Examples of SwapFixedIborDefinition

Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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  @Test
  /**
   * Tests the payer/receiver parity for swaptions present value.
   */
  public void presentValuePayerReceiverParity() {
    final SwapFixedIborDefinition swapDefinitionPay = SwapFixedIborDefinition.from(SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
    final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE);
    final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final MultipleCurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, BLACK_MULTICURVES);
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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    final boolean eom = indexConvention.isIsEOM();
    final Period indexTenor = iborLegConvention.getResetTenor().getPeriod();
    final int spotLagIndex = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, indexConvention.getName());
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", fixedLegConvention.getPaymentTenor().getPeriod(), fixedLegConvention.getDayCount(), iborIndex, calendar);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(deliveryDate, maturityTenor.getPeriod(), generator, notional, 0.0, false); //FIXME: rate of underlying?
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(lastTradeDate, underlying, notional);
    return new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, _valuationTime, price, 1);
  }
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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    if (hasSpread) {
      final double spread = ((FloatingSpreadIRLeg) iborLeg).getSpread();
      return SwapFixedIborSpreadDefinition.from(effectiveDate, maturityDate, tenorFixed, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(), fixedLeg.isEom(), fixedLegNotional,
          fixedLeg.getRate(), tenorIbor, iborLeg.getDayCount(), iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLegNotional, indexIbor, spread, payFixed, calendar);
    }
    final SwapFixedIborDefinition swap = SwapFixedIborDefinition.from(effectiveDate, maturityDate, tenorFixed, fixedLeg.getDayCount(), fixedLeg.getBusinessDayConvention(), fixedLeg.isEom(),
        fixedLegNotional, fixedLeg.getRate(), tenorIbor, iborLeg.getDayCount(), iborLeg.getBusinessDayConvention(), iborLeg.isEom(), iborLegNotional, indexIbor, payFixed, calendar);
    return swap;
  }
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.hashCode() == modifiedSwaption.hashCode());
    modifiedSwaption = SwaptionPhysicalFixedIborDefinition.from(SETTLEMENT_DATE, SWAP, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    final IndexSwap cmsIndex = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition otherSwap = SwapFixedIborDefinition.from(SETTLEMENT_DATE, cmsIndex, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    modifiedSwaption = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, otherSwap, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.equals(EXPIRY_DATE));
    assertFalse(SWAPTION.equals(null));
  }
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.hashCode() == modifiedSwaption.hashCode());
    modifiedSwaption = SwaptionCashFixedIborDefinition.from(SETTLEMENT_DATE, SWAP, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    final IndexSwap cmsIndex = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition otherSwap = SwapFixedIborDefinition.from(SETTLEMENT_DATE, cmsIndex, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    modifiedSwaption = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, otherSwap, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.equals(EXPIRY_DATE));
    assertFalse(SWAPTION.equals(null));
  }
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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    final InstrumentDerivative[] swap = new InstrumentDerivative[nbSwap];

    for (int loops = 0; loops < nbSwap; loops++) {
      final double rate = RATE_FIXED - 0.0050 + loops * BP1;
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, rate, true);
      swap[loops] = swapDefinition.toDerivative(referenceDate);
    }

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      for (int loops = 0; loops < nbSwap; loops++) {
        pv[loops] = swap[loops].accept(pvdCalculator, MULTICURVES);
      }
    }
    endTime = System.currentTimeMillis();
    System.out.println("SwapCalculatorTest: " + nbTest + " x " + nbSwap + " swaps (5Y/Q) - present value " + (endTime - startTime) + " ms");
    // Performance note: Discounting price: 13-Mar-2013: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: xx ms for 100x100 swaps.

    startTime = System.currentTimeMillis(); // Swap construction + PV
    for (int looptest = 0; looptest < nbTest; looptest++) {
      for (int loops = 0; loops < nbSwap; loops++) {
        final double rate = RATE_FIXED - 0.0050 + loops * BP1;
        final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, rate, true);
        swap[loops] = swapDefinition.toDerivative(referenceDate);
      }
      for (int loops = 0; loops < nbSwap; loops++) {
        pv[loops] = swap[loops].accept(pvdCalculator, MULTICURVES);
      }
    }
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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  @Test
  public void parSpreadFixedIborBeforeFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 14);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
    final double parSpread = swap.accept(PSC, CURVES);
    final SwapFixedIborDefinition swap0Definition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, RATE_FIXED + parSpread, true);
    final SwapFixedCoupon<Coupon> swap0 = swap0Definition.toDerivative(referenceDate, CURVE_NAMES);
    final double pv = swap0.accept(PVC, CURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv, 0, TOLERANCE_PV);
  }
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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  @Test
  public void parSpreadFixedIborAfterFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 16);
    final SwapFixedCoupon<Coupon> swap = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final double parSpread = swap.accept(PSC, CURVES);
    final SwapFixedIborDefinition swap0Definition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, RATE_FIXED + parSpread, true);
    final SwapFixedCoupon<Coupon> swap0 = swap0Definition.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final double pv = swap0.accept(PVC, CURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv, 0, TOLERANCE_PV);
  }
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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    final boolean eom = false;
    final Period indexTenor = Period.ofMonths(3);
    final int spotLagIndex = 2;
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, "USD 3m Libor");
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", Period.ofMonths(6), ACT_360, iborIndex, CALENDAR);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(DateUtils.getUTCDate(2013, 6, 19), Period.ofYears(10), generator, 1, rate, false);
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), underlying, 1);
    final SwapFuturesPriceDeliverableTransactionDefinition transaction = new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, NOW, price, 1);
    assertEquals(transaction, definition);
  }
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition

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  @Test
  /**
   * Tests the payer/receiver parity for swaptions present value.
   */
  public void presentValuePayerReceiverParity() {
    final SwapFixedIborDefinition swapDefinitionPay = SwapFixedIborDefinition.from(SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
    final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[2] });
    final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE, new String[] {CURVES_NAME[0], CURVES_NAME[2] });
    final CurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, CURVES_BLACK);
    final CurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, CURVES_BLACK);
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