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

Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed

267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
   * @param multicurves The multi-curves provider.
   * @return The sensitivity.
   */
  public MulticurveSensitivity presentValueBasisPointSecondOrderCurveSensitivity(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final DayCount dayCount,
      final MulticurveProviderInterface multicurves) {
    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    final Currency ccy = annuityFixed.getCurrency();
    double time;
    final List<DoublesPair> list = new ArrayList<>();
    for (int loopcpn = 0; loopcpn < annuityFixed.getPayments().length; loopcpn++) {
      time = annuityFixed.getNthPayment(loopcpn).getPaymentTime();
      final DoublesPair s = new DoublesPair(time, time * time * multicurves.getDiscountFactor(ccy, time)
          * dayCount.getDayCountFraction(annuityFixed.getNthPayment(loopcpn).getAccrualStartDate(), annuityFixed.getNthPayment(loopcpn).getAccrualEndDate())
          * Math.abs(annuityFixed.getNthPayment(loopcpn).getNotional()));
      list.add(s);
    }
    final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
    mapDsc.put(multicurves.getName(annuityFixed.getCurrency()), list);
    final MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(mapDsc);
    return result;
  }
View Full Code Here
40
41
42
43
44
45
46
    final int n = payments.length;
    final CouponFixed[] temp = new CouponFixed[n];
    for (int i = 0; i < n; i++) {
      temp[i] = visitCouponFixed(payments[i], rate);
    }
    return new AnnuityCouponFixed(temp);
  }
View Full Code Here
71
72
73
74
75
76
77
78
79
80
  @Override
  public BondFixedSecurity visitBondFixedSecurity(final BondFixedSecurity bond, final Double rate) {
    final double originalRate = bond.getCoupon().getNthPayment(0).getFixedRate();
    final double accruedInterest = rate * bond.getAccruedInterest() / originalRate;
    final AnnuityCouponFixed originalCoupons = (AnnuityCouponFixed) bond.getCoupon();
    final AnnuityCouponFixed coupons = visitFixedCouponAnnuity(originalCoupons, rate);
    return new BondFixedSecurity((AnnuityPaymentFixed) bond.getNominal(), coupons, bond.getSettlementTime(), accruedInterest, bond.getAccrualFactorToNextCoupon(), bond.getYieldConvention(),
        bond.getCouponPerYear(), bond.getRepoCurveName(), bond.getIssuer());
  }
View Full Code Here
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
    return METHOD_IRFUT_SECURITY.parRateCurveSensitivity(futures, curves).getSensitivities();
  }

  @Override
  public Map<String, List<DoublesPair>> visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final YieldCurveBundle curves) {
    final AnnuityCouponFixed unitCouponAnnuity = REPLACE_RATE.visitFixedCouponAnnuity(swap.getFixedLeg(), 1.0);
    final Annuity<?> floatingAnnuity = swap.getSecondLeg();
    final double a = unitCouponAnnuity.accept(PV_CALCULATOR, curves);
    final double b = floatingAnnuity.accept(PV_CALCULATOR, curves);
    final double bOveraSq = b / a / a;
    final Map<String, List<DoublesPair>> senseA = unitCouponAnnuity.accept(PV_SENSITIVITY_CALCULATOR, curves);
    final Map<String, List<DoublesPair>> senseB = floatingAnnuity.accept(PV_SENSITIVITY_CALCULATOR, curves);

    return addSensitivity(multiplySensitivity(senseA, bOveraSq), multiplySensitivity(senseB, -1 / a));
  }
View Full Code Here
321
322
323
324
325
326
327
328
329
330
331
332
      _tau = 1.0 / _nbFixedPaymentYear;
      _delta = cmsCap.getPaymentTime() - cmsCap.getSettlementTime();
      _eta = -_delta;
      _timeToExpiry = cmsCap.getFixingTime();
      // TODO: A better notion of maturity may be required (using period?)
      final AnnuityCouponFixed annuityFixed = cmsCap.getUnderlyingSwap().getFixedLeg();
      _maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - cmsCap.getSettlementTime();
      _forward = forward;
      final DoublesPair expiryMaturity = new DoublesPair(_timeToExpiry, _maturity);
      final double alpha = sabrParameter.getAlpha(expiryMaturity);
      final double beta = sabrParameter.getBeta(expiryMaturity);
      final double rho = sabrParameter.getRho(expiryMaturity);
View Full Code Here
38
39
40
41
42
43
44
    final int n = payments.length;
    final CouponFixed[] temp = new CouponFixed[n];
    for (int i = 0; i < n; i++) {
      temp[i] = visitCouponFixed(payments[i], rate);
    }
    return new AnnuityCouponFixed(temp);
  }
View Full Code Here
68
69
70
71
72
73
74
75
76
77
  @Override
  public BondFixedSecurity visitBondFixedSecurity(final BondFixedSecurity bond, final Double rate) {
    final double originalRate = bond.getCoupon().getNthPayment(0).getFixedRate();
    final double accruedInterest = rate * bond.getAccruedInterest() / originalRate;
    final AnnuityCouponFixed originalCoupons = (AnnuityCouponFixed) bond.getCoupon();
    final AnnuityCouponFixed coupons = visitFixedCouponAnnuity(originalCoupons, rate);
    return new BondFixedSecurity((AnnuityPaymentFixed) bond.getNominal(), coupons, bond.getSettlementTime(), accruedInterest, bond.getAccrualFactorToNextCoupon(), bond.getYieldConvention(),
        bond.getCouponPerYear(), bond.getIssuer());
  }
View Full Code Here
322
323
324
325
326
327
328
329
330
331
332
333
      _tau = 1.0 / _nbFixedPaymentYear;
      _delta = cmsCap.getPaymentTime() - cmsCap.getSettlementTime();
      _eta = -_delta;
      _timeToExpiry = cmsCap.getFixingTime();
      // TODO: A better notion of maturity may be required (using period?)
      final AnnuityCouponFixed annuityFixed = cmsCap.getUnderlyingSwap().getFixedLeg();
      _maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - cmsCap.getSettlementTime();
      _forward = forward;
      final DoublesPair expiryMaturity = new DoublesPair(_timeToExpiry, _maturity);
      final double alpha = sabrParameter.getAlpha(expiryMaturity);
      final double beta = sabrParameter.getBeta(expiryMaturity);
      final double rho = sabrParameter.getRho(expiryMaturity);
View Full Code Here
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
      swapCalibrationDefinition[loopexp] = SwapFixedIborDefinition.from(SETTLEMENT_DATE, Period.ofYears(loopexp + 1), EUR1YEURIBOR6M, NOTIONAL, RATE, FIXED_IS_PAYER);
      swaptionCalibrationDefinition[loopexp] = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapCalibrationDefinition[loopexp], IS_LONG);
      swaptionCalibration[loopexp] = swaptionCalibrationDefinition[loopexp].toDerivative(REFERENCE_DATE);
    }
    final CouponFixed[] cpnFixed = new CouponFixed[swapTenorYear.length];
    final AnnuityCouponFixed legFixed = swaptionCalibration[swapTenorYear.length - 1].getUnderlyingSwap().getFixedLeg();
    final CouponIbor[] cpnIbor = new CouponIbor[2 * swapTenorYear.length];
    @SuppressWarnings("unchecked")
    final Annuity<Payment> legIbor = (Annuity<Payment>) swaptionCalibration[swapTenorYear.length - 1].getUnderlyingSwap().getSecondLeg();
    for (int loopexp = 0; loopexp < swapTenorYear.length; loopexp++) {
      cpnFixed[loopexp] = legFixed.getNthPayment(loopexp).withNotional(legFixed.getNthPayment(loopexp).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp] = ((CouponIbor) legIbor.getNthPayment(2 * loopexp)).withNotional(((CouponIbor) legIbor.getNthPayment(2 * loopexp)).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp + 1] = ((CouponIbor) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIbor) legIbor.getNthPayment(2 * loopexp + 1)).getNotional() * amortization[loopexp]);
    }

    final SwapFixedCoupon<Coupon> swapAmortized = new SwapFixedCoupon<>(new AnnuityCouponFixed(cpnFixed), new Annuity<Coupon>(cpnIbor));
    final SwaptionPhysicalFixedIbor swaptionAmortized = SwaptionPhysicalFixedIbor.from(swaptionCalibration[0].getTimeToExpiry(), swapAmortized, swaptionCalibration[0].getSettlementTime(), IS_LONG);

    final SwaptionPhysicalFixedIbor[] swaptionCalibration2 = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaptionAmortized);

    assertEquals("Calibration basket", swaptionCalibration.length, swaptionCalibration2.length);
View Full Code Here
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
    double couponEquiv = METHOD_SWAP.couponEquivalent(SWAP_PAYER, pvbp, CURVES);
    assertEquals(RATE, couponEquiv, 1E-10);
    couponEquiv = METHOD_SWAP.couponEquivalent(SWAP_PAYER, CURVES);
    assertEquals(RATE, couponEquiv, 1E-10);
    // Non-constant rate
    final AnnuityCouponFixed annuity = SWAP_PAYER.getFixedLeg();
    final CouponFixed[] coupon = new CouponFixed[annuity.getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < annuity.getNumberOfPayments(); loopcpn++) {
      // Step-up by 10bps
      coupon[loopcpn] = new CouponFixed(CUR, annuity.getNthPayment(loopcpn).getPaymentTime(), CURVES_NAME[0], annuity.getNthPayment(loopcpn).getPaymentYearFraction(), NOTIONAL
          * (FIXED_IS_PAYER ? -1 : 1), RATE + loopcpn * 0.001);
    }
    final AnnuityCouponFixed annuityStepUp = new AnnuityCouponFixed(coupon);
    final SwapFixedCoupon<Coupon> swapStepup = new SwapFixedCoupon<>(annuityStepUp, SWAP_PAYER.getSecondLeg());
    couponEquiv = METHOD_SWAP.couponEquivalent(swapStepup, CURVES);
    double expectedCouponEquivalent = 0;
    for (int loopcpn = 0; loopcpn < annuity.getNumberOfPayments(); loopcpn++) {
      expectedCouponEquivalent += Math.abs(annuityStepUp.getNthPayment(loopcpn).getAmount()) * curveFunding.getDiscountFactor(SWAP_PAYER.getFixedLeg().getNthPayment(loopcpn).getPaymentTime());
    }
    expectedCouponEquivalent /= pvbp;
    assertEquals(expectedCouponEquivalent, couponEquiv, 1E-10);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed

  • com.opengamma.analytics.example.curveconstruction.AnnuityExample
  • com.opengamma.analytics.example.curveconstruction.CurveConstructionExample
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinitionTest
  • com.opengamma.analytics.financial.interestrate.annuity.definition.DeprecatedFixedCouponAnnuityTest
  • com.opengamma.analytics.financial.interestrate.annuity.definition.FixedCouponAnnuityTest
  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetLMMMethodTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.