Examples of Coupon

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

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    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 7, 25);
    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2008, 6, 30),
      DateUtils.getUTCDate(2018, 5, 31), DateUtils.getUTCDate(2018, 6, 30) }, new double[] {108.23, 108.64, 128.23, 128.43 });
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponInterpolated = CouponInflationZeroCouponInterpolationDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, false);
    final Coupon zeroCouponConverted = zeroCouponInterpolated.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final double endIndex = 128.23 + (PAYMENT_DATE.getDayOfMonth() - 1.0) / (PAYMENT_DATE.toLocalDate().lengthOfMonth()) * (128.43 - 128.23);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, endIndex / INDEX_MAY_2008 - 1.0);
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

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      DateUtils.getUTCDate(2018, 4, 1), DateUtils.getUTCDate(2018, 5, 1) },
        new double[] {
          108.23, 108.64, 128.03, 128.23 });
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponInterpolated = CouponInflationZeroCouponInterpolationDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, false);
    final Coupon zeroCouponConverted = zeroCouponInterpolated.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[0], pricingDate);
    referenceEndTime[1] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[1], pricingDate);
    final double naturalPaymentPaymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

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      DateUtils.getUTCDate(2018, 4, 1), DateUtils.getUTCDate(2018, 5, 1) },
        new double[] {
          108.23, 108.64, 128.03, 128.23 });
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponInterpolated = CouponInflationZeroCouponInterpolationDefinition.from(START_DATE, PAYMENT_DATE, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, false);
    final Coupon zeroCouponConverted = zeroCouponInterpolated.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[0], pricingDate);
    referenceEndTime[1] = -TimeCalculator.getTimeBetween(REFERENCE_END_DATE[1], pricingDate);
    final double naturalPaymentPaymentTime = TimeCalculator.getTimeBetween(pricingDate, PAYMENT_DATE);
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

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  }

  @Test
  public void toDerivativesNoData() {
    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
    final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate);
    //lastKnownFixingTime could be negatif so we don't use the dayfraction
    final double lastKnownFixingTime = TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceStartTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[0]);
    final double referenceEndTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]);
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

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    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2011, 7, 29);
    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 1),
        DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) },
        new double[] {
            127.23, 127.43, 128.23, 128.43 });
    final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    // lastKnownFixingTime could be negatif so we don't use the dayfraction
    final double lastKnownFixingTime = TimeCalculator.getTimeBetween(pricingDate, LAST_KNOWN_FIXING_DATE);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceStartTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE[0]);
    final double referenceEndTime0 = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE[0]);
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

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    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 6, 25);
    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 1),
        DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) },
        new double[] {
            127.23, 127.43, 128.23, 128.43 });
    final Coupon zeroCouponConverted = YoY_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, Math.max((WEIGHT_END * 128.23 + (1 - WEIGHT_END) * 128.43) /
        (WEIGHT_START * 127.23 + (1 - WEIGHT_START) * 127.43) - 1.0 - STRIKE, 0.0));
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

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  public void toDerivativesStartMonthKnown() {
    final ZonedDateTime pricingDate = DateUtils.getUTCDate(2018, 6, 25);
    final DoubleTimeSeries<ZonedDateTime> priceIndexTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2017, 5, 1),
      DateUtils.getUTCDate(2017, 6, 1), DateUtils.getUTCDate(2018, 5, 1), DateUtils.getUTCDate(2018, 6, 1) },
        new double[] {127.23, 127.43, 128.23, 128.43 });
    final Coupon zeroCouponConverted = ZERO_COUPON_CAP_DEFINITION.toDerivative(pricingDate, priceIndexTS);
    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final CouponFixed zeroCoupon = new CouponFixed(CUR, paymentTime, 1.0, NOTIONAL, Math.max(
        (WEIGHT * 128.23 + (1 - WEIGHT) * 128.43) / INDEX_START_VALUE - 1.0 - Math.pow(1 + STRIKE, MATURITY), 0.0));
    assertEquals("Inflation zero-coupon: toDerivative", zeroCoupon, zeroCouponConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

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  public void toDerivativeNoTS() {
    final CouponIborCompounding cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL, USDLIBOR1M, PAYMENT_ACCRUAL_FACTORS,
        FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted2);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

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    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES), 1, fixingPeriodStartTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodEndTimesLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES), 1, fixingPeriodEndTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodAccrualFactorsLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(FIXING_ACCRUAL_FACTORS, 1, fixingPeriodAccrualFactorsLeft, 0, NB_SUB_PERIOD - 1);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon

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    final double[] paymentAccrualFactorsLeft = new double[] {PAYMENT_ACCRUAL_FACTORS[2] };
    final double[] fixingTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_DATES[2]) };
    final double[] fixingPeriodStartTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES[2]) };
    final double[] fixingPeriodEndTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES[2]) };
    final double[] fixingPeriodAccrualFactorsLeft = new double[] {FIXING_ACCRUAL_FACTORS[2] };
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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