Package com.opengamma.analytics.financial.instrument.index

Examples of com.opengamma.analytics.financial.instrument.index.IborIndex

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    ArgumentChecker.notNull(yieldCurves, "null yield curve");

    // check all the caps are on the same index and with the same strike
    final Iterator<CapFloor> iter = caps.iterator();
    final CapFloor firstCap = iter.next();
    final IborIndex iborIndex = firstCap.getNthPayment(0).getIndex();
    final double strike = firstCap.getStrike();
    while (iter.hasNext()) {
      final CapFloor cap = iter.next();
      ArgumentChecker.isTrue(iborIndex.equals(cap.getNthPayment(0).getIndex()), "caps of different index");
      ArgumentChecker.isTrue(strike == cap.getStrike(), "caps of different strikes");
    }

    _nCaps = caps.size();
    _capletIndices = new int[_nCaps][];
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        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
    assertFalse(other.equals(CPN));
    other = new CouponIborCompoundingSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 1.02, USDLIBOR1M,
        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
    assertFalse(other.equals(CPN));
    final IborIndex index = MASTER_IBOR.getIndex("USDLIBOR3M");
    other = new CouponIborCompoundingSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 1.01, index,
        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
    assertFalse(other.equals(CPN));
    other = new CouponIborCompoundingSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 1.01, USDLIBOR1M,
        FIXING_TIMES, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
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  private static final AnnuityCapFloorCMSSpreadDefinition CMS_SPREAD_LEG = AnnuityCapFloorCMSSpreadDefinition.from(START_DATE, MATURITY_DATE, NOTIONAL, CMS_INDEX_10, CMS_INDEX_2, LEG_PAYMENT_PERIOD,
      LEG_DAY_COUNT, IS_PAYER, STRIKE, IS_CAP, CALENDAR, CALENDAR);

  @Test
  public void dates() {
    final IborIndex fakeIborIndex12 = new IborIndex(CUR, LEG_PAYMENT_PERIOD, IBOR_SETTLEMENT_DAYS, LEG_DAY_COUNT, BUSINESS_DAY, IS_EOM, "Ibor");
    final AnnuityCouponIborDefinition iborLeg = AnnuityCouponIborDefinition.from(START_DATE, MATURITY_DATE, NOTIONAL, fakeIborIndex12, IS_PAYER, CALENDAR);
    for (int loopcpn = 0; loopcpn < iborLeg.getNumberOfPayments(); loopcpn++) {
      assertEquals(iborLeg.getNthPayment(loopcpn).getAccrualStartDate(), CMS_SPREAD_LEG.getNthPayment(loopcpn).getAccrualStartDate());
      assertEquals(iborLeg.getNthPayment(loopcpn).getAccrualEndDate(), CMS_SPREAD_LEG.getNthPayment(loopcpn).getAccrualEndDate());
      assertEquals(iborLeg.getNthPayment(loopcpn).getPaymentYearFraction(), CMS_SPREAD_LEG.getNthPayment(loopcpn).getPaymentYearFraction());
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  @Test
  public void testFrom() {
    final ZonedDateTime settleDate = DateUtils.getUTCDate(2014, 3, 20);
    final Period indexTenor = Period.ofMonths(3);
    final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final IborIndex index = new IborIndex(CUR, indexTenor, SETTLEMENT_DAYS, dayCount, BUSINESS_DAY, IS_EOM, "Ibor");
    final AnnuityCouponIborDefinition iborAnnuity = AnnuityCouponIborDefinition.from(settleDate, Period.ofYears(1), NOTIONAL, index, IS_PAYER, CALENDAR);
    final ZonedDateTime[] paymentDates = new ZonedDateTime[] {DateUtils.getUTCDate(2014, 6, 20), DateUtils.getUTCDate(2014, 9, 22), DateUtils.getUTCDate(2014, 12, 22),
        DateUtils.getUTCDate(2015, 03, 20) };
    final ZonedDateTime[] fixingDates = new ZonedDateTime[] {DateUtils.getUTCDate(2014, 3, 18), DateUtils.getUTCDate(2014, 6, 18), DateUtils.getUTCDate(2014, 9, 18),
        DateUtils.getUTCDate(2014, 12, 18) };
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  private static final boolean IS_PAYER = true;
  private static final AnnuityCouponCMSDefinition CMS_LEG = AnnuityCouponCMSDefinition.from(START_DATE, MATURITY_DATE, NOTIONAL, CMS_INDEX, LEG_PAYMENT_PERIOD, LEG_DAY_COUNT, IS_PAYER, CALENDAR);

  @Test
  public void dates() {
    final IborIndex fakeIborIndex12 = new IborIndex(CUR, LEG_PAYMENT_PERIOD, IBOR_SETTLEMENT_DAYS, LEG_DAY_COUNT, BUSINESS_DAY, IS_EOM, "Ibor");
    final AnnuityCouponIborDefinition iborLeg = AnnuityCouponIborDefinition.from(START_DATE, MATURITY_DATE, NOTIONAL, fakeIborIndex12, IS_PAYER, CALENDAR);
    for (int loopcpn = 0; loopcpn < iborLeg.getNumberOfPayments(); loopcpn++) {
      assertEquals(iborLeg.getNthPayment(loopcpn).getAccrualStartDate(), CMS_LEG.getNthPayment(loopcpn).getAccrualStartDate());
      assertEquals(iborLeg.getNthPayment(loopcpn).getAccrualEndDate(), CMS_LEG.getNthPayment(loopcpn).getAccrualEndDate());
      assertEquals(iborLeg.getNthPayment(loopcpn).getPaymentYearFraction(), CMS_LEG.getNthPayment(loopcpn).getPaymentYearFraction());
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        NAME);
    assertFalse(ERU2.equals(modifiedFuture));
    modifiedFuture = new InterestRateFutureTransaction(LAST_TRADING_TIME, IBOR_INDEX, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, REFERENCE_PRICE, NOTIONAL, FUTURE_FACTOR, QUANTITY, NAME
        + NAME);
    assertFalse(ERU2.equals(modifiedFuture));
    final IborIndex otherIndex = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM, "Ibor");
    modifiedFuture = new InterestRateFutureTransaction(LAST_TRADING_TIME, otherIndex, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, REFERENCE_PRICE, NOTIONAL, FUTURE_FACTOR, QUANTITY, NAME);
    assertFalse(ERU2.equals(modifiedFuture));
    assertFalse(ERU2.equals(LAST_TRADING_DATE));
    assertFalse(ERU2.equals(null));
  }
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        ACCRUAL_FACTOR_FIXING + 1.0, FRA_RATE);
    assertEquals(modifiedFRA.equals(FRA), false);
    modifiedFRA = new ForwardRateAgreement(CUR, PAYMENT_TIME, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, INDEX, FIXING_TIME, FIXING_PERIOD_START_TIME, FIXING_PERIOD_END_TIME,
        ACCRUAL_FACTOR_FIXING, FRA_RATE + 1.0);
    assertEquals(modifiedFRA.equals(FRA), false);
    final IborIndex otherIndex = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM, "Ibor1");
    modifiedFRA = new ForwardRateAgreement(CUR, PAYMENT_TIME, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, otherIndex, FIXING_TIME, FIXING_PERIOD_START_TIME, FIXING_PERIOD_END_TIME,
        ACCRUAL_FACTOR_FIXING, FRA_RATE);
    assertFalse(modifiedFRA.equals(FRA));
    assertFalse(FRA.equals(CUR));
    assertFalse(FRA.equals(null));
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        ACCRUAL_FACTOR_FIXING, FRA_RATE + 1.0, FORWARD_CURVE_NAME);
    assertEquals(modifiedFRA.equals(FRA), false);
    modifiedFRA = new ForwardRateAgreement(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, INDEX, FIXING_TIME, FIXING_PERIOD_START_TIME, FIXING_PERIOD_END_TIME,
        ACCRUAL_FACTOR_FIXING, FRA_RATE, FUNDING_CURVE_NAME);
    assertEquals(modifiedFRA.equals(FRA), false);
    final IborIndex otherIndex = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM, "Ibor1");
    modifiedFRA = new ForwardRateAgreement(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, otherIndex, FIXING_TIME, FIXING_PERIOD_START_TIME, FIXING_PERIOD_END_TIME,
        ACCRUAL_FACTOR_FIXING, FRA_RATE, FORWARD_CURVE_NAME);
    assertFalse(modifiedFRA.equals(FRA));
    assertFalse(FRA.equals(CUR));
    assertFalse(FRA.equals(null));
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    assertFalse(ERU2.equals(modifiedFuture));
    modifiedFuture = new InterestRateFutureSecurity(LAST_TRADING_TIME, IBOR_INDEX, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, NOTIONAL, FUTURE_FACTOR + 0.25, NAME);
    assertFalse(ERU2.equals(modifiedFuture));
    modifiedFuture = new InterestRateFutureSecurity(LAST_TRADING_TIME, IBOR_INDEX, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, NOTIONAL, FUTURE_FACTOR, NAME + NAME);
    assertFalse(ERU2.equals(modifiedFuture));
    final IborIndex otherIndex = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM, "Ibor");
    modifiedFuture = new InterestRateFutureSecurity(LAST_TRADING_TIME, otherIndex, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, NOTIONAL, FUTURE_FACTOR, NAME);
    assertFalse(ERU2.equals(modifiedFuture));
    assertFalse(ERU2.equals(LAST_TRADING_DATE));
    assertFalse(ERU2.equals(null));
  }
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  @Test
  public void testFRA() {
    final double eps = 1e-9;

    final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), true);

    final double paymentTime = 0.5;
    final double fixingTime = paymentTime;
    final double fixingPeriodStart = paymentTime;
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Related Classes of com.opengamma.analytics.financial.instrument.index.IborIndex

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponCMSDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesTransactionDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborAverageDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborDefinitionTest
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