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

com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed.trimBefore()
Remove the payments paying on or before the given time. @param trimTime The time. @return The trimmed annuity.


  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_1);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_1);
    coupon = coupon.trimBefore(REFERENCE_TIME_1);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);

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  @Test
  public void presentValueFixedOnCoupon() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_2);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_2);
    coupon = coupon.trimBefore(REFERENCE_TIME_2);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_2, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);

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  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_US_1, CURVES_NAME);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_US_1, CURVES_NAME);
    coupon = coupon.trimBefore(REFERENCE_TIME_1);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_1, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }

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  @Test
  public void presentValueFixedOnCoupon() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_US_2, CURVES_NAME);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_US_2, CURVES_NAME);
    coupon = coupon.trimBefore(REFERENCE_TIME_2);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_2, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }

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