Package com.opengamma.analytics.financial.instrument.annuity

Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponONSimplifiedDefinition

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   * @param isPayer The flag indicating if the annuity is paying (true) or receiving (false).
   * @return The swap.
   */
  public static SwapFixedONSimplifiedDefinition from(final ZonedDateTime settlementDate, final Period tenorAnnuity, final double notional, final GeneratorSwapFixedON generator, final double fixedRate,
      final boolean isPayer) {
    final AnnuityCouponONSimplifiedDefinition oisLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, tenorAnnuity, notional, generator, !isPayer);
    final double sign = isPayer ? -1.0 : 1.0;
    final double notionalSigned = sign * notional;
    return from(oisLeg, notionalSigned, fixedRate, generator.getOvernightCalendar());
  }
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   * @param isPayer The flag indicating if the annuity is paying (true) or receiving (false).
   * @return The swap.
   */
  public static SwapFixedONSimplifiedDefinition from(final ZonedDateTime settlementDate, final ZonedDateTime endFixingPeriodDate, final double notional, final GeneratorSwapFixedON generator,
      final double fixedRate, final boolean isPayer) {
    final AnnuityCouponONSimplifiedDefinition oisLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, endFixingPeriodDate, notional, generator, !isPayer);
    final double sign = isPayer ? -1.0 : 1.0;
    final double notionalSigned = sign * notional;
    return from(oisLeg, notionalSigned, fixedRate, generator.getOvernightCalendar());
  }
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   * @param isPayer The flag indicating if the annuity is paying (true) or receiving (false).
   * @return The swap.
   */
  public static SwapFixedONSimplifiedDefinition from(final ZonedDateTime settlementDate, final ZonedDateTime endFixingPeriodDate, final double notionalFixed, final double notionalOIS,
      final GeneratorSwapFixedON generator, final double fixedRate, final boolean isPayer) {
    final AnnuityCouponONSimplifiedDefinition oisLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, endFixingPeriodDate, notionalOIS, generator, !isPayer);
    final double sign = isPayer ? -1.0 : 1.0;
    final double notionalSigned = sign * notionalFixed;
    return from(oisLeg, notionalSigned, fixedRate, generator.getOvernightCalendar());
  }
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  public static SwapFixedONSimplifiedDefinition from(final ZonedDateTime settlementDate, final Period tenorAnnuity, final Period tenorCoupon, final double notional, final IndexON index,
      final double fixedRate, final boolean isPayer, final int settlementDays, final BusinessDayConvention businessDayConvention, final DayCount dayCount, final boolean isEOM,
      final Calendar calendar) {
    final GeneratorSwapFixedON generator = new GeneratorSwapFixedON("OIS Generator", index, tenorCoupon, dayCount, businessDayConvention, isEOM, settlementDays,
        calendar);
    final AnnuityCouponONSimplifiedDefinition oisLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, tenorAnnuity, notional, generator, !isPayer);
    final double sign = isPayer ? -1.0 : 1.0;
    final double notionalSigned = sign * notional;
    return from(oisLeg, notionalSigned, fixedRate, generator.getOvernightCalendar());
  }
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   */
  public static SwapFixedONSimplifiedDefinition from(final ZonedDateTime settlementDate, final ZonedDateTime maturityDate, final Period frequency, final double notional, final IndexON index,
      final double fixedRate, final boolean isPayer, final int settlementDays, final BusinessDayConvention businessDayConvention, final DayCount dayCount, final boolean isEOM,
      final Calendar calendar) {
    final GeneratorSwapFixedON generator = new GeneratorSwapFixedON("OIS Generator", index, frequency, dayCount, businessDayConvention, isEOM, settlementDays, calendar);
    final AnnuityCouponONSimplifiedDefinition oisLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, maturityDate, notional, generator, !isPayer);
    final double sign = isPayer ? -1.0 : 1.0;
    final double notionalSigned = sign * notional;
    return from(oisLeg, notionalSigned, fixedRate, calendar);
  }
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    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    final IndexON index = new IndexON(OVERNIGHT_ID.getValue(), Currency.USD, ACT_360, 1);
    AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    AnnuityCouponONSimplifiedDefinition floatLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, Period.ofYears(10), 1, false, index, 1,
        CALENDAR, MODIFIED_FOLLOWING, Period.ofYears(1), false);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
    settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, OIS_ID, FIXED_LEG_ID, "Mapper");
    definition = swapNode.accept(converter);
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Related Classes of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponONSimplifiedDefinition

  • com.opengamma.analytics.financial.instrument.swap.SwapFixedONSimplifiedDefinition
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
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