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

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

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    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CapFloorIborLMMDDMethod methodCapLMM = new CapFloorIborLMMDDMethod();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_EURIBOR3M.getTenor(), TARGET, INDEX_EURIBOR3M.getDayCount(),
        INDEX_EURIBOR3M.getBusinessDayConvention(), INDEX_EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    double pvFlooredExpected = 0.0;
    pvFlooredExpected += ratchetFixed.getNthPayment(0).accept(PVC, CURVES);
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected += factor * methodCapLMM.presentValue(cap.getNthPayment(loopcpn), BUNDLE_LMM).getAmount();
      pvFlooredExpected += factor * fixed.getNthPayment(loopcpn).accept(PVC, CURVES);
    }
    final CurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, EUR, CURVES.getCurve(CURVES_NAMES[0]), BUNDLE_LMM);
    assertEquals("Annuity Ratchet Ibor - Hull-White - LMM - Degenerate in floor leg", pvFlooredExpected, pvFloorMC.getAmount(), 2.5E+3);
    // For 500,000 path the difference is 561.70
  }
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    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvFixedExpected = fixed.accept(PVDC, MULTICURVES);
    final MultipleCurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, EUR, LMM_MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected.getAmount(EUR), pvFixedMC.getAmount(EUR), TOLERANCE_PV_MC);
    // For 500,000 path the difference is xxx
  }
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  //    assertEquals((price - deltaPrice) * notional * paymentAccrualFactor * quantity, pv, 1e-12);
  //  }

  @Test
  public void testFixedCouponAnnuity() {
    AnnuityCouponFixed annuityReceiver = new AnnuityCouponFixed(CUR, new double[] {1, 2, 3, 4, 5, 6, 7, 8, 9, 10}, 1.0, ZERO_PC_CURVE_NAME, false);

    double pv = annuityReceiver.accept(PVC, CURVES);
    assertEquals(10.0, pv, 1e-12);
    final int n = 15;
    final double alpha = 0.49;
    final double yearFrac = 0.51;
    final double[] paymentTimes = new double[n];
    final double[] coupons = new double[n];
    final double[] yearFracs = new double[n];
    final YieldAndDiscountCurve curve = CURVES.getCurve(FIVE_PC_CURVE_NAME);
    final double rate = curve.getInterestRate(0.0);
    for (int i = 0; i < n; i++) {
      paymentTimes[i] = (i + 1) * alpha;
      coupons[i] = Math.exp((i + 1) * rate * alpha);
      yearFracs[i] = yearFrac;
    }
    annuityReceiver = new AnnuityCouponFixed(CUR, paymentTimes, Math.PI, rate, yearFracs, ZERO_PC_CURVE_NAME, false);
    pv = annuityReceiver.accept(PVC, CURVES);
    assertEquals(n * yearFrac * rate * Math.PI, pv, 1e-12);

    final AnnuityCouponFixed annuityPayer = new AnnuityCouponFixed(CUR, paymentTimes, Math.PI, rate, yearFracs, ZERO_PC_CURVE_NAME, true);
    assertEquals(pv, -annuityPayer.accept(PVC, CURVES), 1e-12);
  }
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    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CapFloorIborLMMDDMethod methodCapLMM = CapFloorIborLMMDDMethod.getInstance();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, EURIBOR3M.getTenor(), TARGET, EURIBOR3M.getDayCount(),
        EURIBOR3M.getBusinessDayConvention(), EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE);
    MultipleCurrencyAmount pvFlooredExpected = MultipleCurrencyAmount.of(EUR, 0.0);
    pvFlooredExpected = pvFlooredExpected.plus(ratchetFixed.getNthPayment(0).accept(PVDC, MULTICURVES));
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected = pvFlooredExpected.plus(methodCapLMM.presentValue((CapFloorIbor) cap.getNthPayment(loopcpn), LMM_MULTICURVES).multipliedBy(factor));
      pvFlooredExpected = pvFlooredExpected.plus(fixed.getNthPayment(loopcpn).accept(PVDC, MULTICURVES).multipliedBy(factor));
    }
    final MultipleCurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, EUR, LMM_MULTICURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - LMM - Degenerate in floor leg", pvFlooredExpected.getAmount(EUR), pvFloorMC.getAmount(EUR), TOLERANCE_PV_MC);
    // For 500,000 path the difference is xxx
  }
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    final CouponFixed[] coupons = new CouponFixed[n];
    for (int i = 0; i < n; i++) {
      coupons[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon);
    }
    final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, tau * n, 1, FIVE_PC_CURVE_NAME)});
    final BondFixedSecurity bond = new BondFixedSecurity(nominal, new AnnuityCouponFixed(coupons), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final double pv = bond.accept(PVC, CURVES);
    assertEquals(1.0, pv, 1e-12);
  }
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      swapCalibrationDefinition[loopexp] = SwapFixedIborDefinition.from(SETTLEMENT_DATE, cmsIndex[loopexp], NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
      swaptionCalibrationDefinition[loopexp] = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapCalibrationDefinition[loopexp], IS_LONG);
      swaptionCalibration[loopexp] = swaptionCalibrationDefinition[loopexp].toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    final CouponFixed[] cpnFixed = new CouponFixed[swapTenorYear.length];
    final AnnuityCouponFixed legFixed = swaptionCalibration[swapTenorYear.length - 1].getUnderlyingSwap().getFixedLeg();
    final CouponIbor[] cpnIbor = new CouponIbor[2 * swapTenorYear.length];
    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 InstrumentDerivative[] swaptionCalibration2 = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaptionAmortized);

    assertEquals("Calibration basket", swaptionCalibration.length, swaptionCalibration2.length);
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    }
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullPaymentTimes() {
    new AnnuityCouponFixed(CUR, null, NOTIONAL, COUPON_RATE, CURVE_NAME, true);
  }
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    new AnnuityCouponFixed(CUR, null, NOTIONAL, COUPON_RATE, CURVE_NAME, true);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testEmptyPaymentTimes() {
    new AnnuityCouponFixed(CUR, new double[0], NOTIONAL, COUPON_RATE, CURVE_NAME, true);
  }
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    new AnnuityCouponFixed(CUR, new double[0], NOTIONAL, COUPON_RATE, CURVE_NAME, true);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullYearFractions() {
    new AnnuityCouponFixed(CUR, PAYMENT_TIMES, NOTIONAL, COUPON_RATE, null, CURVE_NAME, true);
  }
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    new AnnuityCouponFixed(CUR, PAYMENT_TIMES, NOTIONAL, COUPON_RATE, null, CURVE_NAME, true);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testEmptyYearFractions() {
    new AnnuityCouponFixed(CUR, PAYMENT_TIMES, NOTIONAL, COUPON_RATE, new double[0], CURVE_NAME, true);
  }
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