Package com.opengamma.analytics.financial.instrument.annuity

Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityPaymentFixedDefinition.trimBefore()

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  public void toDerivativeUSTDeprecated() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS, CALENDAR);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
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  public void toDerivativeUST() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS, CALENDAR);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
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  public void toDerivativeUKTDeprecated() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION_G.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION_G.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
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  public void toDerivativeUKT() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION_G.toDerivative(REFERENCE_DATE_1);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION_G.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
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    final ZonedDateTime referenceDate2 = DateUtils.getUTCDate(2011, 9, 2); // Ex-dividend is 30-Aug-2011
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION_G.toDerivative(referenceDate2, CURVES_NAME);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION_G.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(referenceDate2, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate);
    couponDefinition = couponDefinition.trimBefore(spotDate);
    final CouponFixedDefinition[] couponDefinitionExArray = new CouponFixedDefinition[couponDefinition.getNumberOfPayments()];
    System.arraycopy(couponDefinition.getPayments(), 1, couponDefinitionExArray, 1, couponDefinition.getNumberOfPayments() - 1);
    couponDefinitionExArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
    final AnnuityCouponFixedDefinition couponDefinitionEx = new AnnuityCouponFixedDefinition(couponDefinitionExArray, CALENDAR_G);
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    final ZonedDateTime referenceDate2 = DateUtils.getUTCDate(2011, 9, 2); // Ex-dividend is 30-Aug-2011
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION_G.toDerivative(referenceDate2);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION_G.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(referenceDate2, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate);
    couponDefinition = couponDefinition.trimBefore(spotDate);
    final CouponFixedDefinition[] couponDefinitionExArray = new CouponFixedDefinition[couponDefinition.getNumberOfPayments()];
    System.arraycopy(couponDefinition.getPayments(), 1, couponDefinitionExArray, 1, couponDefinition.getNumberOfPayments() - 1);
    couponDefinitionExArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
    final AnnuityCouponFixedDefinition couponDefinitionEx = new AnnuityCouponFixedDefinition(couponDefinitionExArray, CALENDAR_G);
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