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

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed

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    }
    // Derivatives
    final CouponDefinition cpn0 = getNthPayment(0);
    if (!date.isAfter(cpn0.getPaymentDate())) {
      if (isFixed[0]) {
        cpnList.add(new CouponFixed(getCurrency(), TimeCalculator.getTimeBetween(date, cpn0.getPaymentDate()), cpn0.getPaymentYearFraction(), cpn0.getNotional(), fixedCpn.get(0),
            cpn0.getAccrualStartDate(), cpn0.getAccrualEndDate()));
      } else { // CouponIborGearingDefinition
        cpnList.add(((CouponIborGearingDefinition) cpn0).toDerivative(date));
      }
    }
    for (int loopcpn = 1; loopcpn < getNumberOfPayments(); loopcpn++) {
      final CouponDefinition cpn = getNthPayment(loopcpn);
      if (!date.isAfter(getNthPayment(loopcpn).getPaymentDate())) {
        if (isFixed[loopcpn]) {
          cpnList.add(new CouponFixed(getCurrency(), TimeCalculator.getTimeBetween(date, cpn.getPaymentDate()), cpn.getPaymentYearFraction(), cpn.getNotional(), fixedCpn
              .get(loopcpn), cpn.getAccrualStartDate(), cpn.getAccrualEndDate()));
        } else {
          cpnList.add(((CouponIborRatchetDefinition) cpn).toDerivative(date));
        }
      }
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    return new AnnuityCouponFixed(temp);
  }

  @Override
  public CouponFixed visitCouponFixed(final CouponFixed payment, final Double rate) {
    return new CouponFixed(payment.getCurrency(), payment.getPaymentTime(), payment.getFundingCurveName(), payment.getPaymentYearFraction(), payment.getNotional(), rate,
        payment.getAccrualStartDate(), payment.getAccrualEndDate());
  }
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    final String discountingCurveName = yieldCurveNames[0];
    if (dayConversion.isAfter(dayFixing)) {
      final Double fixedEndIndex = priceIndexTimeSeries.getValue(getReferenceEndDate());
      if (fixedEndIndex != null) {
        final Double fixedRate = _factor * (fixedEndIndex / getIndexStartValue() - (payNotional() ? 0.0 : 1.0));
        return new CouponFixed(getCurrency(), paymentTime, discountingCurveName, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    double referenceEndTime = 0.0;
    referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
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    final LocalDate dayFixing = getReferenceEndDate().toLocalDate();
    if (dayConversion.isAfter(dayFixing)) {
      final Double fixedEndIndex = priceIndexTimeSeries.getValue(getReferenceEndDate());
      if (fixedEndIndex != null) {
        final Double fixedRate = _factor * (fixedEndIndex / getIndexStartValue() - (payNotional() ? 0.0 : 1.0));
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    double referenceEndTime = 0.0;
    referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
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      if (fixedEndIndex1 != null) {
        final Double fixedEndIndex0 = priceIndexTimeSeries.getValue(getReferenceEndDates()[0]);
        final Double fixedEndIndex = getWeight() * fixedEndIndex0 + (1 - getWeight()) * fixedEndIndex1;
        final Double fixedRate = _factor * (fixedEndIndex / getIndexStartValue() - (payNotional() ? 0.0 : 1.0));
        return new CouponFixed(getCurrency(), paymentTime, discountingCurveName, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDates[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDates[1]);
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      if (fixedEndIndex1 != null) {
        final Double fixedEndIndex0 = priceIndexTimeSeries.getValue(getReferenceEndDates()[0]);
        final Double fixedEndIndex = getWeight() * fixedEndIndex0 + (1 - getWeight()) * fixedEndIndex1;
        final Double fixedRate = _factor * (fixedEndIndex / getIndexStartValue() - (payNotional() ? 0.0 : 1.0));
        return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDates[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDates[1]);
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    return new AnnuityCouponFixed(temp);
  }

  @Override
  public CouponFixed visitCouponFixed(final CouponFixed payment, final Double rate) {
    return new CouponFixed(payment.getCurrency(), payment.getPaymentTime(), payment.getPaymentYearFraction(), payment.getNotional(), rate,
        payment.getAccrualStartDate(), payment.getAccrualEndDate());
  }
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   * Tests the present value cap/floor parity (Cap - Floor = (cms1 - cms2) - strike).
   */
  public void presentValueCapFloorParity() {
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    // No extrapolation
    final CurrencyAmount pvCapLong = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorLong = METHOD_CMS_SPREAD.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final Double pvCMS1 = cms1.accept(PVC_SABR, SABR_BUNDLE);
    final Double pvCMS2 = cms2.accept(PVC_SABR, SABR_BUNDLE);
    final Double pvStrike = cpnStrike.accept(PVC_SABR, SABR_BUNDLE);
    assertEquals("CMS spread: Cap/Floor parity", pvCMS1 - pvCMS2 - pvStrike, pvCapLong.getAmount() - pvFloorLong.getAmount(), TOLERANCE_PRICE);
    // Extrapolation
    final CurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final Double pvCMS1Extra = cms1.accept(PVC_SABR_EXTRA, SABR_BUNDLE);
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    pvcsCapLong = pvcsCapLong.cleaned();
    InterestRateCurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    InterestRateCurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, sabrBundleCor);
    pvcsCMS1 = pvcsCMS1.cleaned();
    InterestRateCurveSensitivity pvcsCMS2 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms2, sabrBundleCor);
    pvcsCMS2 = pvcsCMS2.cleaned();
    final InterestRateCurveSensitivity pvcsStrike = METHOD_CPN_FIXED.presentValueCurveSensitivity(cpnStrike, sabrBundleCor);
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    final double[][] cpnRate = new double[nbCpn][nbPath];
    final double[] annuityPathValue = new double[nbPath];
    double ibor;
    for (int loopcpn = 0; loopcpn < nbCpn; loopcpn++) { //nbCpn
      if (annuity.isFixed()[loopcpn]) { // Coupon already fixed: only one cash flow
        final CouponFixed cpn = (CouponFixed) annuity.getNthPayment(loopcpn);
        for (int looppath = 0; looppath < nbPath; looppath++) {
          cpnRate[loopcpn][looppath] = cpn.getFixedRate();
          annuityPathValue[looppath] += impactAmount[loopcpn][0] * discounting[loopcpn][impactIndex[loopcpn][0]][looppath];
        }
      } else {
        if (annuity.getNthPayment(loopcpn) instanceof CouponIborRatchet) {
          final CouponIborRatchet cpn = (CouponIborRatchet) annuity.getNthPayment(loopcpn);
          for (int looppath = 0; looppath < nbPath; looppath++) {
            ibor = (-impactAmount[loopcpn][0] * discounting[loopcpn][impactIndex[loopcpn][0]][looppath] / (impactAmount[loopcpn][1] * discounting[loopcpn][impactIndex[loopcpn][1]][looppath]) - 1.0)
                / cpn.getFixingAccrualFactor();
            final double cpnMain = cpn.getMainCoefficients()[0] * cpnRate[loopcpn - 1][looppath] + cpn.getMainCoefficients()[1] * ibor + cpn.getMainCoefficients()[2];
            final double cpnFloor = cpn.getFloorCoefficients()[0] * cpnRate[loopcpn - 1][looppath] + cpn.getFloorCoefficients()[1] * ibor + cpn.getFloorCoefficients()[2];
            final double cpnCap = cpn.getCapCoefficients()[0] * cpnRate[loopcpn - 1][looppath] + cpn.getCapCoefficients()[1] * ibor + cpn.getCapCoefficients()[2];
            cpnRate[loopcpn][looppath] = Math.min(Math.max(cpnFloor, cpnMain), cpnCap);
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * discounting[loopcpn][impactIndex[loopcpn][1]][looppath];
          }
        } else {
          final CouponIborGearing cpn = (CouponIborGearing) annuity.getNthPayment(loopcpn); // Only possible for the first coupon
          for (int looppath = 0; looppath < nbPath; looppath++) {
            ibor = (-impactAmount[0][0] * discounting[loopcpn][impactIndex[loopcpn][0]][looppath] / (impactAmount[0][1] * discounting[loopcpn][impactIndex[loopcpn][1]][looppath]) - 1.0)
                / cpn.getFixingAccrualFactor();
            cpnRate[loopcpn][looppath] = cpn.getFactor() * ibor + cpn.getSpread();
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * discounting[loopcpn][impactIndex[loopcpn][1]][looppath];
          }
        }
      }
    }
    double price = 0.0;
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed

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  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearMonthlyDefinition
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearMonthlyDefinitionTest
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationZeroCouponInterpolationDefinition
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationZeroCouponInterpolationDefinitiontest
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