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

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

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    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS, CALENDAR);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE, COUPON_PER_YEAR)
        * NOTIONAL;
 
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    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS, CALENDAR);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE, COUPON_PER_YEAR)
        * NOTIONAL;
 
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    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G)
        * NOTIONAL_G;
 
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    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G)
        * NOTIONAL_G;
 
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    couponDefinition = couponDefinition.trimBefore(spotDate);
    final CouponFixedDefinition[] couponDefinitionExArray = new CouponFixedDefinition[couponDefinition.getNumberOfPayments()];
    System.arraycopy(couponDefinition.getPayments(), 1, couponDefinitionExArray, 1, couponDefinition.getNumberOfPayments() - 1);
    couponDefinitionExArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
    final AnnuityCouponFixedDefinition couponDefinitionEx = new AnnuityCouponFixedDefinition(couponDefinitionExArray, CALENDAR_G);
    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(referenceDate2, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinitionEx.toDerivative(referenceDate2, CURVES_NAME);
    final double spotTime = ACT_ACT.getDayCountFraction(referenceDate2, spotDate);
    final double accruedInterest = (DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G) - RATE_G / COUPON_PER_YEAR_G)
        * NOTIONAL_G;
 
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    couponDefinition = couponDefinition.trimBefore(spotDate);
    final CouponFixedDefinition[] couponDefinitionExArray = new CouponFixedDefinition[couponDefinition.getNumberOfPayments()];
    System.arraycopy(couponDefinition.getPayments(), 1, couponDefinitionExArray, 1, couponDefinition.getNumberOfPayments() - 1);
    couponDefinitionExArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
    final AnnuityCouponFixedDefinition couponDefinitionEx = new AnnuityCouponFixedDefinition(couponDefinitionExArray, CALENDAR_G);
    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(referenceDate2);
    final AnnuityCouponFixed coupon = couponDefinitionEx.toDerivative(referenceDate2);
    final double spotTime = ACT_ACT.getDayCountFraction(referenceDate2, spotDate);
    final double accruedInterest = (DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G) - RATE_G / COUPON_PER_YEAR_G)
        * NOTIONAL_G;
 
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    final double ramp = 0.0025;
    final CouponFixed[] coupons = new CouponFixed[n];
    for (int i = 0; i < n; i++) {
      coupons[i] = new CouponFixed(CUR, tau * (i + 1), FUNDING_CURVE_NAME, yearFrac, initialCoupon + i * ramp);
    }
    final AnnuityPaymentFixed nominal = new AnnuityPaymentFixed(new PaymentFixed[] {new PaymentFixed(CUR, tau * n, 1, FUNDING_CURVE_NAME) });
    final BondFixedSecurity bond = new BondFixedSecurity(nominal, new AnnuityCouponFixed(coupons), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FUNDING_CURVE_NAME, "S");
    doTest(bond, CURVES);
    final BondFixedTransaction trade = new BondFixedTransaction(bond, 100, 100, bond, 90);
    doTest(trade, CURVES);
  }
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    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(g2Data, "G2++ data");
    final YieldAndDiscountCurve dsc = g2Data.getCurve(swaption.getUnderlyingSwap().getFixedLeg().getDiscountCurve());
    final double notional = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getNotional();
    final double strike = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getFixedRate();
    final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, g2Data);
    final double theta = swaption.getTimeToExpiry();
    final double dft0 = dsc.getDiscountFactor(swaption.getSettlementTime());
    final int nbCfFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
    final int nbCfIbor = cfeIbor.getNumberOfPayments();
    final double[] tFixed = new double[nbCfFixed];
    final double[] dfFixed = new double[nbCfFixed];
    final double[] discountedCashFlowFixed = new double[nbCfFixed];
    for (int loopcf = 0; loopcf < nbCfFixed; loopcf++) {
      tFixed[loopcf] = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime();
      dfFixed[loopcf] = dsc.getDiscountFactor(tFixed[loopcf]);
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction();
    }
    final double[] tIbor = new double[nbCfIbor];
    final double[] dfIbor = new double[nbCfIbor];
    final double[] discountedCashFlowIbor = new double[nbCfIbor];
    for (int loopcf = 0; loopcf < nbCfIbor; loopcf++) {
      tIbor[loopcf] = cfeIbor.getNthPayment(loopcf).getPaymentTime();
      dfIbor[loopcf] = dsc.getDiscountFactor(tIbor[loopcf]);
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount() / notional;
    }

    final double rhog2pp = g2Data.getG2ppParameter().getCorrelation();
    final double[][] gamma = MODEL_G2PP.gamma(g2Data.getG2ppParameter(), 0, theta);
    final double rhobar = rhog2pp * gamma[0][1] / Math.sqrt(gamma[0][0] * gamma[1][1]);
 
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   * Test the present value.
   */
  public void presentValueExplicit() {
    final CurrencyAmount pv = METHOD_HW.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
    final double timeToExpiry = SWAPTION_PAYER_LONG.getTimeToExpiry();
    final AnnuityPaymentFixed cfe = CFEC.visitSwap(SWAPTION_PAYER_LONG.getUnderlyingSwap(), CURVES);
    final int numberOfPayments = cfe.getNumberOfPayments();
    final double alpha[] = new double[numberOfPayments];
    final double disccf[] = new double[numberOfPayments];
    for (int loopcf = 0; loopcf < numberOfPayments; loopcf++) {
      alpha[loopcf] = MODEL.alpha(PARAMETERS_HW, 0.0, timeToExpiry, timeToExpiry, cfe.getNthPayment(loopcf).getPaymentTime());
      disccf[loopcf] = CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(cfe.getNthPayment(loopcf).getPaymentTime()) * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(disccf, alpha);
    double pvExpected = 0.0;
    for (int loopcf = 0; loopcf < numberOfPayments; loopcf++) {
      pvExpected += disccf[loopcf] * NORMAL.getCDF(-kappa - alpha[loopcf]);
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    for (int i = 0; i < n; i++) {
      coupons[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon);
      couponsUp[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon + DELTA);
      couponsDown[i] = new CouponFixed(CUR, tau * (i + 1), FIVE_PC_CURVE_NAME, yearFrac, coupon - DELTA);
    }
    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 BondFixedSecurity bondUp = new BondFixedSecurity(nominal, new AnnuityCouponFixed(couponsUp), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final BondFixedSecurity bondDown = new BondFixedSecurity(nominal, new AnnuityCouponFixed(couponsDown), 0, 0, 0.5, SimpleYieldConvention.TRUE, 2, FIVE_PC_CURVE_NAME, "S");
    final double pvUp = bondUp.accept(PVC, CURVES);
    final double pvDown = bondDown.accept(PVC, CURVES);
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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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