Examples of YieldAndDiscountCurve

com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve
A curve that provides interest rate (continuously compounded) discount factor.
The relation between the rate r(t) at the maturity t and the discount factor df(t) is df(t)=e^-r(t)t.

Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

   * @return The price.
   */
  public double price(final InterestRateFutureSecurity future, final HullWhiteOneFactorPiecewiseConstantDataBundle curves) {
    Validate.notNull(future, "Future");
    Validate.notNull(curves, "Curves");
    final YieldAndDiscountCurve forwardCurve = curves.getCurve(future.getForwardCurveName());
    final double dfForwardStart = forwardCurve.getDiscountFactor(future.getFixingPeriodStartTime());
    final double dfForwardEnd = forwardCurve.getDiscountFactor(future.getFixingPeriodEndTime());
    final double forward = (dfForwardStart / dfForwardEnd - 1) / future.getFixingPeriodAccrualFactor();
    final double futureConvexityFactor = MODEL.futuresConvexityFactor(curves.getHullWhiteParameter(), future.getLastTradingTime(), future.getFixingPeriodStartTime(), future.getFixingPeriodEndTime());
    final double price = 1.0 - futureConvexityFactor * forward + (1 - futureConvexityFactor) / future.getFixingPeriodAccrualFactor();
    return price;
  }

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

   * @return The price rate sensitivity.
   */
  public InterestRateCurveSensitivity priceCurveSensitivity(final InterestRateFutureSecurity future, final HullWhiteOneFactorPiecewiseConstantDataBundle curves) {
    ArgumentChecker.notNull(future, "Future");
    ArgumentChecker.notNull(curves, "Curves");
    final YieldAndDiscountCurve forwardCurve = curves.getCurve(future.getForwardCurveName());
    final double dfForwardStart = forwardCurve.getDiscountFactor(future.getFixingPeriodStartTime());
    final double dfForwardEnd = forwardCurve.getDiscountFactor(future.getFixingPeriodEndTime());
    final double futureConvexityFactor = MODEL.futuresConvexityFactor(curves.getHullWhiteParameter(), future.getLastTradingTime(), future.getFixingPeriodStartTime(), future.getFixingPeriodEndTime());
    // Backward sweep
    final double priceBar = 1.0;
    final double forwardBar = -futureConvexityFactor * priceBar;
    final double dfForwardEndBar = -dfForwardStart / (dfForwardEnd * dfForwardEnd) / future.getFixingPeriodAccrualFactor() * forwardBar;

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

   * @param curves The yield curve bundle (containing the appropriate discounting curve).
   * @return The physical annuity.
   */
  public double presentValueBasisPoint(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final YieldCurveBundle curves) {
    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    return presentValueBasisPoint(fixedCouponSwap, discountingCurve);
  }

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

   * @return The physical annuity.
   */
  public double presentValueBasisPoint(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final DayCount dayCount, final Calendar calendar,
      final YieldCurveBundle curves) {
    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    return presentValueBasisPoint(fixedCouponSwap, dayCount, calendar, discountingCurve);
  }

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

   * @param curves The yield curve bundle (containing the appropriate discounting curve).
   * @return The physical annuity.
   */
  public double presentValueBasisPoint(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final DayCount dayCount, final YieldCurveBundle curves) {
    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    return presentValueBasisPoint(fixedCouponSwap, dayCount, discountingCurve);
  }

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

   * @return The sensitivity.
   */
  public InterestRateCurveSensitivity presentValueBasisPointCurveSensitivity(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    result.put(annuityFixed.getNthPayment(0).getFundingCurveName(), presentValueBasisPointCurveSensitivity(fixedCouponSwap, discountingCurve));
    return new InterestRateCurveSensitivity(result);
  }

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

   */
  public InterestRateCurveSensitivity presentValueBasisPointCurveSensitivity(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final DayCount dayCount,
      final Calendar calendar, final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    result.put(annuityFixed.getNthPayment(0).getFundingCurveName(), presentValueBasisPointCurveSensitivity(fixedCouponSwap, dayCount, calendar, discountingCurve));
    return new InterestRateCurveSensitivity(result);
  }

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

   */
  public InterestRateCurveSensitivity presentValueBasisPointCurveSensitivity(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final DayCount dayCount,
      final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    result.put(annuityFixed.getNthPayment(0).getFundingCurveName(), presentValueBasisPointCurveSensitivity(fixedCouponSwap, dayCount, discountingCurve));
    return new InterestRateCurveSensitivity(result);
  }

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

   */
  public double price(final FederalFundsFutureSecurity future, final YieldCurveBundle curves) {
    Validate.notNull(future, "Future");
    Validate.notNull(curves, "Curves");
    final int nbFixing = future.getFixingPeriodAccrualFactor().length;
    final YieldAndDiscountCurve ois = curves.getCurve(future.getOISCurveName());
    final double[] df = new double[nbFixing + 1];
    for (int loopfix = 0; loopfix < nbFixing + 1; loopfix++) {
      df[loopfix] = ois.getDiscountFactor(future.getFixingPeriodTime()[loopfix]);
    }
    double interest = future.getAccruedInterest();
    for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
      interest += df[loopfix] / df[loopfix + 1] - 1.0;
    }

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Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

  @Override
  public InterestRateCurveSensitivity priceCurveSensitivity(final FederalFundsFutureSecurity future, final YieldCurveBundle curves) {
    Validate.notNull(future, "Future");
    Validate.notNull(curves, "Curves");
    final int nbFixing = future.getFixingPeriodAccrualFactor().length;
    final YieldAndDiscountCurve ois = curves.getCurve(future.getOISCurveName());
    final double[] df = new double[nbFixing + 1];
    for (int loopfix = 0; loopfix < nbFixing + 1; loopfix++) {
      df[loopfix] = ois.getDiscountFactor(future.getFixingPeriodTime()[loopfix]);
    }
    // Backward sweep
    final double priceBar = 1.0;
    final double interestBar = -1.0 / future.getFixingTotalAccrualFactor() * priceBar;
    final double[] dfBar = new double[nbFixing + 1];

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