Package com.opengamma.analytics.financial.interestrate.annuity.derivative

Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed.accept()

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  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_DE_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = BOND_DE_SECURITY_DEFINITION.getCoupons().trimBefore(SPOT_DATE_DE_1).toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_DE_SECURITY_1, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }

  @Test
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    out.println(Arrays.deepToString(annuity.getPayments()));

    final YieldCurveBundle bundle = getBundle();

    final PresentValueCalculator presentValueCalculator = PresentValueCalculator.getInstance();
    final double presentValue = annuity.accept(presentValueCalculator, bundle);
    out.format("Present Value %f%n", presentValue);
  }

  public static double[] floatingPaymentTimes(final int maturity) {
    final double[] floatingPaymentTimes = new double[2 * maturity + 1];
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    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_1);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_1);
    coupon = coupon.trimBefore(REFERENCE_TIME_1);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }

  @Test
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    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_2);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_2);
    coupon = coupon.trimBefore(REFERENCE_TIME_2);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, CUR, ISSUER);
    final MultipleCurrencyAmount pvNominal = nominal.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = coupon.accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_2, ISSUER_MULTICURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal.getAmount(CUR) + pvCoupon.getAmount(CUR), pv.getAmount(CUR), TOLERANCE_PV);
  }

  @Test
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  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_US_1, CURVES_NAME);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_US_1, CURVES_NAME);
    coupon = coupon.trimBefore(REFERENCE_TIME_1);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_1, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }

  @Test
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  public void presentValueFixedOnCoupon() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_FIXED_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_US_2, CURVES_NAME);
    AnnuityCouponFixed coupon = BOND_FIXED_SECURITY_DEFINITION.getCoupons().toDerivative(REFERENCE_DATE_US_2, CURVES_NAME);
    coupon = coupon.trimBefore(REFERENCE_TIME_2);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_2, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }

  @Test
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  public static void annuityDerivativeDemo(final PrintStream out) {
    final double[] paymentTimes = {t };
    final boolean isPayer = false;
    final YieldCurveBundle bundle = getBundle(y);
    final AnnuityCouponFixed annuity = new AnnuityCouponFixed(ccy, paymentTimes, r, yieldCurveName, isPayer);
    final double presentValue = annuity.accept(presentValueCalculator, bundle);
    out.format("Present value of 1-period annuity: %f%n", presentValue);
  }

  // @export "interestRateDerivatives"
  static Currency ccy = Currency.EUR;
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  @Override
  public Map<String, List<DoublesPair>> visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final YieldCurveBundle curves) {
    final AnnuityCouponFixed unitCouponAnnuity = REPLACE_RATE.visitFixedCouponAnnuity(swap.getFixedLeg(), 1.0);
    final Annuity<?> floatingAnnuity = swap.getSecondLeg();
    final double a = unitCouponAnnuity.accept(PV_CALCULATOR, curves);
    final double b = floatingAnnuity.accept(PV_CALCULATOR, curves);
    final double bOveraSq = b / a / a;
    final Map<String, List<DoublesPair>> senseA = unitCouponAnnuity.accept(PV_SENSITIVITY_CALCULATOR, curves);
    final Map<String, List<DoublesPair>> senseB = floatingAnnuity.accept(PV_SENSITIVITY_CALCULATOR, curves);
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    final AnnuityCouponFixed unitCouponAnnuity = REPLACE_RATE.visitFixedCouponAnnuity(swap.getFixedLeg(), 1.0);
    final Annuity<?> floatingAnnuity = swap.getSecondLeg();
    final double a = unitCouponAnnuity.accept(PV_CALCULATOR, curves);
    final double b = floatingAnnuity.accept(PV_CALCULATOR, curves);
    final double bOveraSq = b / a / a;
    final Map<String, List<DoublesPair>> senseA = unitCouponAnnuity.accept(PV_SENSITIVITY_CALCULATOR, curves);
    final Map<String, List<DoublesPair>> senseB = floatingAnnuity.accept(PV_SENSITIVITY_CALCULATOR, curves);

    return addSensitivity(multiplySensitivity(senseA, bOveraSq), multiplySensitivity(senseB, -1 / a));
  }
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    final CurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, CUR, CURVES_NAMES[0], BUNDLE_HW);

    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, TARGET, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL,
        FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final double pvFixedExpected = fixed.accept(PVC, CURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected, pvFixedMC.getAmount(), 2.0E+2);
  }

  @Test(enabled = true)
  /**
 
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