Examples of CouponInflationZeroCouponInterpolationGearing

com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponInterpolationGearing
Class describing an zero-coupon inflation coupon where the inflation increment is multiplied by a gearing factor. The start index value is known when the coupon is traded/issued. 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 factor*(Index_End / Index_Start - X) with X=0 for notional payment and X=1 for no notional payment.

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

    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(date, getReferenceEndDates()[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, getReferenceEndDates()[1]);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CouponInflationZeroCouponInterpolationGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), _indexStartValue, referenceEndTime,
        naturalPaymentTime, _weight, _payNotional, _factor);
  }

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

    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDates[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDates[1]);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CouponInflationZeroCouponInterpolationGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), _indexStartValue, referenceEndTime,
        naturalPaymentTime, _weight, _payNotional, _factor);
  }

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

    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(date, getReferenceEndDates()[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, getReferenceEndDates()[1]);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CouponInflationZeroCouponInterpolationGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), _indexStartValue, referenceEndTime,
        naturalPaymentTime, _weight, _payNotional, _factor);
  }

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

    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDates[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDates[1]);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CouponInflationZeroCouponInterpolationGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), _indexStartValue, referenceEndTime,
        naturalPaymentTime, _weight, _payNotional, _factor);
  }

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