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

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

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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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    final double[] annuityPathValue = new double[nbPath];
    final double[][] cpnRate = new double[nbCpn][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] * pathDiscountFactors[looppath][loopcpn][0];
        }
      } 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] * pathDiscountFactors[looppath][loopcpn][0] / (impactAmount[loopcpn][1] *
                pathDiscountFactors[looppath][loopcpn][1]) - 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() * pathDiscountFactors[looppath][loopcpn][1];
          }
        } else {
          final CouponIborGearing cpn = (CouponIborGearing) annuity.getNthPayment(loopcpn);
          for (int looppath = 0; looppath < nbPath; looppath++) {
            ibor = (-impactAmount[0][0] * pathDiscountFactors[looppath][0][0] / (impactAmount[0][1] * pathDiscountFactors[looppath][0][1]) - 1.0) / cpn.getFixingAccrualFactor();
            cpnRate[loopcpn][looppath] = cpn.getFactor() * ibor + cpn.getSpread();
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1];
          }
        }
      }
    }
    for (int looppath = 0; looppath < nbPath; looppath++) {
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    final double[][] cpnMain = new double[nbCpn][nbPath];
    final double[][] cpnFloor = new double[nbCpn][nbPath];
    final double[][] cpnCap = new double[nbCpn][nbPath];
    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] * pathDiscountFactors[looppath][loopcpn][0];
        }
      } else {
        if (annuity.getNthPayment(loopcpn) instanceof CouponIborRatchet) {
          final CouponIborRatchet cpn = (CouponIborRatchet) annuity.getNthPayment(loopcpn);
          for (int looppath = 0; looppath < nbPath; looppath++) {
            ibor[loopcpn][looppath] = (-impactAmount[loopcpn][0] * pathDiscountFactors[looppath][loopcpn][0] / (impactAmount[loopcpn][1] * pathDiscountFactors[looppath][loopcpn][1]) - 1.0)
                / cpn.getFixingAccrualFactor();
            cpnMain[loopcpn][looppath] = cpn.getMainCoefficients()[0] * cpnRate[loopcpn - 1][looppath] + cpn.getMainCoefficients()[1] * ibor[loopcpn][looppath] + cpn.getMainCoefficients()[2];
            cpnFloor[loopcpn][looppath] = cpn.getFloorCoefficients()[0] * cpnRate[loopcpn - 1][looppath] + cpn.getFloorCoefficients()[1] * ibor[loopcpn][looppath] + cpn.getFloorCoefficients()[2];
            cpnCap[loopcpn][looppath] = cpn.getCapCoefficients()[0] * cpnRate[loopcpn - 1][looppath] + cpn.getCapCoefficients()[1] * ibor[loopcpn][looppath] + cpn.getCapCoefficients()[2];
            cpnRate[loopcpn][looppath] = Math.min(Math.max(cpnFloor[loopcpn][looppath], cpnMain[loopcpn][looppath]), cpnCap[loopcpn][looppath]);
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1];
          }
        } else {
          final CouponIborGearing cpn = (CouponIborGearing) annuity.getNthPayment(loopcpn);
          for (int looppath = 0; looppath < nbPath; looppath++) {
            ibor[loopcpn][looppath] = (-impactAmount[0][0] * pathDiscountFactors[looppath][0][0] / (impactAmount[0][1] * pathDiscountFactors[looppath][0][1]) - 1.0) / cpn.getFixingAccrualFactor();
            cpnRate[loopcpn][looppath] = cpn.getFactor() * ibor[loopcpn][looppath] + cpn.getSpread();
            annuityPathValue[looppath] += cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1];
          }
        }
      }
    }
    for (int looppath = 0; looppath < nbPath; looppath++) {
      price += annuityPathValue[looppath];
    }
    price = price / nbPath;
    // Backward sweep
    final double priceBar = 1.0;
    final double[] annuityPathValueBar = new double[nbPath];
    for (int looppath = 0; looppath < nbPath; looppath++) {
      annuityPathValueBar[looppath] = 1.0 / nbPath * priceBar;
    }
    final double[][] impactAmountBar = new double[nbCpn][];
    final double[][] cpnRateBar = new double[nbCpn][nbPath];
    final double[][] iborBar = new double[nbCpn][nbPath];
    final double[][] cpnMainBar = new double[nbCpn][nbPath];
    final double[][] cpnFloorBar = new double[nbCpn][nbPath];
    final double[][] cpnCapBar = new double[nbCpn][nbPath];
    final Double[][][] pathDiscountFactorsBar = new Double[nbPath][nbCpn][];
    for (int loopcpn = nbCpn - 1; loopcpn >= 0; loopcpn--) {
      impactAmountBar[loopcpn] = new double[impactAmount[loopcpn].length];
      for (int looppath = 0; looppath < nbPath; looppath++) {
        pathDiscountFactorsBar[looppath][loopcpn] = new Double[impactAmount[loopcpn].length];
      }
      if (annuity.isFixed()[loopcpn]) { // Coupon already fixed: only one cash flow
        for (int looppath = 0; looppath < nbPath; looppath++) {
          impactAmountBar[loopcpn][0] += pathDiscountFactors[looppath][loopcpn][0] * annuityPathValueBar[looppath];
          pathDiscountFactorsBar[looppath][loopcpn][0] = impactAmount[loopcpn][0] * annuityPathValueBar[looppath];
        }
      } else {
        if (annuity.getNthPayment(loopcpn) instanceof CouponIborRatchet) {
          final CouponIborRatchet cpn = (CouponIborRatchet) annuity.getNthPayment(loopcpn);
          for (int looppath = 0; looppath < nbPath; looppath++) {
            cpnRateBar[loopcpn][looppath] += cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1] * annuityPathValueBar[looppath];
            cpnCapBar[loopcpn][looppath] = (cpnCap[loopcpn][looppath] < Math.max(cpnFloor[loopcpn][looppath], cpnMain[loopcpn][looppath]) ? 1.0 : 0.0) * cpnRateBar[loopcpn][looppath];
            cpnFloorBar[loopcpn][looppath] = (cpnCap[loopcpn][looppath] >= Math.max(cpnFloor[loopcpn][looppath], cpnMain[loopcpn][looppath]) ? 1.0 : 0.0)
                * (cpnFloor[loopcpn][looppath] > cpnMain[loopcpn][looppath] ? 1.0 : 0.0) * cpnRateBar[loopcpn][looppath];
            cpnMainBar[loopcpn][looppath] = (cpnCap[loopcpn][looppath] >= Math.max(cpnFloor[loopcpn][looppath], cpnMain[loopcpn][looppath]) ? 1.0 : 0.0)
                * (cpnFloor[loopcpn][looppath] <= cpnMain[loopcpn][looppath] ? 1.0 : 0.0) * cpnRateBar[loopcpn][looppath];
            cpnRateBar[loopcpn - 1][looppath] += cpn.getCapCoefficients()[0] * cpnCapBar[loopcpn][looppath] + cpn.getFloorCoefficients()[0] * cpnFloorBar[loopcpn][looppath]
                + cpn.getMainCoefficients()[0] * cpnMainBar[loopcpn][looppath];
            iborBar[loopcpn][looppath] = cpn.getMainCoefficients()[1] * cpnMainBar[loopcpn][looppath] + cpn.getFloorCoefficients()[1] * cpnFloorBar[loopcpn][looppath] + cpn.getCapCoefficients()[1]
                * cpnCapBar[loopcpn][looppath];
            impactAmountBar[loopcpn][0] += -pathDiscountFactors[looppath][loopcpn][0] / (impactAmount[loopcpn][1] * pathDiscountFactors[looppath][loopcpn][1]) / cpn.getFixingAccrualFactor()
                * iborBar[loopcpn][looppath];
            impactAmountBar[loopcpn][1] += impactAmount[loopcpn][0] * pathDiscountFactors[looppath][loopcpn][0] / pathDiscountFactors[looppath][loopcpn][1]
                / (impactAmount[loopcpn][1] * impactAmount[loopcpn][1]) / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
            pathDiscountFactorsBar[looppath][loopcpn][1] = cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * annuityPathValueBar[looppath];
            pathDiscountFactorsBar[looppath][loopcpn][0] = -impactAmount[loopcpn][0] / (impactAmount[loopcpn][1] * pathDiscountFactors[looppath][loopcpn][1]) / cpn.getFixingAccrualFactor()
                * iborBar[loopcpn][looppath];
            pathDiscountFactorsBar[looppath][loopcpn][1] += impactAmount[loopcpn][0] * pathDiscountFactors[looppath][loopcpn][0] / impactAmount[loopcpn][1]
                / (pathDiscountFactors[looppath][loopcpn][1] * pathDiscountFactors[looppath][loopcpn][1]) / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
          }
        } else {
          final CouponIborGearing cpn = (CouponIborGearing) annuity.getNthPayment(loopcpn);
          for (int looppath = 0; looppath < nbPath; looppath++) {
            cpnRateBar[loopcpn][looppath] += cpn.getPaymentYearFraction() * cpn.getNotional() * pathDiscountFactors[looppath][loopcpn][1] * annuityPathValueBar[looppath];
            iborBar[loopcpn][looppath] = cpn.getFactor() * cpnRateBar[loopcpn][looppath];
            impactAmountBar[0][0] += -pathDiscountFactors[looppath][0][0] / (impactAmount[0][1] * pathDiscountFactors[looppath][0][1]) / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
            impactAmountBar[0][1] += impactAmount[0][0] * pathDiscountFactors[looppath][0][0] / pathDiscountFactors[looppath][0][1] / (impactAmount[0][1] * impactAmount[0][1])
                / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
            pathDiscountFactorsBar[looppath][loopcpn][1] = cpnRate[loopcpn][looppath] * cpn.getPaymentYearFraction() * cpn.getNotional() * annuityPathValueBar[looppath];
            pathDiscountFactorsBar[looppath][0][0] = -impactAmount[0][0] / (impactAmount[0][1] * pathDiscountFactors[looppath][0][1]) / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
            pathDiscountFactorsBar[looppath][0][1] += impactAmount[0][0] * pathDiscountFactors[looppath][0][0] / impactAmount[0][1]
                / (pathDiscountFactors[looppath][0][1] * pathDiscountFactors[looppath][0][1]) / cpn.getFixingAccrualFactor() * iborBar[loopcpn][looppath];
          }
        }
      }
    }
    mcResults.setImpactAmountDerivative(impactAmountBar);
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   * Tests the present value cap/floor parity (Cap - Floor = (cms1 - cms2) - strike).
   */
  public void presentValueCapFloorParity() {
    final CouponCMS cms1 = new CouponCMS(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    // No extrapolation
    final MultipleCurrencyAmount pvCapLong = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvFloorLong = METHOD_CMS_SPREAD.presentValue(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvCMS1 = cms1.accept(PVSSC, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvCMS2 = cms2.accept(PVSSC, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvStrike = cpnStrike.accept(PVDC, MULTICURVES);
    assertEquals("CMS spread: Cap/Floor parity", pvCMS1.getAmount(EUR) - pvCMS2.getAmount(EUR) - pvStrike.getAmount(EUR), pvCapLong.getAmount(EUR) - pvFloorLong.getAmount(EUR), TOLERANCE_PV);
    // Extrapolation
    final MultipleCurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvFloorLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvCMS1Extra = cms1.accept(PVSSXC, SABR_MULTICURVES);
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    pvcsCapLong = pvcsCapLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    MultipleCurrencyMulticurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, SABR_MULTICURVES);
    pvcsCMS1 = pvcsCMS1.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsCMS2 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms2, SABR_MULTICURVES);
    pvcsCMS2 = pvcsCMS2.cleaned();
    final MultipleCurrencyMulticurveSensitivity pvcsStrike = METHOD_CPN_FIXED.presentValueCurveSensitivity(cpnStrike, MULTICURVES);
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      DateUtils.getUTCDate(2017, 6, 30), DateUtils.getUTCDate(2018, 5, 31), DateUtils.getUTCDate(2018, 6, 30) },
        new double[] {
          127.23, 127.43, 128.23, 128.43 });
    final Coupon zeroCouponConverted = YoY_COUPON_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, 128.23 / 127.23 - 1.0);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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    final CouponInflationZeroCouponInterpolationDefinition zeroCouponInterpolated = CouponInflationZeroCouponInterpolationDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, false);
    final Coupon zeroCouponConverted = zeroCouponInterpolated.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final double endIndex = 128.23 + (PAYMENT_DATE.getDayOfMonth() - 1.0) / (PAYMENT_DATE.toLocalDate().lengthOfMonth()) * (128.43 - 128.23);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, endIndex / INDEX_MAY_2008 - 1.0);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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        DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) },
        new double[] {
            127.23, 127.43, 128.23, 128.43 });
    final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, Math.max((WEIGHT_END * 128.23 + (1 - WEIGHT_END) * 128.43) /
        (WEIGHT_START * 127.23 + (1 - WEIGHT_START) * 127.43) - 1.0 - STRIKE, 0.0));
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 1),
      DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) },
        new double[] {127.23, 127.43, 128.23, 128.43 });
    final Coupon zeroCouponConverted = ZERO_COUPON_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, Math.max(
        (WEIGHT * 128.23 + (1 - WEIGHT) * 128.43) / INDEX_START_VALUE - 1.0 - Math.pow(1 + STRIKE, MATURITY), 0.0));
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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  @Test
  public void testToDerivativeAfterFixingDeprecated() {
    final ZonedDateTime date = FIXING_DATE.plusDays(2);
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    double paymentTime = actAct.getDayCountFraction(date, PAYMENT_DATE);
    CouponFixed couponFixed = new CouponFixed(CUR, paymentTime, CURVES_NAME[0], ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
    assertEquals(couponFixed, CMS_COUPON_DEFINITION.toDerivative(date, FIXING_TS, CURVES_NAME));
    paymentTime = actAct.getDayCountFraction(FIXING_DATE, PAYMENT_DATE);
    couponFixed = new CouponFixed(CUR, paymentTime, CURVES_NAME[0], ACCRUAL_FACTOR, NOTIONAL, FIXING_RATE);
    assertEquals(couponFixed, CMS_COUPON_DEFINITION.toDerivative(FIXING_DATE, FIXING_TS, CURVES_NAME));
  }
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