.getIndex(), fixingStartTime, fixingEndTime, payment.getFixingAccrualFactor()))
        * multicurves.getDiscountFactor(ccy, paymentTime) / multicurves.getDiscountFactor(ccy, fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getNotional() + payment.getSpreadAmount()) * payment.getPaymentYearFraction()
        / payment.getFixingAccrualFactor());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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    final double fixingStartTime = payment.getFixingPeriodStartTime();
    final double fixingEndTime = payment.getFixingPeriodEndTime();
    final double paymentTime = payment.getPaymentTime();
    final double beta = (1.0 + payment.getFixingAccrualFactor() * multicurves.getForwardRate(payment.getIndex(), fixingStartTime, fixingEndTime, payment.getFixingAccrualFactor()))
        * multicurves.getDiscountFactor(ccy, paymentTime) / multicurves.getDiscountFactor(ccy, fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, payment.getFactor() * beta * payment.getNotional() * payment.getPaymentYearFraction()
        / payment.getFixingAccrualFactor());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getFactor() / payment.getFixingAccrualFactor() + payment.getSpread()) *
        payment.getPaymentYearFraction() * payment.getNotional());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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      }
    }
    final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
    int loopcf = 0;
    for (final double time : flow.keySet()) {
      agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time));
    }
    return new AnnuityPaymentFixed(agregatedCfe);
  }
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