Examples of CouponInflation

    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final CouponInflationDefinition nominalLast = getNominal().getNthPayment(getNominal().getNumberOfPayments() - 1);
    final ZonedDateTime settlementDate2 = settlementDate.isBefore(date) ? date : settlementDate;
    final double notional = nominalLast.getNotional() * (settlementDate.isBefore(date) ? 0.0 : 1.0);
    final CouponInflationDefinition settlementDefinition = nominalLast.with(settlementDate2, nominalLast.getAccrualStartDate(), settlementDate2, notional);
    final CouponInflation settlement = (CouponInflation) settlementDefinition.toDerivative(date);
    return new BondCapitalIndexedSecurity<>(nominalStandard, couponStandard, settlementTime, accruedInterest, factorToNextCoupon, _yieldConvention, _couponPerYear, settlement, _indexStartValue,
        getIssuer());
  }

    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final CouponInflationDefinition nominalLast = bondFromDefinition.getNominal().getNthPayment(bondFromDefinition.getNominal().getNumberOfPayments() - 1);
    final ZonedDateTime settlementDate2 = spot;
    final double notional = 1.0;
    final CouponInflationDefinition settlementDefinition = nominalLast.with(settlementDate2, nominalLast.getAccrualStartDate(), settlementDate2, notional);
    final CouponInflation settlement = (CouponInflation) settlementDefinition.toDerivative(pricingDate);
    final BondCapitalIndexedSecurity<Coupon> bondSecurityExpected = new BondCapitalIndexedSecurity<>(nominal, coupon, settleTime, accruedInterest,
        factorToNextCoupon, YIELD_CONVENTION_GILT_1, COUPON_PER_YEAR_GILT_1, settlement, INDEX_START_GILT_1, ISSUER_UK);
    assertEquals("Capital Index Bond: toDerivative", bondSecurityExpected, bond);
  }

Examples of CouponInflation

Examples of com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflation

Examples of com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflation