Package com.opengamma.analytics.financial.instrument.index

Examples of com.opengamma.analytics.financial.instrument.index.IborIndex

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    final boolean isEOM = true;
    final boolean isPayer = true;
    final ZonedDateTime settleDate = DateUtils.getUTCDate(2014, 3, 20);
    final Period indexTenor = Period.ofMonths(3);
    final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final IborIndex INDEX = new IborIndex(CUR, indexTenor, settlementDays, dayCount, businessDayConvention, isEOM);
    final AnnuityCouponIborDefinition iborAnnuityDefinition = AnnuityCouponIborDefinition.from(settleDate, Period.ofYears(5), notional, INDEX, !isPayer, CALENDAR);

    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final Annuity<? extends Payment> iborAnnuity1Curve = iborAnnuityDefinition.toDerivative(REFERENCE_DATE, FUNDING_CURVE_NAME, FUNDING_CURVE_NAME);
    final Annuity<? extends Payment> iborAnnuity = iborAnnuityDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
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    assertEquals(c1.accept(VISITOR, R2), c2);
  }

  @Test
  public void testFRA() {
    final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true, "Ibor");
    final ForwardRateAgreement fra1 = new ForwardRateAgreement(CUR, 0.5, 0.5, 1, index, 0.5, 0.5, 1, 0.5, R1);
    final ForwardRateAgreement fra2 = new ForwardRateAgreement(CUR, 0.5, 0.5, 1, index, 0.5, 0.5, 1, 0.5, R2);
    assertEquals(fra1.accept(VISITOR, R2), fra2);
  }
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    assertEquals(fra1.accept(VISITOR, R2), fra2);
  }

  @Test
  public void testIRFuture() {
    final IborIndex iborIndex = new IborIndex(CUR, Period.ofMonths(3), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true, "Ibor");
    final double lastTradingTime = 1.473;
    final double fixingPeriodStartTime = 1.467;
    final double fixingPeriodEndTime = 1.75;
    final double fixingPeriodAccrualFactor = 0.267;
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    assertEquals(temp, cash.accept(PVCSC, CURVES), 1e-10);
  }

  @Test
  public void testFRA() {
    final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true);
    final double paymentTime = 0.5;
    final double fixingPeriodStartTime = paymentTime - 2. / 365;
    final double fixingPeriodEndTime = 7. / 12;
    final double fixingTime = fixingPeriodStartTime;
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        FORWARD_CURVE_NAME + "NO");
    assertFalse(ERU2.equals(modifiedFuture));
    modifiedFuture = new InterestRateFutureSecurity(LAST_TRADING_TIME, IBOR_INDEX, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, NOTIONAL, FUTURE_FACTOR, NAME + NAME, DISCOUNTING_CURVE_NAME,
        FORWARD_CURVE_NAME);
    assertFalse(ERU2.equals(modifiedFuture));
    final IborIndex otherIndex = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM);
    modifiedFuture = new InterestRateFutureSecurity(LAST_TRADING_TIME, otherIndex, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, NOTIONAL, FUTURE_FACTOR, NAME, DISCOUNTING_CURVE_NAME,
        FORWARD_CURVE_NAME);
    assertFalse(ERU2.equals(modifiedFuture));
    assertFalse(ERU2.equals(LAST_TRADING_DATE));
    assertFalse(ERU2.equals(null));
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        DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME + "NO");
    assertFalse(ERU2.equals(modifiedFuture));
    modifiedFuture = new InterestRateFutureTransaction(LAST_TRADING_TIME, IBOR_INDEX, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, REFERENCE_PRICE, NOTIONAL, FUTURE_FACTOR, QUANTITY, NAME
        + NAME, DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME);
    assertFalse(ERU2.equals(modifiedFuture));
    final IborIndex otherIndex = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM);
    modifiedFuture = new InterestRateFutureTransaction(LAST_TRADING_TIME, otherIndex, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, REFERENCE_PRICE, NOTIONAL, FUTURE_FACTOR, QUANTITY, NAME,
        DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME);
    assertFalse(ERU2.equals(modifiedFuture));
    assertFalse(ERU2.equals(LAST_TRADING_DATE));
    assertFalse(ERU2.equals(null));
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    final double fixingPeriodEnd = 7. / 12.;
    String fundingCurveName = ZERO_PC_CURVE_NAME;
    final String forwardCurveName = FIVE_PC_CURVE_NAME;
    double paymentYearFraction = fixingPeriodEnd - paymentTime;
    final double notional = 1;
    final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true);
    double fixingTime = paymentTime;
    final double fixingPeriodStart = paymentTime;
    double fixingYearFraction = paymentYearFraction;
    final YieldAndDiscountCurve forwardCurve = CURVES.getCurve(FIVE_PC_CURVE_NAME);
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    doTest(cash, CURVES);
  }

  @Test
  public void testFRA() {
    final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"), BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"),
        true);
    final double paymentTime = 0.5;
    final double fixingTime = paymentTime - 2.0 / 365.0;
    final double fixingPeriodEnd = 7.0 / 12.0;
    final double rate = 0.0;
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   */
  public void calibrateExactPriceAmortized() {
    final Period fixedPaymentPeriod = Period.ofMonths(12);
    final Currency ccy = Currency.EUR;
    final Period iborTenor = Period.ofMonths(6);
    final IborIndex iborIndex = new IborIndex(ccy, iborTenor, SETTLEMENT_DAYS, IBOR_DAY_COUNT, BUSINESS_DAY, IS_EOM);
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    final int[] swapTenorYear = {1, 2, 3, 4, 5 };
    final IndexSwap[] cmsIndex = new IndexSwap[swapTenorYear.length];
    for (int loopexp = 0; loopexp < swapTenorYear.length; loopexp++) {
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    final double paymentYearFraction = 30. / 360;
    final double fixingTime = paymentTime - 2. / 365;
    final double fixingPeriodStartTime = paymentTime;
    final double fixingPeriodEndTime = 7. / 12;
    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, "Ibor");
    final ForwardRateAgreement fra = new ForwardRateAgreement(CUR, paymentTime, paymentYearFraction, 1, index, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime, fixingYearFraction,
        0.05);

    assertEquals(fixingPeriodEndTime, fra.accept(LDC), 1e-12);
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Related Classes of com.opengamma.analytics.financial.instrument.index.IborIndex

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponCMSDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesTransactionDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborAverageDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborDefinitionTest
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