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

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborSpread.accept()

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    Map<String, List<DoublesPair>> sense = clean(payment1Curve.accept(PVSC, CURVES), eps, eps * notional);
    List<DoublesPair> sense5FD = curveSensitvityFDCalculator(payment1Curve, PVC, CURVES, FIVE_PC_CURVE_NAME, nodeTimes, eps);
    assertSensitivityEquals(sense5FD, sense.get(FIVE_PC_CURVE_NAME), eps * notional);

    //2 curves
    sense = clean(payment.accept(PVSC, CURVES), eps, eps * notional);
    final List<DoublesPair> sense0FD = curveSensitvityFDCalculator(payment, PVC, CURVES, ZERO_PC_CURVE_NAME, nodeTimes, eps);
    sense5FD = curveSensitvityFDCalculator(payment, PVC, CURVES, FIVE_PC_CURVE_NAME, nodeTimes, eps);
    assertSensitivityEquals(sense0FD, sense.get(ZERO_PC_CURVE_NAME), eps * notional);
    assertSensitivityEquals(sense5FD, sense.get(FIVE_PC_CURVE_NAME), eps * notional);
  }
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    final double spread = 0.04;
    final double notional = 4.53;

    CouponIborSpread payment = new CouponIborSpread(CUR, time, FIVE_PC_CURVE_NAME, paymentYF, notional, resetTime, INDEX, resetTime, maturity, forwardYF, spread, ZERO_PC_CURVE_NAME);
    double expected = notional * paymentYF * spread * CURVES.getCurve(FIVE_PC_CURVE_NAME).getDiscountFactor(time);
    double pv = payment.accept(PVC, CURVES);
    assertEquals(expected, pv, 1e-8);

    payment = new CouponIborSpread(CUR, time, ZERO_PC_CURVE_NAME, paymentYF, 1.0, resetTime, INDEX, resetTime, maturity, forwardYF, spread, FIVE_PC_CURVE_NAME);
    final double forward = (Math.exp(0.05 * (maturity - resetTime)) - 1) / forwardYF;

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    payment = new CouponIborSpread(CUR, time, ZERO_PC_CURVE_NAME, paymentYF, 1.0, resetTime, INDEX, resetTime, maturity, forwardYF, spread, FIVE_PC_CURVE_NAME);
    final double forward = (Math.exp(0.05 * (maturity - resetTime)) - 1) / forwardYF;

    expected = paymentYF * (forward + spread);
    pv = payment.accept(PVC, CURVES);
    assertEquals(expected, pv, 1e-8);
  }

}
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