Examples of CouponIborCompoundingSpread

com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborCompoundingSpread
Class describing a Ibor-like coupon with compounding and spread. There are three ISDA versions of compounding with spread. The one referred in this class is the "compounding" (not "Flat Compounding" and not "Compounding treating spread as simple interest"). The Ibor fixing are compounded over several sub-periods. The amount paid is equal to $$ \begin{equation*} \left(\prod_{i=1}^n (1+\delta_i r_i + s) \right)-1 \end{equation*} $$ where the $\delta_i$ are the accrual factors of the sub periods, the $r_i$ the fixing for the same periods and $s$ the common spread. The fixing have their own start dates, end dates and accrual factors. In general they are close to the accrual dates used to compute the coupon accrual factors.
Reference: Mengle, D. (2009). Alternative compounding methods for over-the-counter derivative transactions. ISDA.

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

    CPN_FROM_INDEX_DEFINITION.toDerivative(DateUtils.getUTCDate(2012, 8, 25), new String[0]);
  }


  @Test
  public void toDerivativeNoTS() {
    final CouponIborCompoundingSpread cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE);
    final CouponIborCompoundingSpread cpnExpected = new CouponIborCompoundingSpread(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, SPREAD);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted2);

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

    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 CouponIborCompoundingSpread cpnExpected = new CouponIborCompoundingSpread(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, SPREAD);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
  }

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

    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 CouponIborCompoundingSpread cpnExpected = new CouponIborCompoundingSpread(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, SPREAD);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
  }

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

    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
  }


  @SuppressWarnings("deprecation")
  public void toDerivativeNoTSDeprecated() {
    final CouponIborCompoundingSpread cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, new String[0]);
    final CouponIborCompoundingSpread cpnExpected = new CouponIborCompoundingSpread(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, SPREAD);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS, new String[0]);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted2);

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

    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, new String[0]);
    final CouponIborCompoundingSpread cpnExpected = new CouponIborCompoundingSpread(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, SPREAD);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
  }

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

    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, new String[0]);
    final CouponIborCompoundingSpread cpnExpected = new CouponIborCompoundingSpread(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, SPREAD);
    assertEquals("CouponIborCompoundedSpreadDefinition: toDerivatives", cpnExpected, cpnConverted);
  }

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

    ArgumentChecker.isTrue(!dateConversion.isAfter(_fixingDates[0].toLocalDate()), "toDerivative without time series should have a date before the first fixing date.");
    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final double[] fixingTimes = TimeCalculator.getTimeBetween(dateTime, _fixingDates);
    final double[] fixingPeriodStartTimes = TimeCalculator.getTimeBetween(dateTime, _fixingPeriodStartDates);
    final double[] fixingPeriodEndTimes = TimeCalculator.getTimeBetween(dateTime, _fixingPeriodEndDates);
    return new CouponIborCompoundingSpread(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getNotional(), _index, _paymentAccrualFactors,
        fixingTimes, fixingPeriodStartTimes, fixingPeriodEndTimes, _fixingPeriodAccrualFactors, _spread);
  }

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

    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingPeriodStartDates), nbFixed, fixingPeriodStartTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodEndTimesLeft = new double[nbSubPeriodLeft];
    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingPeriodEndDates), nbFixed, fixingPeriodEndTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodAccrualFactorsLeft = new double[nbSubPeriodLeft];
    System.arraycopy(_fixingPeriodAccrualFactors, nbFixed, fixingPeriodAccrualFactorsLeft, 0, nbSubPeriodLeft);
    return new CouponIborCompoundingSpread(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), notionalAccrued, _index, paymentAccrualFactorsLeft,
        fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, _spread);
  }

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