Examples of ForwardRateAgreement

com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement
Class describing a Forward Rate Agreement (FRA).
org.jquantlib.instruments.ForwardRateAgreement
Forward rate agreement (FRA) class
1. Unlike the forward contract conventions on carryable financial assets (stocks, bonds, commodities), the valueDate for a FRA is taken to be the day when the forward loan or deposit begins and when full settlement takes place (based on the NPV of the contract on that date). maturityDate is the date when the forward loan or deposit ends. In fact, the FRA settles and expires on the valueDate, not on the (later) maturityDate. It follows that (maturityDate - valueDate) is the tenor/term of the underlying loan or deposit
2. Choose position type = Long for an "FRA purchase" (future long loan, short deposit [borrower])
3. Choose position type = Short for an "FRA sale" (future short loan, long deposit [lender])
4. If strike is given in the constructor, can calculate the NPV of the contract via NPV().
5. If forward rate is desired/unknown, it can be obtained via forwardRate(). In this case, the strike variable in the constructor is irrelevant and will be ignored. @todo Add preconditions and tests @todo Should put an instance of ForwardRateAgreement in theFraRateHelper to ensure consistency with the piecewise yield curve. @todo Differentiate between BBA (British)/AFB (French)[assumed here] and ABA (Australian) banker conventions in the calculations. @warning This class still needs to be rigorously tested @category instruments @author John Martin

Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement

    final double paymentTime = actAct.getDayCountFraction(zonedDate, getPaymentDate(), _calendar);
    // Ibor is not fixed yet, all the details are required.
    final double fixingTime = actAct.getDayCountFraction(zonedDate, getFixingDate(), _calendar);
    final double fixingPeriodStartTime = actAct.getDayCountFraction(zonedDate, getFixingPeriodStartDate(), _calendar);
    final double fixingPeriodEndTime = actAct.getDayCountFraction(zonedDate, getFixingPeriodEndDate(), _calendar);
    return new ForwardRateAgreement(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), _index, fixingTime, fixingPeriodStartTime,
        fixingPeriodEndTime, getFixingPeriodAccrualFactor(), _rate, forwardCurveName);
  }

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Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement


    // Ibor is not fixed yet, all the details are required.
    final double fixingTime = actAct.getDayCountFraction(zonedDate, getFixingDate(), _calendar);
    final double fixingPeriodStartTime = actAct.getDayCountFraction(zonedDate, getFixingPeriodStartDate(), _calendar);
    final double fixingPeriodEndTime = actAct.getDayCountFraction(zonedDate, getFixingPeriodEndDate(), _calendar);
    return new ForwardRateAgreement(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), _index, fixingTime, fixingPeriodStartTime,
        fixingPeriodEndTime, getFixingPeriodAccrualFactor(), _rate, forwardCurveName);
  }

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Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement

    final double paymentTime = actAct.getDayCountFraction(zonedDate, getPaymentDate(), _calendar);
    // Ibor is not fixed yet, all the details are required.
    final double fixingTime = actAct.getDayCountFraction(zonedDate, getFixingDate(), _calendar);
    final double fixingPeriodStartTime = actAct.getDayCountFraction(zonedDate, getFixingPeriodStartDate(), _calendar);
    final double fixingPeriodEndTime = actAct.getDayCountFraction(zonedDate, getFixingPeriodEndDate(), _calendar);
    return new ForwardRateAgreement(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingTime, fixingPeriodStartTime,
        fixingPeriodEndTime, getFixingPeriodAccrualFactor(), _rate);
  }

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Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement


    // Ibor is not fixed yet, all the details are required.
    final double fixingTime = actAct.getDayCountFraction(zonedDate, getFixingDate(), _calendar);
    final double fixingPeriodStartTime = actAct.getDayCountFraction(zonedDate, getFixingPeriodStartDate(), _calendar);
    final double fixingPeriodEndTime = actAct.getDayCountFraction(zonedDate, getFixingPeriodEndDate(), _calendar);
    return new ForwardRateAgreement(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingTime, fixingPeriodStartTime,
        fixingPeriodEndTime, getFixingPeriodAccrualFactor(), _rate);
  }

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Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement

        payment.getAccrualStartDate(), payment.getAccrualEndDate());
  }


  @Override
  public ForwardRateAgreement visitForwardRateAgreement(final ForwardRateAgreement fra, final Double rate) {
    return new ForwardRateAgreement(fra.getCurrency(), fra.getPaymentTime(), fra.getFundingCurveName(), fra.getPaymentYearFraction(), fra.getNotional(), fra.getIndex(), fra.getFixingTime(),
        fra.getFixingPeriodStartTime(), fra.getFixingPeriodEndTime(), fra.getFixingYearFraction(), rate, fra.getForwardCurveName());
  }

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Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement

        payment.getAccrualStartDate(), payment.getAccrualEndDate());
  }


  @Override
  public ForwardRateAgreement visitForwardRateAgreement(final ForwardRateAgreement fra, final Double rate) {
    return new ForwardRateAgreement(fra.getCurrency(), fra.getPaymentTime(), fra.getPaymentYearFraction(), fra.getNotional(), fra.getIndex(), fra.getFixingTime(),
        fra.getFixingPeriodStartTime(), fra.getFixingPeriodEndTime(), fra.getFixingYearFraction(), rate);
  }

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Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement

  @Test
  public void presentValueBuySellParity() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final ForwardRateAgreementDefinition fraDefinitionSell = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, -NOTIONAL,
        FIXING_DATE, INDEX, FRA_RATE, CALENDAR);
    final ForwardRateAgreement fraSell = (ForwardRateAgreement) fraDefinitionSell.toDerivative(REFERENCE_DATE, CURVE_NAME_1);
    final CurrencyAmount pvBuy = FRA_METHOD.presentValue(FRA, curves);
    final CurrencyAmount pvSell = FRA_METHOD.presentValue(fraSell, curves);
    assertEquals("FRA discounting: present value - buy/sell parity", pvSell.getAmount(), -pvBuy.getAmount(), 1.0E-2);
  }

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Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement

    final double forward = FRA_METHOD.parRate(FRA, curves);
    final double pv = FRA_METHOD.presentValue(FRA, curves).getAmount();
    // 1. Forward curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final String[] bumpedCurvesForwardName = {CURVE_NAME_1[0], bumpedCurveName };
    final ForwardRateAgreement fraBumpedForward = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesForwardName);
    final YieldAndDiscountCurve curveForward = curves.getCurve(CURVE_NAME_1[1]);
    final double[] timeForward = new double[2];
    timeForward[0] = FRA.getFixingPeriodStartTime();
    timeForward[1] = FRA.getFixingPeriodEndTime();
    final int nbForwardDate = timeForward.length;
    final double[] yieldsForward = new double[nbForwardDate + 1];
    final double[] nodeTimesForward = new double[nbForwardDate + 1];
    yieldsForward[0] = curveForward.getInterestRate(0.0);
    for (int i = 0; i < nbForwardDate; i++) {
      nodeTimesForward[i + 1] = timeForward[i];
      yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final List<DoublesPair> sensiForwardForward = prsFra.getSensitivities().get(CURVE_NAME_1[1]);
    final List<DoublesPair> sensiPvForward = pvsFra.getSensitivities().get(CURVE_NAME_1[1]);
    final double[] sensiForwardForwardFD = new double[nbForwardDate];
    final double[] sensiPvForwardFD = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final double bumpedForward = FRA_METHOD.parRate(fraBumpedForward, curvesBumpedForward);
      final double bumpedPv = FRA_METHOD.presentValue(fraBumpedForward, curvesBumpedForward).getAmount();
      sensiForwardForwardFD[i] = (bumpedForward - forward) / deltaShift;
      sensiPvForwardFD[i] = (bumpedPv - pv) / deltaShift;
      final DoublesPair pairForward = sensiForwardForward.get(i);
      final DoublesPair pairPv = sensiPvForward.get(i);
      assertEquals("Sensitivity forward to forward curve: Node " + i, nodeTimesForward[i + 1], pairForward.getFirst(), 1E-8);
      assertEquals("Sensitivity forward to forward curve: Node " + i, sensiForwardForwardFD[i], pairForward.getSecond(), deltaToleranceRate);
      assertEquals("Sensitivity pv to forward curve: Node " + i, nodeTimesForward[i + 1], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity pv to forward curve: Node " + i, sensiPvForwardFD[i], pairPv.getSecond(), deltaTolerancePrice);
    }
    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, CURVE_NAME_1[1] };
    final ForwardRateAgreement fraBumped = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final YieldAndDiscountCurve curveFunding = curves.getCurve(CURVE_NAME_1[0]);
    final double[] yieldsFunding = new double[2];
    final double[] nodeTimesFunding = new double[2];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    nodeTimesFunding[1] = FRA.getPaymentTime();

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Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement

    final double deltaShift = 1.0E-8;
    final double pv = FRA_METHOD.presentValue(FRA, curves).getAmount();
    // 1. Forward curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final String[] bumpedCurvesForwardName = {CURVE_NAME_1[0], bumpedCurveName };
    final ForwardRateAgreement fraBumpedForward = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesForwardName);
    final YieldAndDiscountCurve curveForward = curves.getCurve(CURVE_NAME_1[1]);
    final double[] timeForward = new double[2];
    timeForward[0] = FRA.getFixingPeriodStartTime();
    timeForward[1] = FRA.getFixingPeriodEndTime();
    final int nbForwardDate = timeForward.length;
    final double[] yieldsForward = new double[nbForwardDate + 1];
    final double[] nodeTimesForward = new double[nbForwardDate + 1];
    yieldsForward[0] = curveForward.getInterestRate(0.0);
    for (int i = 0; i < nbForwardDate; i++) {
      nodeTimesForward[i + 1] = timeForward[i];
      yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final double[] sensiPvForwardFD = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final double bumpedPv = FRA_METHOD.presentValue(fraBumpedForward, curvesBumpedForward).getAmount();
      sensiPvForwardFD[i] = (bumpedPv - pv) / deltaShift;
    }


    final double[] nodeTimesForwardMethod = new double[] {FRA.getFixingPeriodStartTime(), FRA.getFixingPeriodEndTime() };
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(fraBumpedForward, curves, pv, CURVE_NAME_1[1], bumpedCurveName, nodeTimesForwardMethod, deltaShift, FRA_METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      assertEquals("Sensitivity finite difference method: node sensitivity", sensiPvForwardFD[loopnode], sensiForwardMethod[loopnode]);
    }


    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, CURVE_NAME_1[1] };
    final ForwardRateAgreement fraBumped = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final YieldAndDiscountCurve curveFunding = curves.getCurve(CURVE_NAME_1[0]);
    final double[] yieldsFunding = new double[2];
    final double[] nodeTimesFunding = new double[2];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    nodeTimesFunding[1] = FRA.getPaymentTime();

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Examples of com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement

    assertEquals("FRA discounting: present value calculator vs method", pvcsCalculator, pvcsMethod.getSensitivities());
  }


  @Test
  public void parSpread() {
    final ForwardRateAgreement fra2 = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, CURVE_NAME_2);
    final double parSpread = FRA_METHOD.parSpread(fra2, CURVES_2);
    final ForwardRateAgreementDefinition fra0Definition = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE,
        INDEX, FRA_RATE + parSpread, CALENDAR);
    final ForwardRateAgreement fra0 = (ForwardRateAgreement) fra0Definition.toDerivative(REFERENCE_DATE, CURVE_NAME_2);
    final double pv0 = fra0.accept(PVC, CURVES_2);
    assertEquals("FRA discounting: par spread", pv0, 0, TOLERANCE_PV);
  }

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