Package com.opengamma.analytics.financial.interestrate.bond.definition

Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity.accept()

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    final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, tau * n, 1, FIVE_PC_CURVE_NAME)});
    final BondFixedSecurity bond = new BondFixedSecurity(nominal, new AnnuityCouponFixed(coupons), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final BondFixedSecurity bondUp = new BondFixedSecurity(nominal, new AnnuityCouponFixed(couponsUp), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final BondFixedSecurity bondDown = new BondFixedSecurity(nominal, new AnnuityCouponFixed(couponsDown), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final double pvUp = bondUp.accept(PVC, CURVES);
    final double pvDown = bondDown.accept(PVC, CURVES);
    final double temp = (pvUp - pvDown) / 2 / DELTA;
    assertEquals(temp, bond.accept(PVCSC, CURVES), 1e-10);
  }

}
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  public void testBond() {
    final double mat = 1.0;
    final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, mat, 1.0) });
    final AnnuityCouponFixed coupon = new AnnuityCouponFixed(CUR, new double[] {0.5, mat }, 0.03, false);
    final BondFixedSecurity bond = new BondFixedSecurity(nominal, coupon, 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, "Issuer");
    assertEquals(mat, bond.accept(LDC), 1e-12);
  }

  @Test
  public void testDepositZero() {
    final double endTime = 0.03;
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    for (int i = 0; i < n; i++) {
      coupons[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon);
    }
    final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, tau * n, 1, FIVE_PC_CURVE_NAME)});
    final BondFixedSecurity bond = new BondFixedSecurity(nominal, new AnnuityCouponFixed(coupons), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final double pv = bond.accept(PVC, CURVES);
    assertEquals(1.0, pv, 1e-12);
  }

  @Test
  public void testGenericAnnuity() {
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      yearFracs[i] = yearFrac;
    }
    final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, 11, 1, FIVE_PC_CURVE_NAME)});
    AnnuityCouponFixed coupon = new AnnuityCouponFixed(CUR, new double[] {0.5, 1}, 0.03, FIVE_PC_CURVE_NAME, false);
    BondFixedSecurity bond = new BondFixedSecurity(nominal, coupon, 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final double rate = bond.accept(PRC, CURVES);
    coupon = new AnnuityCouponFixed(CUR, new double[] {0.5, 1}, rate, FIVE_PC_CURVE_NAME, false);
    bond = new BondFixedSecurity(nominal, coupon, 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    assertEquals(1.0, bond.accept(PVC, CURVES), 1e-12);
  }
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    AnnuityCouponFixed coupon = new AnnuityCouponFixed(CUR, new double[] {0.5, 1}, 0.03, FIVE_PC_CURVE_NAME, false);
    BondFixedSecurity bond = new BondFixedSecurity(nominal, coupon, 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final double rate = bond.accept(PRC, CURVES);
    coupon = new AnnuityCouponFixed(CUR, new double[] {0.5, 1}, rate, FIVE_PC_CURVE_NAME, false);
    bond = new BondFixedSecurity(nominal, coupon, 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    assertEquals(1.0, bond.accept(PVC, CURVES), 1e-12);
  }

}
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    final String creditCurveConfig = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE_CONFIG);
    final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, riskFreeCurveConfig, creditCurveConfig, target);
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get());
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bondSecurity.accept(getConverter());
    final BondFixedSecurity bond = definition.toDerivative(date, creditCurveName, riskFreeCurveName);
    return Sets.newHashSet(new ComputedValue(resultSpec, bond.accept(getCalculator(), data)));
    // Remark: MH - 9-May-2013: factor 100 removed.
  }

  @Override
  protected YieldCurveBundle getData(final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
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    final String creditCurveConfig = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE_CONFIG);
    final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, riskFreeCurveConfig, creditCurveConfig);
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get());
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bondSecurity.accept(getConverter());
    final BondFixedSecurity bond = definition.toDerivative(date, creditCurveName, riskFreeCurveName);
    return Sets.newHashSet(new ComputedValue(resultSpec, bond.accept(getCalculator(), data)));
  }

  @Override
  protected Double getData(final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Object yieldObject = inputs.getValue(getYieldRequirement(target));
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