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

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

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      }
    }
    if (nbFixed == nbSubPeriods) {
      // Implementation note: all dates already fixed: CouponFixed
      final double rate = (ratioAccrued - 1.0) / getPaymentYearFraction();
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), rate, getAccrualStartDate(), getAccrualEndDate());
    }
    final double notionalAccrued = getNotional() * ratioAccrued;
    final int nbSubPeriodLeft = nbSubPeriods - nbFixed;
    final double[] paymentAccrualFactorsLeft = new double[nbSubPeriodLeft];
    System.arraycopy(_paymentAccrualFactors, nbFixed, paymentAccrualFactorsLeft, 0, nbSubPeriodLeft);
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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);
      }
    }
    if (dayConversion.isAfter(dayFixing)) { // The fixing is required
      final ZonedDateTime rezonedFixingDate = getFixingDate().toLocalDate().atStartOfDay(ZoneOffset.UTC);
      final Double fixedRate = indexFixingTimeSeries.getValue(rezonedFixingDate); // TODO: remove time from fixing date.
      if (fixedRate == null) {
        throw new OpenGammaRuntimeException("Could not get fixing value for date " + getFixingDate());
      }
      return new CouponFixed(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), fixedRate);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    return new CouponIbor(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
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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, getPaymentYearFraction(), getNotional(), fixedRate);
      }
    }
    if (dayConversion.isAfter(dayFixing)) { // The fixing is required
      final ZonedDateTime rezonedFixingDate = getFixingDate().toLocalDate().atStartOfDay(ZoneOffset.UTC);
      final Double fixedRate = indexFixingTimeSeries.getValue(rezonedFixingDate); // TODO: remove time from fixing date.
      if (fixedRate == null) {
        throw new OpenGammaRuntimeException("Could not get fixing value for date " + getFixingDate());
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    return new CouponIbor(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
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    // Non-constant fixed rate/strike
    final AnnuityCouponFixed annuity = SWAP_PAYER.getFixedLeg();
    final CouponFixed[] coupon = new CouponFixed[annuity.getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < annuity.getNumberOfPayments(); loopcpn++) {
      // Step-up by 10bps
      coupon[loopcpn] = new CouponFixed(CUR, annuity.getNthPayment(loopcpn).getPaymentTime(), FUNDING_CURVE_NAME, annuity.getNthPayment(loopcpn).getPaymentYearFraction(), NOTIONAL
          * (FIXED_IS_PAYER ? -1 : 1), RATE + loopcpn * 0.001, annuity.getNthPayment(loopcpn).getAccrualStartDate(), annuity.getNthPayment(loopcpn).getAccrualEndDate());
    }
    final AnnuityCouponFixed annuityStepUp = new AnnuityCouponFixed(coupon);
    final SwapFixedCoupon<Coupon> swapStepup = new SwapFixedCoupon<>(annuityStepUp, SWAP_PAYER.getSecondLeg());
    final SwaptionPhysicalFixedIbor swaptionStepUp = SwaptionPhysicalFixedIbor.from(SWAPTION_LONG_PAYER.getTimeToExpiry(), swapStepup, SWAPTION_LONG_PAYER.getSettlementTime(), IS_LONG);
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      cpaAccumulated += getNotional() * (fixing + _spread) * _subperiodAccrualFactors[loopsub]; // Basic Compounding Period Amount
    }
    if (nbFixed == nbSubPeriods) {
      // Implementation note: all dates already fixed: CouponFixed
      final double rate = cpaAccumulated / (getNotional() * getPaymentYearFraction());
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), rate, getAccrualStartDate(), getAccrualEndDate());
    }
    // Implementation note: Copying the remaining periods
    final int nbSubPeriodLeft = nbSubPeriods - nbFixed;
    final double[] paymentAccrualFactorsLeft = new double[nbSubPeriodLeft];
    System.arraycopy(_subperiodAccrualFactors, nbFixed, paymentAccrualFactorsLeft, 0, nbSubPeriodLeft);
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    ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
    ArgumentChecker.isTrue(yieldCurveNames.length > 0, "at least one curve required");
    ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date {} is after payment date {}", date, getPaymentDate()); // Required: reference date <= payment date
    final String fundingCurveName = yieldCurveNames[0];
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    return new CouponFixed(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), getRate(), getAccrualStartDate(), getAccrualEndDate());
  }
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  @Override
  public CouponFixed toDerivative(final ZonedDateTime date) {
    ArgumentChecker.notNull(date, "date");
    ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date {} is after payment date {}", date, getPaymentDate()); // Required: reference date <= payment date
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getRate(), getAccrualStartDate(), getAccrualEndDate());
  }
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        if (fixedRate == null) {
          fixedRate = indexFixingTS.getLatestValue(); //TODO remove me as soon as possible
          //throw new OpenGammaRuntimeException("Could not get fixing value for date " + getFixingDate());
        }
      }
      return new CouponFixed(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
    }
    // Ibor is not fixed yet, all the details are required.
    final double fixingTime = TimeCalculator.getTimeBetween(date, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(date, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(date, getFixingPeriodEndDate());
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        }
        if (fixedRate == null) {
          fixedRate = indexFixingTS.getLatestValue(); //TODO remove me as soon as possible
        }
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
    }
    // Ibor is not fixed yet, all the details are required.
    final double fixingTime = TimeCalculator.getTimeBetween(date, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(date, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(date, getFixingPeriodEndDate());
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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);
      }
    }
    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);
    }
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double settlementTime = TimeCalculator.getTimeBetween(dateTime, _underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate());
    final SwapFixedCoupon<Coupon> swap = _underlyingSwap.toDerivative(dateTime, yieldCurveNames);
    //Implementation remark: SwapFixedIbor can not be used as the first coupon may have fixed already and one CouponIbor is now fixed.
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinitionTest
  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition
  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinitionTest
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearInterpolationDefinition
  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationYearOnYearInterpolationDefinitionTest
  • 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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