Package com.opengamma.analytics.financial.instrument.payment

Examples of com.opengamma.analytics.financial.instrument.payment.CouponIborDefinition.toDerivative()


   * Tests the present value.
   */
  public void presentValue() {
    final CurrencyAmount pv = METHOD.presentValue(COUPON, CURVES_BUNDLE);
    final CouponIborDefinition couponIborDefinition = new CouponIborDefinition(CUR, ACCRUAL_END_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
    final Payment couponIbor = couponIborDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final CouponFixedDefinition couponFixedDefinition = new CouponFixedDefinition(couponIborDefinition, SPREAD);
    final Payment couponFixed = couponFixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final PresentValueCalculator pvc = PresentValueCalculator.getInstance();
    final double pvIbor = couponIbor.accept(pvc, CURVES_BUNDLE);
    final double pvFixed = couponFixed.accept(pvc, CURVES_BUNDLE);
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