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

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.Payment.accept()

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    final int n = annuity.getNumberOfPayments();
    Payment payment;
    for (int i = 0; i < n; i++) {
      payment = annuity.getNthPayment(i);
      final double temp = payment.accept(PRESENT_VALUE_CALCULATOR, curves);
      sum += temp * Math.exp(-zSpread * payment.getPaymentTime());
    }
    return sum;
  }

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    final int n = annuity.getNumberOfPayments();
    Payment payment;
    for (int i = 0; i < n; i++) {
      payment = annuity.getNthPayment(i);
      final double temp = payment.accept(PRESENT_VALUE_CALCULATOR, curves);
      final double time = payment.getPaymentTime();
      sum -= time * temp * Math.exp(-zSpread * time);
    }
    return sum;
  }
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    double sum = 0;
    final int n = annuity.getNumberOfPayments();
    Payment payment;
    for (int i = 0; i < n; i++) {
      payment = annuity.getNthPayment(i);
      final MultipleCurrencyAmount pvs = payment.accept(_pvCalculator, curves);
      if (pvs.size() != 1) {
        throw new IllegalStateException("Had more than one currency in result: " + pvs.getCurrencyAmounts());
      }
      final double pv = Iterables.getOnlyElement(pvs).getAmount();
      sum += pv * Math.exp(-zSpread * payment.getPaymentTime());
 
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    final int n = annuity.getNumberOfPayments();
    Payment payment;
    for (int i = 0; i < n; i++) {
      payment = annuity.getNthPayment(i);
      final MultipleCurrencyAmount pvs = payment.accept(_pvCalculator, curves);
      if (pvs.size() != 1) {
        throw new IllegalStateException("Had more than one currency in result: " + pvs.getCurrencyAmounts());
      }
      final double pv = Iterables.getOnlyElement(pvs).getAmount();
      final double time = payment.getPaymentTime();
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    final Payment couponIbor = couponIborDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final CouponFixedDefinition couponFixedDefinition = new CouponFixedDefinition(couponIborDefinition, SPREAD);
    final Payment couponFixed = couponFixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final PresentValueCalculator pvc = PresentValueCalculator.getInstance();
    final double pvIbor = couponIbor.accept(pvc, CURVES_BUNDLE);
    final double pvFixed = couponFixed.accept(pvc, CURVES_BUNDLE);
    assertEquals("Present value by discounting", pvIbor * FACTOR + pvFixed, pv.getAmount());
  }

  @Test
  /**
 
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   */
  public void iborCoupon() {
    final int cpnIndex = 17; // To have payment different from end fixing.
    final Payment cpn = SWAP.getSecondLeg().getNthPayment(cpnIndex);
    final CouponIbor cpnIbor = (CouponIbor) cpn;
    final AnnuityPaymentFixed cfe = cpn.accept(CFEC, CURVES);
    assertEquals("Fixed coupon: Number of flows", 2, cfe.getNumberOfPayments());
    assertEquals("Fixed coupon: Time", cpn.getPaymentTime(), cfe.getNthPayment(1).getPaymentTime(), 1E-5);
    assertEquals("Fixed coupon: Amount", -NOTIONAL * (FIXED_IS_PAYER ? 1.0 : -1.0) * cpnIbor.getPaymentYearFraction() / cpnIbor.getFixingAccrualFactor(), cfe.getNthPayment(1).getAmount(), 1E-2);
    assertEquals("Fixed coupon: Time", cpnIbor.getFixingPeriodStartTime(), cfe.getNthPayment(0).getPaymentTime(), 1E-5);
    final double beta = CURVES.getCurve(FORWARD_CURVE_NAME).getDiscountFactor(cpnIbor.getFixingPeriodStartTime()) /
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    assertEquals("Fixed coupon: Time", cpnIbor.getFixingPeriodStartTime(), cfe.getNthPayment(0).getPaymentTime(), 1E-5);
    final double beta = CURVES.getCurve(FORWARD_CURVE_NAME).getDiscountFactor(cpnIbor.getFixingPeriodStartTime()) /
        CURVES.getCurve(FORWARD_CURVE_NAME).getDiscountFactor(cpnIbor.getFixingPeriodEndTime())
        * CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(cpnIbor.getPaymentTime()) / CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(cpnIbor.getFixingPeriodStartTime());
    assertEquals("Fixed coupon: Amount", beta * NOTIONAL * (FIXED_IS_PAYER ? 1.0 : -1.0) * cpnIbor.getPaymentYearFraction() / cpnIbor.getFixingAccrualFactor(), cfe.getNthPayment(0).getAmount(), 1E-4);
    final double pvCpn = cpn.accept(PVC, CURVES);
    final double pvCfe = cfe.accept(PVC, CURVES);
    assertEquals("Cash flow equivalent - Swap: present value", pvCpn, pvCfe, 1E-5);
  }

  @Test
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