Examples of CouponInflationZeroCouponMonthlyGearing

com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponMonthlyGearing
Class describing an zero-coupon inflation coupon. 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*(final index / start index - 1) * notional.

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

    ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    final double referenceEndTime = TimeCalculator.getTimeBetween(date, getReferenceEndDate());
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CouponInflationZeroCouponMonthlyGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), _indexStartValue, referenceEndTime, naturalPaymentTime,
        _payNotional, _factor);
  }

View Full Code Here

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

    }
    double referenceEndTime = 0.0;
    referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CouponInflationZeroCouponMonthlyGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), _indexStartValue, referenceEndTime, naturalPaymentTime,
        _payNotional, _factor);
  }

View Full Code Here

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

    ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    final double referenceEndTime = TimeCalculator.getTimeBetween(date, getReferenceEndDate());
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CouponInflationZeroCouponMonthlyGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), _indexStartValue, referenceEndTime, naturalPaymentTime,
        _payNotional, _factor);
  }

View Full Code Here

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

    }
    double referenceEndTime = 0.0;
    referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CouponInflationZeroCouponMonthlyGearing(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), _indexStartValue, referenceEndTime, naturalPaymentTime,
        _payNotional, _factor);
  }

View Full Code Here

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.