Examples of PaymentFixed

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

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    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final PaymentFixedDefinition nominalLast = getNominal().getNthPayment(getNominal().getNumberOfPayments() - 1);
    final ZonedDateTime settlementDate2 = settlementDate.isBefore(date) ? date : settlementDate;
    final double notional = settlementDate.isBefore(date) ? 0.0 : 1.0;
    final PaymentFixedDefinition settlementDefinition = new PaymentFixedDefinition(nominalLast.getCurrency(), settlementDate2, notional);
    final PaymentFixed settlement = settlementDefinition.toDerivative(date);
    return new BondInterestIndexedSecurity<>(nominalStandard, couponStandard, settlementTime, accruedInterest, factorToNextCoupon, _yieldConvention, _couponPerYear, settlement, getIssuer(),
        _priceIndex);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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  public double calculatePriceForYield(final Annuity<? extends PaymentFixed> annuity, final double yield) {
    Validate.notNull(annuity, "annuity");
    double sum = 0;

    final int n = annuity.getNumberOfPayments();
    PaymentFixed temp;
    for (int i = 0; i < n; i++) {
      temp = annuity.getNthPayment(i);
      sum += temp.getAmount() * Math.exp(-yield * temp.getPaymentTime());
    }
    return sum;
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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    double sum = 0;

    double t;
    double tPower;
    final int n = annuity.getNumberOfPayments();
    PaymentFixed temp;
    for (int i = 0; i < n; i++) {
      temp = annuity.getNthPayment(i);
      t = temp.getPaymentTime();
      tPower = Math.pow(t, order);
      sum += temp.getAmount() * tPower * Math.exp(-yield * t);
    }
    return sum;
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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    final double fixingStartTime = payment.getFixingPeriodStartTime();
    final double fixingEndTime = payment.getFixingPeriodEndTime();
    final double paymentTime = payment.getPaymentTime();
    final double beta = forwardCurve.getDiscountFactor(fixingStartTime) / forwardCurve.getDiscountFactor(fixingEndTime) * discountingCurve.getDiscountFactor(paymentTime)
        / discountingCurve.getDiscountFactor(fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor(),
        payment.getFundingCurveName());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, -payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor(),
        payment.getFundingCurveName());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd });
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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  public double presentValue(final BondFixedTransaction bond, final YieldCurveBundle curves) {
    final double pvNominal = bond.getBondTransaction().getNominal().accept(PVC, curves);
    final double pvCoupon = bond.getBondTransaction().getCoupon().accept(PVC, curves);
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount, bond.getBondTransaction()
        .getRepoCurveName());
    final double pvSettlement = settlement.accept(PVC, curves);
    return (pvNominal + pvCoupon) * bond.getQuantity() + pvSettlement;
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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    final double fixingStartTime = payment.getFixingPeriodStartTime();
    final double fixingEndTime = payment.getFixingPeriodEndTime();
    final double paymentTime = payment.getPaymentTime();
    final double beta = forwardCurve.getDiscountFactor(fixingStartTime) / forwardCurve.getDiscountFactor(fixingEndTime) * discountingCurve.getDiscountFactor(paymentTime)
        / discountingCurve.getDiscountFactor(fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor(),
        payment.getFundingCurveName());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getNotional() + payment.getSpreadAmount()) * payment.getPaymentYearFraction()
        / payment.getFixingAccrualFactor(), payment.getFundingCurveName());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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  public double presentValue(final BondIborTransaction bond, final YieldCurveBundle curves) {
    final double pvNominal = bond.getBondTransaction().getNominal().accept(PVC, curves);
    final double pvCoupon = bond.getBondTransaction().getCoupon().accept(PVC, curves);
    final double settlementAmount = bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional(); //FIXME: add accrued.
    LOGGER.error("The FRN settlement amount does not include the accrued interests.");
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount, bond.getBondTransaction()
        .getRepoCurveName());
    final double pvSettlement = settlement.accept(PVC, curves);
    return (pvNominal + pvCoupon) * bond.getQuantity() + pvSettlement;
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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    final double fixingStartTime = payment.getFixingPeriodStartTime();
    final double fixingEndTime = payment.getFixingPeriodEndTime();
    final double paymentTime = payment.getPaymentTime();
    final double beta = forwardCurve.getDiscountFactor(fixingStartTime) / forwardCurve.getDiscountFactor(fixingEndTime) * discountingCurve.getDiscountFactor(paymentTime)
        / discountingCurve.getDiscountFactor(fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, payment.getFactor() * beta * payment.getNotional() * payment.getPaymentYearFraction()
        / payment.getFixingAccrualFactor(), payment.getFundingCurveName());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getFactor() / payment.getFixingAccrualFactor() + payment.getSpread()) *
        payment.getPaymentYearFraction()
        * payment.getNotional(), payment.getFundingCurveName());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd });
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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  public InterestRateCurveSensitivity presentValueSensitivity(final BondFixedTransaction bond, final YieldCurveBundle curves) {
    final InterestRateCurveSensitivity pvsNominal = new InterestRateCurveSensitivity(bond.getBondTransaction().getNominal().accept(PVSC, curves));
    final InterestRateCurveSensitivity pvsCoupon = new InterestRateCurveSensitivity(bond.getBondTransaction().getCoupon().accept(PVSC, curves));
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount, bond.getBondTransaction()
        .getRepoCurveName());
    final InterestRateCurveSensitivity pvsSettlement = new InterestRateCurveSensitivity(settlement.accept(PVSC, curves));
    return pvsNominal.plus(pvsCoupon).multipliedBy(bond.getQuantity()).plus(pvsSettlement);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed

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      }
    }
    final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
    int loopcf = 0;
    for (final double time : flow.keySet()) {
      agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time), annuity.getDiscountCurve());
    }
    return new AnnuityPaymentFixed(agregatedCfe);
  }
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