Package com.opengamma.analytics.financial.interestrate.annuity.derivative

Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed.accept()

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      paymentTimes[i] = (i + 1) * alpha;
      yearFracs[i] = yearFrac;
    }

    final AnnuityCouponFixed annuity = new AnnuityCouponFixed(CUR, paymentTimes, Math.PI, coupon, yearFracs, FIVE_PC_CURVE_NAME, isPayer);
    final Map<String, List<DoublesPair>> sense = annuity.accept(PVSC, CURVES);

    final List<DoublesPair> senseAnal = clean(sense.get(FIVE_PC_CURVE_NAME), eps, eps);
    final List<DoublesPair> senseFD = curveSensitvityFDCalculator(annuity, PVC, CURVES, FIVE_PC_CURVE_NAME, paymentTimes, eps);
    assertSensitivityEquals(senseFD, senseAnal, eps);
  }
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        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_EURIBOR3M.getTenor(), TARGET, INDEX_EURIBOR3M.getDayCount(),
        INDEX_EURIBOR3M.getBusinessDayConvention(), INDEX_EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final double pvFixedExpected = fixed.accept(PVC, CURVES);
    final CurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, EUR, CURVES.getCurve(CURVES_NAMES[0]), BUNDLE_LMM);
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected, pvFixedMC.getAmount(), 1.0E+2);
    // For 500,000 path the difference is 1.65
  }
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        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvFixedExpected = fixed.accept(PVDC, MULTICURVES);
    final MultipleCurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, EUR, LMM_MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected.getAmount(EUR), pvFixedMC.getAmount(EUR), TOLERANCE_PV_MC);
    // For 500,000 path the difference is xxx
  }
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  @Test
  public void testFixedCouponAnnuity() {
    AnnuityCouponFixed annuityReceiver = new AnnuityCouponFixed(CUR, new double[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10}, 1.0, ZERO_PC_CURVE_NAME, false);

    double pv = annuityReceiver.accept(PVC, CURVES);
    assertEquals(10.0, pv, 1e-12);
    final int n = 15;
    final double alpha = 0.49;
    final double yearFrac = 0.51;
    final double[] paymentTimes = new double[n];
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      paymentTimes[i] = (i + 1) * alpha;
      coupons[i] = Math.exp((i + 1) * rate * alpha);
      yearFracs[i] = yearFrac;
    }
    annuityReceiver = new AnnuityCouponFixed(CUR, paymentTimes, Math.PI, rate, yearFracs, ZERO_PC_CURVE_NAME, false);
    pv = annuityReceiver.accept(PVC, CURVES);
    assertEquals(n * yearFrac * rate * Math.PI, pv, 1e-12);

    final AnnuityCouponFixed annuityPayer = new AnnuityCouponFixed(CUR, paymentTimes, Math.PI, rate, yearFracs, ZERO_PC_CURVE_NAME, true);
    assertEquals(pv, -annuityPayer.accept(PVC, CURVES), 1e-12);
  }
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    annuityReceiver = new AnnuityCouponFixed(CUR, paymentTimes, Math.PI, rate, yearFracs, ZERO_PC_CURVE_NAME, false);
    pv = annuityReceiver.accept(PVC, CURVES);
    assertEquals(n * yearFrac * rate * Math.PI, pv, 1e-12);

    final AnnuityCouponFixed annuityPayer = new AnnuityCouponFixed(CUR, paymentTimes, Math.PI, rate, yearFracs, ZERO_PC_CURVE_NAME, true);
    assertEquals(pv, -annuityPayer.accept(PVC, CURVES), 1e-12);
  }

  @Test
  public void testBond() {
    final int n = 20;
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    final MultipleCurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, CUR, HW_MULTICURVES);

    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvFixedExpected = fixed.accept(PVDC, MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected.getAmount(CUR), pvFixedMC.getAmount(CUR), 2.0E+2);
  }

  @Test(enabled = true)
  /**
 
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  }

  @Test
  public void testFixedCouponAnnuity() {
    final AnnuityCouponFixed annuity = new AnnuityCouponFixed(CUR, new double[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10 }, 1.0, 1.0, true);
    assertEquals(10, annuity.accept(LDC), 1e-12);
  }

  @Test
  public void testBond() {
    final double mat = 1.0;
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  /**
   * Tests the cash-flow equivalent of a fixed leg.
   */
  public void fixedLeg() {
    final AnnuityCouponFixed leg = SWAP.getFixedLeg();
    final AnnuityPaymentFixed cfe = leg.accept(CFEC, CURVES);
    assertEquals("Fixed coupon: Number of flows", FIXED_PAYMENT_PAYMENT_BY_YEAR * SWAP_TENOR_YEAR, cfe.getNumberOfPayments());
    for (int loopcf = 0; loopcf < leg.getNumberOfPayments(); loopcf++) {
      assertEquals("Fixed leg: Time", leg.getNthPayment(loopcf).getPaymentTime(), cfe.getNthPayment(loopcf).getPaymentTime(), 1E-5);
      assertEquals("Fixed leg: Amount", leg.getNthPayment(loopcf).getAmount(), cfe.getNthPayment(loopcf).getAmount(), 1E-2);
    }
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    assertEquals("Fixed coupon: Number of flows", FIXED_PAYMENT_PAYMENT_BY_YEAR * SWAP_TENOR_YEAR, cfe.getNumberOfPayments());
    for (int loopcf = 0; loopcf < leg.getNumberOfPayments(); loopcf++) {
      assertEquals("Fixed leg: Time", leg.getNthPayment(loopcf).getPaymentTime(), cfe.getNthPayment(loopcf).getPaymentTime(), 1E-5);
      assertEquals("Fixed leg: Amount", leg.getNthPayment(loopcf).getAmount(), cfe.getNthPayment(loopcf).getAmount(), 1E-2);
    }
    final double pvLeg = leg.accept(PVC, CURVES);
    final double pvCfe = cfe.accept(PVC, CURVES);
    assertEquals("Cash flow equivalent - Swap: present value", pvLeg, pvCfe, 1E-5);
  }

  @Test
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