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

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

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

com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborRatchet
Class describing a Ratchet on Ibor coupon. The coupon payment depends on the previous coupon ($C_{i-1}$), the current Ibor fixing ($L_i$). The pay-off is: $$ \begin{equation*} \alpha^M_i C_{i-1} + \beta^M_i L_i + \gamma^M_i \end{equation*} $$ subject to the floor: $$ \begin{equation*} \alpha^F_i C_{i-1} + \beta^F_i L_i + \gamma^F_i \end{equation*} $$ and the cap: $$ \begin{equation*} \alpha^C_i C_{i-1} + \beta^C_i L_i + \gamma^C_i \end{equation*} $$

      case FORWARD_COUPON:
        final int nbCpn = getNumberOfPayments();
        final double[] cpnRate = new double[nbCpn];
        for (int loopcpn = 0; loopcpn < nbCpn; loopcpn++) {
          if (getNthPayment(loopcpn) instanceof CouponIborRatchet) {
            final CouponIborRatchet cpn = (CouponIborRatchet) getNthPayment(loopcpn);
            final double ibor = prc.visitCouponIborSpread(cpn, curves);
            final double cpnMain = cpn.getMainCoefficients()[0] * cpnRate[loopcpn - 1] + cpn.getMainCoefficients()[1] * ibor + cpn.getMainCoefficients()[2];
            final double cpnFloor = cpn.getFloorCoefficients()[0] * cpnRate[loopcpn - 1] + cpn.getFloorCoefficients()[1] * ibor + cpn.getFloorCoefficients()[2];
            final double cpnCap = cpn.getCapCoefficients()[0] * cpnRate[loopcpn - 1] + cpn.getCapCoefficients()[1] * ibor + cpn.getCapCoefficients()[2];
            cpnRate[loopcpn] = Math.min(Math.max(cpnFloor, cpnMain), cpnCap);
            calibration.add(new CapFloorIbor(cpn.getCurrency(), cpn.getPaymentTime(), cpn.getFundingCurveName(), cpn.getPaymentYearFraction(), cpn.getNotional(), cpn.getFixingTime(), cpn.getIndex(),
                cpn.getFixingPeriodStartTime(), cpn.getFixingPeriodEndTime(), cpn.getFixingAccrualFactor(), cpn.getForwardCurveName(), cpnRate[loopcpn], true));
          } else {
            if (getNthPayment(loopcpn) instanceof CouponFixed) {
              final CouponFixed cpn = (CouponFixed) getNthPayment(loopcpn);
              cpnRate[loopcpn] = cpn.getFixedRate();
            } else {
              final CouponIborGearing cpn = (CouponIborGearing) getNthPayment(loopcpn);
              final double ibor = prc.visitCouponIborGearing(cpn, curves);
              cpnRate[loopcpn] = cpn.getFactor() * ibor + cpn.getSpread();
            }
          }
        }
        break;

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          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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          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;

View Full Code Here

          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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          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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  @Test
  /**
   * Test the toDerivative of Ratchet coupon with no fixing rate available.
   */
  public void toDerivativesNoFixingDeprecated() {
    final CouponIborRatchet cpnConverted = RATCHET_IBOR_DEFINITION.toDerivative(REFERENCE_DATE, CURVES);
    final double paymentTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, PAYMENT_DATE);
    final double fixingTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, RATCHET_IBOR_DEFINITION.getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, RATCHET_IBOR_DEFINITION.getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, RATCHET_IBOR_DEFINITION.getFixingPeriodEndDate());
    final CouponIborRatchet cpnExpected = new CouponIborRatchet(CUR, paymentTime, DISCOUNTING_CURVE_NAME, ACCRUAL_FACTOR, NOTIONAL, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
        RATCHET_IBOR_DEFINITION.getFixingPeriodAccrualFactor(), FORWARD_CURVE_NAME, INDEX_IBOR, MAIN_COEF, FLOOR_COEF, CAP_COEF);
    assertEquals("Ratchet Ibor Coupon: toDerivatives", cpnExpected, cpnConverted);
  }

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  @Test
  /**
   * Test the toDerivative of Ratchet coupon with no fixing rate available.
   */
  public void toDerivativesNoFixing() {
    final CouponIborRatchet cpnConverted = RATCHET_IBOR_DEFINITION.toDerivative(REFERENCE_DATE);
    final double paymentTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, PAYMENT_DATE);
    final double fixingTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, RATCHET_IBOR_DEFINITION.getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, RATCHET_IBOR_DEFINITION.getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, RATCHET_IBOR_DEFINITION.getFixingPeriodEndDate());
    final CouponIborRatchet cpnExpected = new CouponIborRatchet(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
        RATCHET_IBOR_DEFINITION.getFixingPeriodAccrualFactor(), INDEX_IBOR, MAIN_COEF, FLOOR_COEF, CAP_COEF);
    assertEquals("Ratchet Ibor Coupon: toDerivatives", cpnExpected, cpnConverted);
  }

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    final String forwardCurveName = yieldCurveNames[1];
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    final double fixingTime = TimeCalculator.getTimeBetween(date, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(date, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(date, getFixingPeriodEndDate());
    return new CouponIborRatchet(getCurrency(), paymentTime, discountingCurveName, getPaymentYearFraction(), getNotional(), fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
        getFixingPeriodAccrualFactor(), forwardCurveName, getIndex(), _mainCoefficients, _floorCoefficients, _capCoefficients);
  }

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    ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    final double fixingTime = TimeCalculator.getTimeBetween(date, getFixingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(date, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(date, getFixingPeriodEndDate());
    return new CouponIborRatchet(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, fixingPeriodStartTime, fixingPeriodEndTime,
        getFixingPeriodAccrualFactor(), getIndex(), _mainCoefficients, _floorCoefficients, _capCoefficients);
  }

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    final List<DoublesPair> pvcsADDscMC = pvcsMC.getSensitivities().get(CURVES_NAMES[0]);
    assertSensitivityEquals(pvcsFDDscMC, pvcsADDscMC, deltaTolerancePrice);
    // Fwd curve
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 1; loopcpn < ANNUITY_RATCHET_FIXED.getNumberOfPayments(); loopcpn++) {
      final CouponIborRatchet cpn = (CouponIborRatchet) ANNUITY_RATCHET_FIXED.getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] timesFwd = forwardTime.toDoubleArray();
    final List<DoublesPair> pvcsFDFwdMC = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(ANNUITY_RATCHET_FIXED, calculator, BUNDLE_HW, CURVES_NAMES[1], timesFwd, 1.0E-2);
    final List<DoublesPair> pvcsADFwdMC = pvcsMC.getSensitivities().get(CURVES_NAMES[1]);
    assertSensitivityEquals(pvcsFDFwdMC, pvcsADFwdMC, deltaTolerancePrice);

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