Examples of SwapFixedIborDefinition

com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition
Class describing a fixed for ibor-like payments swap. Both legs are in the same currency.

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

  public static SwapFuturesPriceDeliverableSecurityDefinition from(final ZonedDateTime effectiveDate, final GeneratorSwapFixedIbor generator, final Period tenor,
      final double notional, final double rate) {
    ArgumentChecker.notNull(effectiveDate, "Effective date");
    ArgumentChecker.notNull(generator, "Generator");
    final ZonedDateTime lastTradingDate = ScheduleCalculator.getAdjustedDate(effectiveDate, -generator.getSpotLag(), generator.getCalendar());
    final SwapFixedIborDefinition swap = SwapFixedIborDefinition.from(effectiveDate, tenor, generator, 1.0, rate, false);
    return new SwapFuturesPriceDeliverableSecurityDefinition(lastTradingDate, swap, notional);
  }

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

   */
  @Test
  public void testPresentValueConventionArbitrage() {
    final double rate360 = 0.0360;
    final IndexSwap index360 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/360"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap360 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index360, NOTIONAL, rate360, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption360Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap360, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption360 = swaption360Definition.toDerivative(REFERENCE_DATE);
    final double rate365 = 0.0365;
    final IndexSwap index365 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/365"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap365 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index365, NOTIONAL, rate365, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption365Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap365, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption365 = swaption365Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount price360 = METHOD_SWPT_SABR.presentValue(swaption360, SABR_MULTICURVES);
    final MultipleCurrencyAmount price365 = METHOD_SWPT_SABR.presentValue(swaption365, SABR_MULTICURVES);
    assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValue", price360.getAmount(EUR), price365.getAmount(EUR), TOLERANCE_PV);

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

  /**
   * Tests long/short parity.
   */
  public void scaling() {
    final double scale = 12.3;
    final SwapFixedIborDefinition scaledSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, scale * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition scaledSwaptionDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, scaledSwapDefinition, IS_LONG);
    final SwaptionCashFixedIbor scaledSwaption = scaledSwaptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvOriginal = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, HW_MULTICURVES);
    final MultipleCurrencyAmount pvScaled = METHOD_HW_INTEGRATION.presentValue(scaledSwaption, HW_MULTICURVES);
    assertEquals("Swaption cash - Hull-White - present value - scaling", scale * pvOriginal.getAmount(EUR), pvScaled.getAmount(EUR), TOLERANCE_PV);

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

    final double[] pvPayerApproximation = new double[strikeRel.length];
    final double[] pvPayerIntegration = new double[strikeRel.length];
    final double[] pvReceiverApproximation = new double[strikeRel.length];
    final double[] pvReceiverIntegration = new double[strikeRel.length];
    for (int loopstrike = 0; loopstrike < strikeRel.length; loopstrike++) {
      final SwapFixedIborDefinition swapStrikePayerDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikePayerDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikePayerDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikePayer = swaptionStrikePayerDefinition.toDerivative(REFERENCE_DATE);
      pvPayerApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      pvPayerIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvPayerApproximation[loopstrike], pvPayerIntegration[loopstrike], errorLimit);
      final SwapFixedIborDefinition swapStrikeReceiverDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], !FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikeReceiverDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikeReceiverDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikeReceiver = swaptionStrikeReceiverDefinition.toDerivative(REFERENCE_DATE);
      pvReceiverApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikeReceiver, HW_MULTICURVES).getAmount(EUR);
      pvReceiverIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikeReceiver, HW_MULTICURVES).getAmount(EUR);
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvReceiverApproximation[loopstrike], pvReceiverIntegration[loopstrike], errorLimit);

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

   * Calibrate and price an amortized swaption.
   */
  public void calibrateAtBestPriceAmortized() {
    final double[] amortization = new double[] {1.00, 0.80, 0.60, 0.40, 0.20 }; // For 5Y amortization
    final int nbPeriods = amortization.length;
    final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, Period.ofYears(nbPeriods), EUR1YEURIBOR6M, NOTIONAL, RATE, FIXED_IS_PAYER);
    //    SwapFixedCoupon<Coupon> swap = swapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CouponFixedDefinition[] cpnFixed = new CouponFixedDefinition[nbPeriods];
    final AnnuityCouponFixedDefinition legFixed = swapDefinition.getFixedLeg();
    final CouponIborDefinition[] cpnIbor = new CouponIborDefinition[2 * nbPeriods];
    final AnnuityDefinition<? extends PaymentDefinition> legIbor = swapDefinition.getSecondLeg();
    for (int loopexp = 0; loopexp < nbPeriods; loopexp++) {
      cpnFixed[loopexp] = legFixed.getNthPayment(loopexp).withNotional(legFixed.getNthPayment(loopexp).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp))
          .withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp)).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp + 1] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).getNotional()
          * amortization[loopexp]);
    }
    final SwapFixedIborDefinition swapAmortizedDefinition = new SwapFixedIborDefinition(new AnnuityCouponFixedDefinition(cpnFixed, TARGET), new AnnuityCouponIborDefinition(cpnIbor, EURIBOR6M, TARGET));
    final SwaptionPhysicalFixedIborDefinition swaptionAmortizedDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapAmortizedDefinition, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionAmortized = swaptionAmortizedDefinition.toDerivative(REFERENCE_DATE);


    // SABR parameters sensitivity (parallel shift check). The sensitivities are not exact; in the approximation a small "second order" term is ignored
    final PresentValueSABRSensitivityDataBundle pvss = METHOD_SABR_LMM_ATBEST.presentValueSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);

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

   * Tests present value at the limit of extrapolation. Tests long/short parity.
   */
  @Test
  public void presentValueLimit() {
    final double highStrike = 0.0801;
    final SwapFixedIborDefinition swapPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, EUR1YEURIBOR6M, NOTIONAL, highStrike, FIXED_IS_PAYER);
    final SwapFixedIborDefinition swapReceiverHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, EUR1YEURIBOR6M, NOTIONAL, highStrike, !FIXED_IS_PAYER);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapPayerHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapPayerHighStrike, !IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongReceiverHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapReceiverHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE);
    final SwaptionPhysicalFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE);

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

    for (int loopexp = 0; loopexp < nbExpiry; loopexp++) {
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expiry[loopexp], generator.getIborIndex(), CALENDAR);
      settleDate[loopexp] = ScheduleCalculator.getAdjustedDate(expiryDate[loopexp], generator.getSpotLag(), CALENDAR);
      for (int loopten = 0; loopten < nbTenor; loopten++) {
        for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
          final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(settleDate[loopexp], tenor[loopten], generator, 10000.0, fixedRate[loopstrike], true);
          final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(expiryDate[loopexp], swapDefinition, true);
          swaption[loopexp][loopten][loopstrike] = swaptionDefinition.toDerivative(REFERENCE_DATE);
        }
      }
    }

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

      throw new OpenGammaRuntimeException("Underlying swap of a swaption must be a fixed / ibor swap");
    }
    if (!(underlyingSwap instanceof SwapFixedIborDefinition)) {
      throw new OpenGammaRuntimeException("Underlying swap of a swaption must be a fixed / ibor swap");
    }
    final SwapFixedIborDefinition fixedIbor = (SwapFixedIborDefinition) swapDefinition;
    return isCashSettled ? SwaptionCashFixedIborDefinition.from(expiry, fixedIbor, isLong)
        : SwaptionPhysicalFixedIborDefinition.from(expiry, fixedIbor, isLong);
  }

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

    final SwapFixedCoupon<Coupon> swap = SWAP_PAYER_DEFINITION.toDerivative(REFERENCE_DATE);
    final double forward = swap.accept(PRDC, MULTICURVES);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, MULTICURVES);
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strike[loopstrike] = forward - strikeRange + 3 * strikeRange * loopstrike / nbStrike; // From forward-strikeRange to forward+2*strikeRange
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, strike[loopstrike], FIXED_IS_PAYER);
      final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinition, IS_LONG);
      final SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE);
      pvExplicit[loopstrike] = METHOD_HW.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
      pvApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
      final NormalFunctionData data = new NormalFunctionData(forward, pvbp, 0.01);

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

    // 1Mx5Y
    final Period expirationPeriod = Period.ofDays(1); // Period.ofDays(1); Period.ofDays(7); Period.ofMonths(1); Period.ofYears(1); Period.ofYears(10);
    final ZonedDateTime expiryDateExp = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expirationPeriod, EURIBOR6M, CALENDAR);
    final ZonedDateTime settlementDateExp = ScheduleCalculator.getAdjustedDate(expiryDateExp, SPOT_LAG, CALENDAR);
    final double ATM = 0.0151; //  1W: 1.52% - 1M: 1.52% - 1Y: 1.51% - 10Y: 1.51%
    final SwapFixedIborDefinition swapExpx5YDefinition = SwapFixedIborDefinition.from(settlementDateExp, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, ATM, !FIXED_IS_PAYER);
    final SwaptionPhysicalFixedIborDefinition swaptionExpx5YDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapExpx5YDefinition, !IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionExpx5Y = swaptionExpx5YDefinition.toDerivative(REFERENCE_DATE);
    //    final double forward = swaptionExpx5Y.getUnderlyingSwap().accept(PRDC, MULTICURVES);
    final MultipleCurrencyParameterSensitivity pvpsExactExp = PS_HW_C.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames());
    final double derivativeExactExp = pvpsExactExp.totalSensitivity(MULTICURVES.getFxRates(), EUR);

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