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

Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement.accept()

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    final ForwardRateAgreement fra2 = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, CURVE_NAME_2);
    final double parSpread = FRA_METHOD.parSpread(fra2, CURVES_2);
    final ForwardRateAgreementDefinition fra0Definition = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE,
        INDEX, FRA_RATE + parSpread, CALENDAR);
    final ForwardRateAgreement fra0 = (ForwardRateAgreement) fra0Definition.toDerivative(REFERENCE_DATE, CURVE_NAME_2);
    final double pv0 = fra0.accept(PVC, CURVES_2);
    assertEquals("FRA discounting: par spread", pv0, 0, TOLERANCE_PV);
  }

  @Test
  public void parSpreadMethodVsCalculator() {
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  @Test
  public void parSpreadMethodVsCalculator() {
    final ForwardRateAgreement fra2 = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, CURVE_NAME_2);
    final double parSpreadMethod = FRA_METHOD.parSpread(fra2, CURVES_2);
    final double parSpreadCalculator = fra2.accept(PSC, CURVES_2);
    assertEquals("FRA discounting: par spread", parSpreadMethod, parSpreadCalculator, TOLERANCE_RATE);
  }

  @Test
  /**
 
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      final DoublesPair pairPv = sensiPsFwd.get(loopnode);
      assertEquals("Sensitivity par spread to curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity par spread to curve: Node", pairPv.second, result[loopnode], TOLERANCE_SPREAD_DELTA);
    }
    CURVES_2.replaceCurve(CURVE_NAME_2[1], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = fra.accept(PSCSC, CURVES_2);
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("FRA: par rate curve sensitivity", pscsMethod, prcsCalculator, TOLERANCE_SPREAD_DELTA);
  }

}
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  public void parSpread() {
    final double parSpread = FRA_METHOD.parSpread(FRA, PROVIDER);
    final ForwardRateAgreementDefinition fra0Definition = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE,
        INDEX, FRA_RATE + parSpread, CALENDAR);
    final ForwardRateAgreement fra0 = (ForwardRateAgreement) fra0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = fra0.accept(PVDC, PROVIDER);
    assertEquals("FRA discounting: par spread", pv0.getAmount(CUR), 0, TOLERANCE_PV);
  }

  @Test
  public void parSpreadMethodVsCalculator() {
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    final YieldAndDiscountCurve curve = CURVES.getCurve(FIVE_PC_CURVE_NAME);
    final double rate = (curve.getDiscountFactor(paymentTime) / curve.getDiscountFactor(fixingPeriodEnd) - 1.0) / tau;
    final ForwardRateAgreement fra = new ForwardRateAgreement(CUR, paymentTime, ZERO_PC_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStart, fixingPeriodEnd, fixingYearFraction,
        rate, FIVE_PC_CURVE_NAME);

    final Map<String, List<DoublesPair>> sense = fra.accept(PVSC, CURVES);
    final List<DoublesPair> senseAnal = clean(sense.get(FIVE_PC_CURVE_NAME), eps, eps);
    final List<DoublesPair> senseFD = curveSensitvityFDCalculator(fra, PVC, CURVES, FIVE_PC_CURVE_NAME, nodeTimes, eps);
    assertSensitivityEquals(senseFD, senseAnal, eps);
  }
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    final ForwardRateAgreement fraUp = new ForwardRateAgreement(CUR, paymentTime, FIVE_PC_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
        fixingYearFraction, rate + DELTA, FIVE_PC_CURVE_NAME);
    final ForwardRateAgreement fraDown = new ForwardRateAgreement(CUR, paymentTime, FIVE_PC_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
        fixingYearFraction, rate - DELTA, FIVE_PC_CURVE_NAME);
    final double pvUp = fraUp.accept(PVC, CURVES);
    final double pvDown = fraDown.accept(PVC, CURVES);
    final double temp = (pvUp - pvDown) / 2 / DELTA;
    //TODO accuracy is off compared to old FRA definition
    assertEquals(temp, fra.accept(PVCSC, CURVES), 1e-5);
  }
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    final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true, "Ibor");
    final ForwardRateAgreement fra = new ForwardRateAgreement(CUR, paymentTime, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime, fixingYearFraction,
        0.05);

    assertEquals(fixingPeriodEndTime, fra.accept(LDC), 1e-12);
  }

  @Test
  public void testFutures() {
    final IborIndex iborIndex = new IborIndex(CUR, Period.ofMonths(3), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
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    double fixingYearFraction = paymentYearFraction;
    final YieldAndDiscountCurve forwardCurve = CURVES.getCurve(FIVE_PC_CURVE_NAME);
    final double rate = (forwardCurve.getDiscountFactor(paymentTime) / forwardCurve.getDiscountFactor(fixingPeriodEnd) - 1.0) * 12.0;
    ForwardRateAgreement fra = new ForwardRateAgreement(CUR, paymentTime, fundingCurveName, paymentYearFraction, notional, index, fixingTime, fixingPeriodStart, fixingPeriodEnd, fixingYearFraction,
        rate, forwardCurveName);
    double pv = fra.accept(PVC, CURVES);
    assertEquals(0.0, pv, 1e-12);

    fixingTime = paymentTime - 2. / 365.;
    fixingYearFraction = 31. / 365;
    paymentYearFraction = 30. / 360;
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    fundingCurveName = FIVE_PC_CURVE_NAME;
    final double forwardRate = (forwardCurve.getDiscountFactor(fixingPeriodStart) / forwardCurve.getDiscountFactor(fixingPeriodEnd) - 1) / fixingYearFraction;
    final double fv = (forwardRate - rate) * paymentYearFraction / (1 + forwardRate * paymentYearFraction);
    final double pv2 = fv * forwardCurve.getDiscountFactor(paymentTime);
    fra = new ForwardRateAgreement(CUR, paymentTime, fundingCurveName, paymentYearFraction, notional, index, fixingTime, fixingPeriodStart, fixingPeriodEnd, fixingYearFraction, rate, forwardCurveName);
    pv = fra.accept(PVC, CURVES);
    assertEquals(pv, pv2, 1e-12);
  }

  //  @Test
  //  public void testFutures() {
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    final double fixingYearFraction = 31. / 365;
    final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true);
    ForwardRateAgreement fra = new ForwardRateAgreement(CUR, paymentTime, FIVE_PC_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
        fixingYearFraction, 0, FIVE_PC_CURVE_NAME);
    final double rate = fra.accept(PRC, CURVES);
    fra = new ForwardRateAgreement(CUR, paymentTime, FIVE_PC_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime, fixingYearFraction, rate,
        FIVE_PC_CURVE_NAME);
    assertEquals(0.0, fra.accept(PVC, CURVES), 1e-12);
  }
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