Examples of DepositZero

com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero
Class describing a deposit where the rate is expressed in a specific composition convention. Used mainly for curve construction with rates directly provided (not calibrated).

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests the par rate when the valuation date is on trade date.
   */
  public void parRateSettle() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final double prMethod = METHOD_DEPOSIT.parRate(deposit, CURVES);
    final double dfEnd = CURVES.getCurve(CURVES_NAME[0]).getDiscountFactor(deposit.getEndTime());
    final double dfStart = 1.0;
    final double rcc = Math.log(dfStart / dfEnd) / deposit.getPaymentAccrualFactor();
    final double prExpected = deposit.getRate().fromContinuous(new ContinuousInterestRate(rcc)).getRate();
    assertEquals("DepositZero: par rate", prExpected, prMethod, TOLERANCE_RATE);
    final double prCalculator = deposit.accept(PRC, CURVES);
    assertEquals("DepositZero: par rate", prMethod, prCalculator, TOLERANCE_RATE);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests the par rate curve sensitivity when the valuation date is on trade date.
   */
  public void parRateCurveSensitivityTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final InterestRateCurveSensitivity prcsMethod = METHOD_DEPOSIT.parRateCurveSensitivity(deposit, CURVES);
    final List<DoublesPair> sensiPvDisc = prcsMethod.getSensitivities().get(CURVES_NAME[0]);
    final double pr = METHOD_DEPOSIT.parRate(deposit, CURVES);
    final YieldAndDiscountCurve curveToBump = CURVES.getCurve(CURVES_NAME[0]);
    final double deltaShift = 0.0001;
    final int nbNode = 2;
    final double[] result = new double[nbNode];
    final double[] nodeTimesExtended = new double[nbNode + 1];
    nodeTimesExtended[1] = deposit.getStartTime();
    nodeTimesExtended[2] = deposit.getEndTime();
    final double[] yields = new double[nbNode + 1];
    yields[0] = curveToBump.getInterestRate(0.0);
    yields[1] = curveToBump.getInterestRate(nodeTimesExtended[1]);
    yields[2] = curveToBump.getInterestRate(nodeTimesExtended[2]);
    final YieldAndDiscountCurve curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesExtended, yields, new LinearInterpolator1D()));
    for (int loopnode = 0; loopnode < nbNode; loopnode++) {
      final YieldAndDiscountCurve curveBumped = curveNode.withSingleShift(nodeTimesExtended[loopnode + 1], deltaShift);
      CURVES.replaceCurve(CURVES_NAME[0], curveBumped);
      final double prBumped = METHOD_DEPOSIT.parRate(deposit, CURVES);
      result[loopnode] = (prBumped - pr) / deltaShift;
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity coupon pv to forward curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity finite difference method: node sensitivity", pairPv.second, result[loopnode], TOLERANCE_PRICE);
    }
    CURVES.replaceCurve(CURVES_NAME[0], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = new InterestRateCurveSensitivity(deposit.accept(PRCSC, CURVES));
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("DepositZero: par rate curve sensitivity", prcsMethod, prcsCalculator, TOLERANCE_RATE);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests the par rate curve sensitivity when the valuation date is on trade date.
   */
  public void parRateCurveSensitivitySettle() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final InterestRateCurveSensitivity prcsMethod = METHOD_DEPOSIT.parRateCurveSensitivity(deposit, CURVES);
    final List<DoublesPair> sensiPvDisc = prcsMethod.getSensitivities().get(CURVES_NAME[0]);
    final double pr = METHOD_DEPOSIT.parRate(deposit, CURVES);
    final YieldAndDiscountCurve curveToBump = CURVES.getCurve(CURVES_NAME[0]);
    final double deltaShift = 0.0001;
    final int nbNode = 2;
    final double[] result = new double[nbNode];
    final double[] nodeTimesExtended = new double[nbNode];
    nodeTimesExtended[0] = deposit.getStartTime();
    nodeTimesExtended[1] = deposit.getEndTime();
    final double[] yields = new double[nbNode];
    yields[0] = curveToBump.getInterestRate(nodeTimesExtended[0]);
    yields[1] = curveToBump.getInterestRate(nodeTimesExtended[1]);
    final YieldAndDiscountCurve curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesExtended, yields, new LinearInterpolator1D()));
    for (int loopnode = 0; loopnode < nbNode; loopnode++) {
      final YieldAndDiscountCurve curveBumped = curveNode.withSingleShift(nodeTimesExtended[loopnode], deltaShift);
      CURVES.replaceCurve(CURVES_NAME[0], curveBumped);
      final double prBumped = METHOD_DEPOSIT.parRate(deposit, CURVES);
      result[loopnode] = (prBumped - pr) / deltaShift;
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity coupon pv to forward curve: Node " + loopnode, nodeTimesExtended[loopnode], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity finite difference method: node sensitivity", pairPv.second, result[loopnode], TOLERANCE_PRICE);
    }
    CURVES.replaceCurve(CURVES_NAME[0], curveToBump);
    final InterestRateCurveSensitivity prcsCalculator = new InterestRateCurveSensitivity(deposit.accept(PRCSC, CURVES));
    AssertSensivityObjects.assertEquals("DepositZero: par rate curve sensitivity", prcsMethod, prcsCalculator, TOLERANCE_RATE);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests the par spread when the valuation date is on trade date.
   */
  public void parSpreadTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final double psMethod = METHOD_DEPOSIT.parSpread(deposit, CURVES);
    final DepositZeroDefinition deposit0Definition = new DepositZeroDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, DEPOSIT_AF, new PeriodicInterestRate(RATE_FIGURE + psMethod, 1));
    final DepositZero deposit0 = deposit0Definition.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, CURVES);
    assertEquals("DepositZero: par spread", 0, pv0.getAmount(), TOLERANCE_PRICE);
    final double psCalculator = deposit.accept(PSC, CURVES);
    assertEquals("DepositZero: par rate", psMethod, psCalculator, TOLERANCE_RATE);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests parSpread curve sensitivity.
   */
  public void parSpreadCurveSensitivity() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final DepositZero deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final InterestRateCurveSensitivity pscsMethod = METHOD_DEPOSIT.parSpreadCurveSensitivity(deposit, CURVES);
    final List<DoublesPair> sensiPvDisc = pscsMethod.getSensitivities().get(CURVES_NAME[0]);
    final double ps = METHOD_DEPOSIT.parSpread(deposit, CURVES);
    final YieldAndDiscountCurve curveToBump = CURVES.getCurve(CURVES_NAME[0]);
    final double deltaShift = 0.0001;
    final int nbNode = 2;
    final double[] result = new double[nbNode];
    final double[] nodeTimesExtended = new double[nbNode + 1];
    nodeTimesExtended[1] = deposit.getStartTime();
    nodeTimesExtended[2] = deposit.getEndTime();
    final double[] yields = new double[nbNode + 1];
    yields[0] = curveToBump.getInterestRate(0.0);
    yields[1] = curveToBump.getInterestRate(nodeTimesExtended[1]);
    yields[2] = curveToBump.getInterestRate(nodeTimesExtended[2]);
    final YieldAndDiscountCurve curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesExtended, yields, new LinearInterpolator1D()));
    for (int loopnode = 0; loopnode < nbNode; loopnode++) {
      final YieldAndDiscountCurve curveBumped = curveNode.withSingleShift(nodeTimesExtended[loopnode + 1], deltaShift);
      CURVES.replaceCurve(CURVES_NAME[0], curveBumped);
      final double psBumped = METHOD_DEPOSIT.parSpread(deposit, CURVES);
      result[loopnode] = (psBumped - ps) / deltaShift;
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity par spread to curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity par spread to curve: Node", pairPv.second, result[loopnode], TOLERANCE_PRICE);
    }
    CURVES.replaceCurve(CURVES_NAME[0], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = deposit.accept(PSCSC, CURVES);
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("DepositZero: par rate curve sensitivity", pscsMethod, prcsCalculator, TOLERANCE_SPREAD_DELTA);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests toDerivative.
   */
  public void toDerivativeTradeDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
    final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount(), CURVE_NAME);
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests toDerivative.
   */
  public void toDerivativeBetweenTradeAndSettleDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
    final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount(), CURVE_NAME);
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests toDerivative.
   */
  public void toDerivativeSettleDeprecated() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
    final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount(), CURVE_NAME);
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests toDerivative.
   */
  public void toDerivativeBetweenSettleMaturityDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
    final double startTime = 0;
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, 0.0, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount(), CURVE_NAME);
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests toDerivative.
   */
  public void toDerivativeMaturityDeprecated() {
    final ZonedDateTime referenceDate = END_DATE;
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
    final double startTime = 0;
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, 0.0, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount(), CURVE_NAME);
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }

View Full Code Here

0 1 2

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.