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

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

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    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(swap, "swap");
    final Currency ccy = swap.getFirstLeg().getCurrency();
    ArgumentChecker.isTrue(ccy.equals(swap.getSecondLeg().getCurrency()), "Cash flow equivalent available only for single currency swaps.");
    final TreeMap<Double, Double> flow = new TreeMap<>();
    final AnnuityPaymentFixed cfeLeg1 = swap.getFirstLeg().accept(this, curves);
    final AnnuityPaymentFixed cfeLeg2 = swap.getSecondLeg().accept(this, curves);
    for (final PaymentFixed p : cfeLeg1.getPayments()) {
      flow.put(p.getPaymentTime(), p.getAmount());
    }
    for (final PaymentFixed p : cfeLeg2.getPayments()) {
      addcf(flow, p.getPaymentTime(), p.getAmount());
    }
    final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
    int loopcf = 0;
    for (final double time : flow.keySet()) {
      agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time), cfeLeg1.getDiscountCurve());
    }
    return new AnnuityPaymentFixed(agregatedCfe);
  }
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  public AnnuityPaymentFixed visitBondFixedSecurity(final BondFixedSecurity bond, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(bond, "bond");
    final Currency ccy = bond.getCurrency();
    final TreeMap<Double, Double> flow = new TreeMap<>();
    final AnnuityPaymentFixed cfeNom = bond.getNominal().accept(this, curves);
    final AnnuityPaymentFixed cfeCpn = bond.getCoupon().accept(this, curves);
    for (final PaymentFixed p : cfeNom.getPayments()) {
      flow.put(p.getPaymentTime(), p.getAmount());
    }
    for (final PaymentFixed p : cfeCpn.getPayments()) {
      addcf(flow, p.getPaymentTime(), p.getAmount());
    }
    final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
    int loopcf = 0;
    for (final double time : flow.keySet()) {
      agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time), cfeCpn.getDiscountCurve());
    }
    return new AnnuityPaymentFixed(agregatedCfe);

  }
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    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      alphaFixed[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = multicurves.getDiscountFactor(ccy, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swap.getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swap.getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swap.getSecondLeg().accept(CFEC, multicurves);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = multicurves.getDiscountFactor(ccy, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final double alphaPayment = MODEL.alpha(parameters, 0.0, expiryTime, expiryTime, cms.getPaymentTime());
    final double dfPayment = multicurves.getDiscountFactor(ccy, cms.getPaymentTime());
    // Integration
    final CMSIntegrant integrant = new CMSIntegrant(discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, alphaPayment);
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    if (getSettlementDate().isBefore(date)) {
      settlementTime = 0;
    } else {
      settlementTime = actAct.getDayCountFraction(date, getSettlementDate(), getUnderlyingBond().getCalendar());
    }
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) getUnderlyingBond().getNominal().toDerivative(date, creditCurveName);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) getUnderlyingBond().getCoupons().toDerivative(date, couponCurveName);
    final AnnuityPaymentFixed nominalPurchase = nominal.trimBefore(settlementTime);
    final Annuity<Coupon> couponPurchase = coupon.trimBefore(settlementTime);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(spotTime);
    final Annuity<Coupon> couponStandard = coupon.trimBefore(spotTime);
    final BondIborSecurity bondPurchase = new BondIborSecurity(nominalPurchase, couponPurchase, settlementTime, discountingCurveName);
    final BondIborSecurity bondStandard = new BondIborSecurity(nominalStandard, couponStandard, spotTime, discountingCurveName);
    final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
    int couponIndex = 0; // The index of the coupon of the spot date.
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    if (getSettlementDate().isBefore(date)) {
      settlementTime = 0;
    } else {
      settlementTime = actAct.getDayCountFraction(date, getSettlementDate(), getUnderlyingBond().getCalendar());
    }
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) getUnderlyingBond().getNominal().toDerivative(date, creditCurveName);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) getUnderlyingBond().getCoupons().toDerivative(date, indexFixingTS, couponCurveName);
    final AnnuityPaymentFixed nominalPurchase = nominal.trimBefore(settlementTime);
    final Annuity<Coupon> couponPurchase = coupon.trimBefore(settlementTime);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(spotTime);
    final Annuity<Coupon> couponStandard = coupon.trimBefore(spotTime);
    final BondIborSecurity bondPurchase = new BondIborSecurity(nominalPurchase, couponPurchase, settlementTime, discountingCurveName);
    final BondIborSecurity bondStandard = new BondIborSecurity(nominalStandard, couponStandard, spotTime, discountingCurveName);
    final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
    int couponIndex = 0; // The index of the coupon of the spot date.
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    if (getSettlementDate().isBefore(date)) {
      settlementTime = 0;
    } else {
      settlementTime = actAct.getDayCountFraction(date, getSettlementDate(), getUnderlyingBond().getCalendar());
    }
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) getUnderlyingBond().getNominal().toDerivative(date);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) getUnderlyingBond().getCoupons().toDerivative(date);
    final AnnuityPaymentFixed nominalPurchase = nominal.trimBefore(settlementTime);
    final Annuity<Coupon> couponPurchase = coupon.trimBefore(settlementTime);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(spotTime);
    final Annuity<Coupon> couponStandard = coupon.trimBefore(spotTime);
    final BondIborSecurity bondPurchase = new BondIborSecurity(nominalPurchase, couponPurchase, settlementTime);
    final BondIborSecurity bondStandard = new BondIborSecurity(nominalStandard, couponStandard, spotTime);
    final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
    int couponIndex = 0; // The index of the coupon of the spot date.
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    if (getSettlementDate().isBefore(date)) {
      settlementTime = 0;
    } else {
      settlementTime = actAct.getDayCountFraction(date, getSettlementDate(), getUnderlyingBond().getCalendar());
    }
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) getUnderlyingBond().getNominal().toDerivative(date);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) getUnderlyingBond().getCoupons().toDerivative(date, indexFixingTS);
    final AnnuityPaymentFixed nominalPurchase = nominal.trimBefore(settlementTime);
    final Annuity<Coupon> couponPurchase = coupon.trimBefore(settlementTime);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(spotTime);
    final Annuity<Coupon> couponStandard = coupon.trimBefore(spotTime);
    final BondIborSecurity bondPurchase = new BondIborSecurity(nominalPurchase, couponPurchase, settlementTime);
    final BondIborSecurity bondStandard = new BondIborSecurity(nominalStandard, couponStandard, spotTime);
    final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
    int couponIndex = 0; // The index of the coupon of the spot date.
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    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      alphaFixed[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = hwData.getCurve(swap.getFixedLeg().getNthPayment(loopcf).getFundingCurveName()).getDiscountFactor(swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swap.getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swap.getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swap.getSecondLeg().accept(CFEC, hwData);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = hwData.getCurve(cfeIbor.getDiscountCurve()).getDiscountFactor(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final double alphaPayment = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cmsCoupon.getPaymentTime());
    final double dfPayment = hwData.getCurve(cfeIbor.getDiscountCurve()).getDiscountFactor(cmsCoupon.getPaymentTime());
    // Integration
    final CMSIntegrant integrant = new CMSIntegrant(discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, alphaPayment);
    final double limit = 10.0;
    final double absoluteTolerance = 1.0E-8;
    final double relativeTolerance = 1.0E-9;
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    for (int loopcoupon = 0; loopcoupon < getPayments().length; loopcoupon++) {
      if (!date.isAfter(getNthPayment(loopcoupon).getPaymentDate())) {
        resultList.add(getNthPayment(loopcoupon).toDerivative(date, yieldCurveNames));
      }
    }
    return new AnnuityPaymentFixed(resultList.toArray(new PaymentFixed[resultList.size()]));
  }
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    for (int loopcoupon = 0; loopcoupon < getPayments().length; loopcoupon++) {
      if (!date.isAfter(getNthPayment(loopcoupon).getPaymentDate())) {
        resultList.add(getNthPayment(loopcoupon).toDerivative(date));
      }
    }
    return new AnnuityPaymentFixed(resultList.toArray(new PaymentFixed[resultList.size()]));
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityPaymentFixedDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityPaymentFixedDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondIborSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondIborSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondIborTransactionDefinition
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDEDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityUSDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethodTest
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