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

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

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    final double yearFrac = 180 / 365.0;
    final double initialCoupon = 0.015;
    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);
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    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];
    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / FEDFUND_CPN_7D_DEF.getPaymentYearFraction());
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];
    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / FEDFUND_CPN_7D_DEF.getPaymentYearFraction());
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];
    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / FEDFUND_CPN_7D_DEF.getPaymentYearFraction());
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);
  }
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    final double paymentTime = TimeCalculator.getTimeBetween(valuationTimeIsNoon, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];

    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / ACCURAL_FACTOR_7D);
    assertEquals("CouponArithmeticAverageONSpread definition definition: toDerivative", cpnExpected, cpnConverted);

    // Test pricing, too. Notice that the value of a coupon on its payment date is non-zero
    final MulticurveProviderDiscount curves = MulticurveProviderDiscountDataSets.createMulticurveEurUsd();
    final MultipleCurrencyAmount pvConverted = com.opengamma.analytics.financial.interestrate.payments.provider.CouponFixedDiscountingMethod.getInstance().presentValue((CouponFixed) cpnConverted,
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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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      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, (WEIGHT_END * 128.23 + (1 - WEIGHT_END) * 128.43) /
        (WEIGHT_START * 127.23 + (1 - WEIGHT_START) * 127.43) - 1.0);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2018, 5, 31),
      DateUtils.getUTCDate(2018, 6, 30) },
        new double[] {108.23, 128.23, 128.43 });
    final Coupon zeroCouponConverted = ZERO_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 / INDEX_APRIL_2008 - 1.0);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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        }
        final CouponArithmeticAverageON cpn = CouponArithmeticAverageON.from(paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodTimes,
            fixingAccrualFactorsLeft, accruedRate);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), accruedRate / getPaymentYearFraction());

    }

    // All fixed already
    return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), accruedRate / getPaymentYearFraction());
  }
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    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final LocalDate dayFixing = getFixingDate().toLocalDate();
    if (dayConversion.equals(dayFixing)) { // The fixing is on the reference date; if known the fixing is used and if not, the floating coupon is created.
      final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate());
      if (fixedRate != null) {
        return new CouponFixed(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), fixedRate + _spread);
      }
    }
    if (dayConversion.isAfter(dayFixing)) { // The fixing is required
      final Double fixedRate = indexFixingTimeSeries.getValue(getFixingDate().withHour(0)); // TODO: remove time from fixing date.
      if (fixedRate == null) {
        throw new OpenGammaRuntimeException("Could not get fixing value for date " + dayFixing);
      }
      return new CouponFixed(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), fixedRate + _spread);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    return new CouponIborSpread(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed

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  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinitionTest
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  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinitionTest
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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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