Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition.toDerivative()

com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition.toDerivative()
{@inheritDoc} @deprecated Use the method that does not take yield curve names

    final InstrumentDerivative[] swap = new InstrumentDerivative[nbSwap];


    for (int loops = 0; loops < nbSwap; loops++) {
      final double rate = RATE_FIXED - 0.0050 + loops * BP1;
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, rate, true);
      swap[loops] = swapDefinition.toDerivative(referenceDate);
    }


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      for (int loops = 0; loops < nbSwap; loops++) {

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    startTime = System.currentTimeMillis(); // Swap construction + PV
    for (int looptest = 0; looptest < nbTest; looptest++) {
      for (int loops = 0; loops < nbSwap; loops++) {
        final double rate = RATE_FIXED - 0.0050 + loops * BP1;
        final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, rate, true);
        swap[loops] = swapDefinition.toDerivative(referenceDate);
      }
      for (int loops = 0; loops < nbSwap; loops++) {
        pv[loops] = swap[loops].accept(pvdCalculator, MULTICURVES);
      }
    }

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  public void parSpreadFixedIborBeforeFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 14);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
    final double parSpread = swap.accept(PSC, CURVES);
    final SwapFixedIborDefinition swap0Definition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, RATE_FIXED + parSpread, true);
    final SwapFixedCoupon<Coupon> swap0 = swap0Definition.toDerivative(referenceDate, CURVE_NAMES);
    final double pv = swap0.accept(PVC, CURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv, 0, TOLERANCE_PV);
  }


  @Test

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  public void parSpreadFixedIborAfterFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 16);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final double parSpread = swap.accept(PSC, CURVES);
    final SwapFixedIborDefinition swap0Definition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, RATE_FIXED + parSpread, true);
    final SwapFixedCoupon<Coupon> swap0 = swap0Definition.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final double pv = swap0.accept(PVC, CURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv, 0, TOLERANCE_PV);
  }


  @Test

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    final HashMap<DoublesPair, DoubleMatrix2D> inverseJacobianMap = new HashMap<>();
    for (int loopexpiry = 0; loopexpiry < NB_EXPIRY; loopexpiry++) {
      final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(EXPIRY_DATE[loopexpiry], USD6MLIBOR3M.getSpotLag(), NYC);
      for (int loopmat = 0; loopmat < NB_MATURITY; loopmat++) {
        final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(settleDate, MATURITY_TENOR[loopmat], USD6MLIBOR3M, 1.0, 0.0, true); // used to compute atm
        final SwapFixedCoupon<Coupon> swap = swapDefinition.toDerivative(REFERENCE_DATE, CURVE_NAMES);
        final double atm = swap.accept(PRC, CURVES);
        final double[] strikeAbs = new double[NB_STRIKE];
        final double[] errors = new double[NB_STRIKE];
        for (int loopstr = 0; loopstr < NB_STRIKE; loopstr++) {
          strikeAbs[loopstr] = atm + STRIKE_RELATIVE[loopstr];

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  public void parSpreadFixedIborBeforeFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 14);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate);
    final double parSpread = swap.accept(PSMQDC, MULTICURVES);
    final SwapFixedIborDefinition swap0Definition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, RATE_FIXED + parSpread, true);
    final SwapFixedCoupon<Coupon> swap0 = swap0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv = swap0.accept(PVDC, MULTICURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv.getAmount(swap.getFirstLeg().getCurrency()), 0, TOLERANCE_PV);
  }


  @Test

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  public void parSpreadFixedIborAfterFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 16);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);
    final double parSpread = swap.accept(PSMQDC, MULTICURVES);
    final SwapFixedIborDefinition swap0Definition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, RATE_FIXED + parSpread, true);
    final SwapFixedCoupon<Coupon> swap0 = swap0Definition.toDerivative(referenceDate, FIXING_TS_3_6);
    final MultipleCurrencyAmount pv = swap0.accept(PVDC, MULTICURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv.getAmount(swap.getFirstLeg().getCurrency()), 0, TOLERANCE_PV);
  }


  @Test

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    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime() - 0.01, IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), !IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    final SwapFixedIborDefinition otherSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedCoupon<Coupon> otherSwap = otherSwapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), otherSwap, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    assertFalse(SWAPTION_LONG_PAYER.equals(EXPIRY_DATE));
    assertFalse(SWAPTION_LONG_PAYER.equals(null));
  }

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    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime() - 0.01, IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), !IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    final SwapFixedIborDefinition otherSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedCoupon<Coupon> otherSwap = otherSwapDefinition.toDerivative(REFERENCE_DATE);
    modifiedSwaption = SwaptionCashFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), otherSwap, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    assertFalse(SWAPTION_LONG_PAYER.equals(EXPIRY_DATE));
    assertFalse(SWAPTION_LONG_PAYER.equals(null));
  }

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    modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime() - 0.01, IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), SWAP_PAYER, SWAPTION_LONG_PAYER.getSettlementTime(), !IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    final SwapFixedIborDefinition otherSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedCoupon<Coupon> otherSwap = otherSwapDefinition.toDerivative(REFERENCE_DATE);
    modifiedSwaption = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), otherSwap, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
    assertFalse(SWAPTION_LONG_PAYER.equals(modifiedSwaption));
    assertFalse(SWAPTION_LONG_PAYER.equals(EXPIRY_DATE));
    assertFalse(SWAPTION_LONG_PAYER.equals(null));
  }

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