Package com.opengamma.analytics.financial.instrument.payment

Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedCompoundingDefinition

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    ArgumentChecker.notNull(index, "Price index");
    ArgumentChecker.notNull(settlementDate, "Settlement date");
    ArgumentChecker.notNull(businessDayConvention, "Business day convention");
    ArgumentChecker.notNull(calendar, "Calendar");
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, Period.ofYears(tenor), businessDayConvention, calendar, endOfMonth);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(index.getCurrency(), settlementDate, paymentDate, (isPayer ? -1.0 : 1.0) * notional, tenor,
        fixedRate);
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional, index,
        conventionalMonthLag, monthLag, false);
    return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, calendar);
  }
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    ArgumentChecker.notNull(settlementDate, "Settlement date");
    ArgumentChecker.notNull(generator, "generator");
    ArgumentChecker.notNull(tenor, "tenor");
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, tenor, generator.getBusinessDayConvention(), generator.getCalendar(),
        generator.isEndOfMonth());
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(generator.getIndexPrice().getCurrency(), settlementDate, paymentDate, (isPayer ? -1.0 : 1.0) * notional,
        tenor.getYears(),
        fixedRate);
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional,
        generator.getIndexPrice(), generator.getMonthLag(), generator.getMonthLag(), false);
    return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, generator.getCalendar());
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    ArgumentChecker.notNull(index, "Price index");
    ArgumentChecker.notNull(settlementDate, "Settlement date");
    ArgumentChecker.notNull(businessDayConvention, "Business day convention");
    ArgumentChecker.notNull(calendar, "Calendar");
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, Period.ofYears(tenor), businessDayConvention, calendar, endOfMonth);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(index.getCurrency(), settlementDate, paymentDate, (isPayer ? -1.0 : 1.0) * notional, tenor,
        fixedRate);
    final CouponInflationZeroCouponMonthlyDefinition inflationCpn = CouponInflationZeroCouponMonthlyDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional, index,
        conventionalMonthLag, monthLag, false);
    return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, calendar);
  }
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    ArgumentChecker.notNull(settlementDate, "Settlement date");
    ArgumentChecker.notNull(generator, "generator");
    ArgumentChecker.notNull(tenor, "tenor");
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, tenor, generator.getBusinessDayConvention(), generator.getCalendar(),
        generator.isEndOfMonth());
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(generator.getIndexPrice().getCurrency(), settlementDate, paymentDate, (isPayer ? -1.0 : 1.0) * notional,
        tenor.getYears(), fixedRate);
    final CouponInflationZeroCouponMonthlyDefinition inflationCpn = CouponInflationZeroCouponMonthlyDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional,
        generator.getIndexPrice(),
        generator.getMonthLag(), generator.getMonthLag(), false);
    return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, generator.getCalendar());
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    final Currency currency = priceIndexConvention.getCurrency();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, priceIndexConvention.getRegion());
    final ZoneId zone = _valuationTime.getZone(); //TODO time zone set to midnight UTC
    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, calendar).toLocalDate().atStartOfDay(zone);
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, tenor, businessDayConvention, calendar, endOfMonth).toLocalDate().atStartOfDay(zone);
    final CouponFixedCompoundingDefinition fixedCoupon = CouponFixedCompoundingDefinition.from(currency, settlementDate, paymentDate, notional, tenor.getYears(),
        rate);
    final HistoricalTimeSeries ts = _timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, priceIndexConvention.getPriceIndexId());
    if (ts == null) {
      throw new OpenGammaRuntimeException("Could not get price index time series with id " + priceIndexConvention.getPriceIndexId());
    }
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  public void swapFixedInflationZeroCouponInterpolationConstructor() {
    final double zeroCpnRate = 0.02;
    //    ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(START_DATE, BUSINESS_DAY, CALENDAR, EOM, COUPON_TENOR);
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, -NOTIONAL,
        PRICE_INDEX_EUR, MONTH_LAG, REFERENCE_START_DATES, REFERENCE_END_DATES, false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    assertTrue("Swap zero-coupon inflation constructor", swap.getFirstLeg().equals(new AnnuityDefinition<>(new PaymentDefinition[] {fixedCpn }, CALENDAR)));
    assertTrue("Swap zero-coupon inflation constructor", swap.getSecondLeg().equals(new AnnuityDefinition<>(new PaymentDefinition[] {inflationCpn }, CALENDAR)));
  }
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   */
  public void couponFixedInflationZeroCouponInterpolationFrom() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL,
        PRICE_INDEX_EUR, MONTH_LAG, REFERENCE_START_DATES, REFERENCE_END_DATES, false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, -NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    final SwapFixedInflationZeroCouponDefinition swapFrom = SwapFixedInflationZeroCouponDefinition.fromInterpolation(PRICE_INDEX_EUR, START_DATE, COUPON_TENOR_YEAR, zeroCpnRate, NOTIONAL,
        true, BUSINESS_DAY, CALENDAR, EOM, MONTH_LAG, MONTH_LAG);
    assertEquals("Swap zero-coupon inflation constructor", swap, swapFrom);
  }
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   */
  public void couponFixedInflationZeroCouponInterpolationWithGenerator() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL,
        PRICE_INDEX_EUR, MONTH_LAG, REFERENCE_START_DATES, REFERENCE_END_DATES, false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, -NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    final SwapFixedInflationZeroCouponDefinition swapFrom = SwapFixedInflationZeroCouponDefinition.fromGeneratorInterpolation(START_DATE, zeroCpnRate, NOTIONAL, COUPON_TENOR,
        GENERATOR_SWAP_INFLATION,
        true);
    assertEquals("Swap zero-coupon inflation constructor", swap, swapFrom);
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  public void swapFixedInflationZeroCouponMonthlyConstructor() {
    final double zeroCpnRate = 0.02;
    //    ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(START_DATE, BUSINESS_DAY, CALENDAR, EOM, COUPON_TENOR);
    final CouponInflationZeroCouponMonthlyDefinition inflationCpn = new CouponInflationZeroCouponMonthlyDefinition(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, -NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, REFERENCE_START_DATE, REFERENCE_END_DATES[0], false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    assertTrue("Swap zero-coupon inflation constructor", swap.getFirstLeg().equals(new AnnuityDefinition<>(new PaymentDefinition[] {fixedCpn }, CALENDAR)));
    assertTrue("Swap zero-coupon inflation constructor", swap.getSecondLeg().equals(new AnnuityDefinition<>(new PaymentDefinition[] {inflationCpn }, CALENDAR)));
  }
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   */
  public void couponFixedInflationZeroCouponMonthlyFrom() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponMonthlyDefinition inflationCpn = new CouponInflationZeroCouponMonthlyDefinition(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, REFERENCE_START_DATE_MONTHLY, REFERENCE_END_DATES[0], false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, -NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    final SwapFixedInflationZeroCouponDefinition swapFrom = SwapFixedInflationZeroCouponDefinition.fromMonthly(PRICE_INDEX_EUR, START_DATE, COUPON_TENOR_YEAR, zeroCpnRate, NOTIONAL, true,
        BUSINESS_DAY, CALENDAR, EOM, MONTH_LAG, MONTH_LAG);
    assertEquals("Swap zero-coupon inflation constructor", swap, swapFrom);
  }
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Related Classes of com.opengamma.analytics.financial.instrument.payment.CouponFixedCompoundingDefinition

  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationTest
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinitionTest
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedCompounding
  • com.opengamma.financial.analytics.curve.ZeroCouponInflationNodeConverter
  • com.opengamma.financial.analytics.model.curve.InflationProviderDiscountingFunction$MyCompiledFunctionDefinition
  • org.threeten.bp.LocalDate
  • org.threeten.bp.ZonedDateTime
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