Examples of CouponInflationYearOnYearMonthly

com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationYearOnYearMonthly
Class describing an Year on Year inflation coupon. The index for a given month is given in the yield curve and in the time series on the first of the month. The pay-off is paymentYearFraction*(final index / start index - 1) * notional if the notional is not paid and final index / start index * notional if the notional is paid.

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

    final double referenceStartTime = TimeCalculator.getTimeBetween(date, getReferenceStartDate());
    final ZonedDateTime naturalPaymentEndDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentEndDate);
    final ZonedDateTime naturalPaymentstartDate = naturalPaymentEndDate.minusMonths(12);
    final double naturalPaymentStartTime = TimeCalculator.getTimeBetween(date, naturalPaymentstartDate);
    return new CouponInflationYearOnYearMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime, naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional);
  }

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

    final double referenceStartTime = TimeCalculator.getTimeBetween(date, getReferenceStartDate());
    final ZonedDateTime naturalPaymentEndDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentEndDate);
    final ZonedDateTime naturalPaymentstartDate = naturalPaymentEndDate.minusMonths(12);
    final double naturalPaymentStartTime = TimeCalculator.getTimeBetween(date, naturalPaymentstartDate);
    return new CouponInflationYearOnYearMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime, naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional);
  }

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

    referenceStartTime = TimeCalculator.getTimeBetween(date, _referenceStartDate);
    final ZonedDateTime naturalPaymentEndDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentEndDate);
    final ZonedDateTime naturalPaymentstartDate = naturalPaymentEndDate.minusMonths(12);
    final double naturalPaymentStartTime = TimeCalculator.getTimeBetween(date, naturalPaymentstartDate);
    return new CouponInflationYearOnYearMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime, naturalPaymentStartTime,
        referenceEndTime, naturalPaymentEndTime, _payNotional);
  }

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

    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
    final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
    final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
    final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
    final CouponInflationYearOnYearMonthly yearOnYearCoupon = new CouponInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, referenceStartTime,
        naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, false);
    assertEquals("Inflation zero-coupon: toDerivative", yearOnYearCouponConverted, yearOnYearCoupon);
  }

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

    final double paymentTime = ACT_ACT.getDayCountFraction(pricingDate, PAYMENT_DATE);
    final double referenceStartTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_START_DATE);
    final double referenceEndTime = ACT_ACT.getDayCountFraction(pricingDate, REFERENCE_END_DATE);
    final double naturalPaymentStartPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_START_DATE);
    final double naturalPaymentEndPaymentTime = ACT_ACT.getDayCountFraction(pricingDate, ACCRUAL_END_DATE);
    final CouponInflationYearOnYearMonthly yearOnYearCoupon = new CouponInflationYearOnYearMonthly(CUR, paymentTime, 1.0, NOTIONAL, PRICE_INDEX, referenceStartTime,
        naturalPaymentStartPaymentTime, referenceEndTime, naturalPaymentEndPaymentTime, false);
    assertEquals("Inflation zero-coupon: toDerivative", yearOnYearCoupon, yearOnYearCouponConverted);
  }

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

      NATURAL_PAYMENT_START_TIME,
      REFERENCE_END_TIME, NATURAL_PAYMENT_END_TIME, false);


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullIndex() {
    new CouponInflationYearOnYearMonthly(CUR, PAYMENT_TIME, 1.0, NOTIONAL, null, REFERENCE_START_TIME, NATURAL_PAYMENT_START_TIME, REFERENCE_END_TIME, NATURAL_PAYMENT_END_TIME, false);
  }

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

   * Tests the equal and hash-code methods.
   */
  public void equalHash() {
    assertEquals(YoY_COUPON, YoY_COUPON);


    CouponInflationYearOnYearMonthly couponDuplicate = new CouponInflationYearOnYearMonthly(CUR, PAYMENT_TIME, 1.0, NOTIONAL, PRICE_INDEX, REFERENCE_START_TIME, NATURAL_PAYMENT_START_TIME,
        REFERENCE_END_TIME, NATURAL_PAYMENT_END_TIME, false);
    assertEquals(YoY_COUPON, couponDuplicate);
    assertEquals(YoY_COUPON.hashCode(), couponDuplicate.hashCode());
    CouponInflationYearOnYearMonthly modified;
    modified = new CouponInflationYearOnYearMonthly(CUR, PAYMENT_TIME, 1.0, NOTIONAL, PRICE_INDEX, REFERENCE_START_TIME + 0.1, NATURAL_PAYMENT_START_TIME,
        REFERENCE_END_TIME, NATURAL_PAYMENT_END_TIME, false);
    assertFalse(YoY_COUPON.equals(modified));
    modified = new CouponInflationYearOnYearMonthly(CUR, PAYMENT_TIME, 1.0, NOTIONAL, PRICE_INDEX, REFERENCE_START_TIME, NATURAL_PAYMENT_START_TIME,
        REFERENCE_END_TIME + 0.1, NATURAL_PAYMENT_END_TIME, false);
    assertFalse(YoY_COUPON.equals(modified));
    final double modifiedNaturalPaymentStartTime = NATURAL_PAYMENT_START_TIME + .01;
    modified = new CouponInflationYearOnYearMonthly(CUR, PAYMENT_TIME, 1.0, NOTIONAL, PRICE_INDEX, REFERENCE_START_TIME,
        modifiedNaturalPaymentStartTime, REFERENCE_END_TIME, NATURAL_PAYMENT_END_TIME, false);
    assertFalse(YoY_COUPON.equals(modified));
    final double modifiedNaturalPaymentEndTime = NATURAL_PAYMENT_END_TIME + .01;
    modified = new CouponInflationYearOnYearMonthly(CUR, PAYMENT_TIME, 1.0, NOTIONAL, PRICE_INDEX, REFERENCE_START_TIME,
        NATURAL_PAYMENT_START_TIME, REFERENCE_END_TIME, modifiedNaturalPaymentEndTime, false);
    assertFalse(YoY_COUPON.equals(modified));
  }

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