Examples of CouponONCompounded

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

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    for (int i = 0; i < _fixingPeriodDates.length - 1; i++) {
      fixingPeriodStartTimes[i] = TimeCalculator.getTimeBetween(date, _fixingPeriodDates[i]);
      fixingPeriodEndTimes[i] = TimeCalculator.getTimeBetween(date, _fixingPeriodDates[i + 1]);
      fixingPeriodAccrualFactorsActAct[i] = TimeCalculator.getTimeBetween(_fixingPeriodDates[i], _fixingPeriodDates[i + 1]);
    }
    final CouponONCompounded cpn = new CouponONCompounded(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTimes,
        fixingPeriodEndTimes, _fixingPeriodAccrualFactors, fixingPeriodAccrualFactorsActAct, getNotional(), yieldCurveNames[1]);
    return cpn;
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded

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      fixingPeriodStartTimes[i] = TimeCalculator.getTimeBetween(date, _fixingPeriodDates[i]);
      fixingPeriodEndTimes[i] = TimeCalculator.getTimeBetween(date, _fixingPeriodDates[i + 1]);
      fixingPeriodAccrualFactorsActAct[i] = TimeCalculator.getTimeBetween(_fixingPeriodDates[i], _fixingPeriodDates[i + 1]);
    }

    final CouponONCompounded cpn = new CouponONCompounded(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTimes,
        fixingPeriodEndTimes, _fixingPeriodAccrualFactors, fixingPeriodAccrualFactorsActAct, getNotional());
    return cpn;
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded

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        }

        for (int loopperiod = 0; loopperiod < _fixingPeriodAccrualFactors.length - fixedPeriod; loopperiod++) {
          fixingAccrualFactorsLeft[loopperiod] = _fixingPeriodAccrualFactors[loopperiod + fixedPeriod];
        }
        final CouponONCompounded cpn = new CouponONCompounded(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTimes,
            fixingPeriodEndTimes, fixingAccrualFactorsLeft, fixingPeriodAccrualFactorsActAct, accruedNotional, yieldCurveNames[1]);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, yieldCurveNames[0], getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
          / getPaymentYearFraction());
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded

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        }

        for (int loopperiod = 0; loopperiod < _fixingPeriodAccrualFactors.length - fixedPeriod; loopperiod++) {
          fixingAccrualFactorsLeft[loopperiod] = _fixingPeriodAccrualFactors[loopperiod + fixedPeriod];
        }
        final CouponONCompounded cpn = new CouponONCompounded(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _index, fixingPeriodStartTimes,
            fixingPeriodEndTimes, fixingAccrualFactorsLeft, fixingPeriodAccrualFactorsActAct, accruedNotional);
        return cpn;
      }
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), (accruedNotional / getNotional() - 1.0)
          / getPaymentYearFraction());
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded

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  @Test
  public void presentValueCurveSensitivity() {
    InterestRateCurveSensitivity pvcsSwaption = METHOD_BLACK.presentValueCurveSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    // 1. Discounting curve sensitivity
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    final CouponONCompounded cpnON = SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNthPayment(0);
    discTime.add(cpnON.getFixingPeriodStartTimes()[0]);
    for (int loopp = 0; loopp < cpnON.getFixingPeriodStartTimes().length; loopp++) {
      discTime.add(cpnON.getFixingPeriodEndTimes()[loopp]);
    }
    final CouponFixedAccruedCompounding cpnF = SWAPTION_LONG_REC.getUnderlyingSwap().getFirstLeg().getNthPayment(0);
    discTime.add(cpnF.getPaymentTime());
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final List<DoublesPair> sensiPvDisc = pvcsSwaption.getSensitivities().get(CURVES_NAME[0]);
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded

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  /**
   * Tests the toDerivative method.
   */
  public void toDerivativeNoFixingDeprecated() {
    final String[] curveNames = new String[] {"a", "b"};
    final CouponONCompounded cpnConverted = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(TRADE_DATE, curveNames);
    final double paymentTime = TimeCalculator.getTimeBetween(TRADE_DATE, EUR_PAYMENT_DATE);
    final double[] FIXING_PERIOD_START_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_END_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_ACCRUAL_FACTOR = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    for (int i = 0; i < ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1; i++) {
      FIXING_PERIOD_START_TIMES[i] = TimeCalculator.getTimeBetween(TRADE_DATE, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i]);
      FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(TRADE_DATE, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
      FIXING_PERIOD_ACCRUAL_FACTOR[i] = EUR_DAY_COUNT.getDayCountFraction(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
          EUR_CALENDAR);
      FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] = TimeCalculator.getTimeBetween(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
    }
    final CouponONCompounded cpnExpected = new CouponONCompounded(EUR_CUR, paymentTime, curveNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, FIXING_PERIOD_START_TIMES,
        FIXING_PERIOD_END_TIMES, FIXING_PERIOD_ACCRUAL_FACTOR, FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT, NOTIONAL, curveNames[1]);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded

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  @Test
  /**
   * Tests the toDerivative method.
   */
  public void toDerivativeNoFixing() {
    final CouponONCompounded cpnConverted = ON_COMPOUNDED_COUPON_DEFINITION.toDerivative(TRADE_DATE);
    final double paymentTime = TimeCalculator.getTimeBetween(TRADE_DATE, EUR_PAYMENT_DATE);
    final double[] FIXING_PERIOD_START_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_END_TIMES = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_ACCRUAL_FACTOR = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    final double[] FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT = new double[ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1];
    for (int i = 0; i < ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates().length - 1; i++) {
      FIXING_PERIOD_START_TIMES[i] = TimeCalculator.getTimeBetween(TRADE_DATE, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i]);
      FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(TRADE_DATE, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
      FIXING_PERIOD_ACCRUAL_FACTOR[i] = EUR_DAY_COUNT.getDayCountFraction(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
          EUR_CALENDAR);
      FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] = TimeCalculator.getTimeBetween(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
    }
    final CouponONCompounded cpnExpected = new CouponONCompounded(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, FIXING_PERIOD_START_TIMES,
        FIXING_PERIOD_END_TIMES, FIXING_PERIOD_ACCRUAL_FACTOR, FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT, NOTIONAL);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded

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      FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(referenceDate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
      FIXING_PERIOD_ACCRUAL_FACTOR[i] = EUR_DAY_COUNT.getDayCountFraction(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
          EUR_CALENDAR);
      FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] = TimeCalculator.getTimeBetween(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
    }
    final CouponONCompounded cpnExpected = new CouponONCompounded(EUR_CUR, paymentTime, curveNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, FIXING_PERIOD_START_TIMES,
        FIXING_PERIOD_END_TIMES, FIXING_PERIOD_ACCRUAL_FACTOR, FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT, NOTIONAL, curveNames[1]);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded

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      FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(referenceDate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
      FIXING_PERIOD_ACCRUAL_FACTOR[i] = EUR_DAY_COUNT.getDayCountFraction(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
          EUR_CALENDAR);
      FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] = TimeCalculator.getTimeBetween(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
    }
    final CouponONCompounded cpnExpected = new CouponONCompounded(EUR_CUR, paymentTime, EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, FIXING_PERIOD_START_TIMES,
        FIXING_PERIOD_END_TIMES, FIXING_PERIOD_ACCRUAL_FACTOR, FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT, NOTIONAL);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponONCompounded

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      FIXING_PERIOD_END_TIMES[i] = TimeCalculator.getTimeBetween(referenceDate, ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
      FIXING_PERIOD_ACCRUAL_FACTOR[i] = EUR_DAY_COUNT.getDayCountFraction(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1],
          EUR_CALENDAR);
      FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT[i] = TimeCalculator.getTimeBetween(ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i], ON_COMPOUNDED_COUPON_DEFINITION.getFixingPeriodDates()[i + 1]);
    }
    final CouponONCompounded cpnExpected = new CouponONCompounded(EUR_CUR, paymentTime, curveNames[0], EUR_PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, FIXING_PERIOD_START_TIMES,
        FIXING_PERIOD_END_TIMES, FIXING_PERIOD_ACCRUAL_FACTOR, FIXING_PERIOD_ACCRUAL_FACTOR_ACT_ACT, NOTIONAL, curveNames[1]);
    assertEquals("CouponONCompounded definition: toDerivative", cpnExpected, cpnConverted);
  }
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