Package com.opengamma.analytics.financial.interestrate.annuity.derivative

Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed

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    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      alphaFixed[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = hwData.getCurve(swap.getFixedLeg().getNthPayment(loopcf).getFundingCurveName()).getDiscountFactor(swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swap.getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swap.getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swap.getSecondLeg().accept(CFEC, hwData);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = hwData.getCurve(cfeIbor.getDiscountCurve()).getDiscountFactor(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final double alphaPayment = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cms.getPaymentTime());
    final double x0 = -alphaPayment;
    final double a0 = MODEL.swapRate(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor) - cms.getStrike();
    final double a1 = MODEL.swapRateDx1(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
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    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      alphaFixed[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      dfFixed[loopcf] = hwData.getCurve(swap.getFixedLeg().getNthPayment(loopcf).getFundingCurveName()).getDiscountFactor(swap.getFixedLeg().getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowFixed[loopcf] = dfFixed[loopcf] * swap.getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swap.getFixedLeg().getNthPayment(loopcf).getNotional();
    }
    final AnnuityPaymentFixed cfeIbor = swap.getSecondLeg().accept(CFEC, hwData);
    final double[] alphaIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] dfIbor = new double[cfeIbor.getNumberOfPayments()];
    final double[] discountedCashFlowIbor = new double[cfeIbor.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      alphaIbor[loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cfeIbor.getNthPayment(loopcf).getPaymentTime());
      dfIbor[loopcf] = hwData.getCurve(cfeIbor.getDiscountCurve()).getDiscountFactor(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      discountedCashFlowIbor[loopcf] = dfIbor[loopcf] * cfeIbor.getNthPayment(loopcf).getAmount();
    }
    final double alphaPayment = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiryTime, expiryTime, cmsCoupon.getPaymentTime());
    final double x0 = -alphaPayment;
    final double a0 = MODEL.swapRate(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
    final double a2 = MODEL.swapRateDx2(x0, discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor);
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  }

  @Override
  public AnnuityPaymentFixed visitFixedPayment(final PaymentFixed payment, final MulticurveProviderInterface multicurves) {
    ArgumentChecker.notNull(payment, "Payment");
    return new AnnuityPaymentFixed(new PaymentFixed[] {payment});
  }
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  }

  @Override
  public AnnuityPaymentFixed visitCouponFixed(final CouponFixed coupon, final MulticurveProviderInterface multicurves) {
    ArgumentChecker.notNull(coupon, "Coupon");
    return new AnnuityPaymentFixed(new PaymentFixed[] {coupon.toPaymentFixed()});
  }
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    final double paymentTime = payment.getPaymentTime();
    final double beta = (1.0 + payment.getFixingAccrualFactor() * multicurves.getForwardRate(payment.getIndex(), fixingStartTime, fixingEndTime, payment.getFixingAccrualFactor()))
        * multicurves.getDiscountFactor(ccy, paymentTime) / multicurves.getDiscountFactor(ccy, fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, -payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
  }
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    final double beta = (1.0 + payment.getFixingAccrualFactor() * multicurves.getForwardRate(payment.getIndex(), fixingStartTime, fixingEndTime, payment.getFixingAccrualFactor()))
        * multicurves.getDiscountFactor(ccy, paymentTime) / multicurves.getDiscountFactor(ccy, fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, beta * payment.getNotional() * payment.getPaymentYearFraction() / payment.getFixingAccrualFactor());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getNotional() + payment.getSpreadAmount()) * payment.getPaymentYearFraction()
        / payment.getFixingAccrualFactor());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
  }
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        * multicurves.getDiscountFactor(ccy, paymentTime) / multicurves.getDiscountFactor(ccy, fixingStartTime);
    final PaymentFixed paymentStart = new PaymentFixed(payment.getCurrency(), fixingStartTime, payment.getFactor() * beta * payment.getNotional() * payment.getPaymentYearFraction()
        / payment.getFixingAccrualFactor());
    final PaymentFixed paymentEnd = new PaymentFixed(payment.getCurrency(), paymentTime, (-payment.getFactor() / payment.getFixingAccrualFactor() + payment.getSpread()) *
        payment.getPaymentYearFraction() * payment.getNotional());
    return new AnnuityPaymentFixed(new PaymentFixed[] {paymentStart, paymentEnd});
  }
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    ArgumentChecker.notNull(annuity, "Annuity");
    ArgumentChecker.notNull(multicurves, "Multicurves provider");
    final TreeMap<Double, Double> flow = new TreeMap<>();
    final Currency ccy = annuity.getCurrency();
    for (final Payment p : annuity.getPayments()) {
      final AnnuityPaymentFixed cfe = p.accept(this, multicurves);
      for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
        addcf(flow, cfe.getNthPayment(loopcf).getPaymentTime(), cfe.getNthPayment(loopcf).getAmount());
      }
    }
    final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
    int loopcf = 0;
    for (final double time : flow.keySet()) {
      agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time));
    }
    return new AnnuityPaymentFixed(agregatedCfe);
  }
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    ArgumentChecker.notNull(swap, "Swap");
    ArgumentChecker.notNull(multicurves, "Multicurves provider");
    final Currency ccy = swap.getFirstLeg().getCurrency();
    Validate.isTrue(ccy.equals(swap.getSecondLeg().getCurrency()), "Cash flow equivalent available only for single currency swaps.");
    final TreeMap<Double, Double> flow = new TreeMap<>();
    final AnnuityPaymentFixed cfeLeg1 = swap.getFirstLeg().accept(this, multicurves);
    final AnnuityPaymentFixed cfeLeg2 = swap.getSecondLeg().accept(this, multicurves);
    for (final PaymentFixed p : cfeLeg1.getPayments()) {
      flow.put(p.getPaymentTime(), p.getAmount());
    }
    for (final PaymentFixed p : cfeLeg2.getPayments()) {
      addcf(flow, p.getPaymentTime(), p.getAmount());
    }
    final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
    int loopcf = 0;
    for (final double time : flow.keySet()) {
      agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time));
    }
    return new AnnuityPaymentFixed(agregatedCfe);
  }
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  public AnnuityPaymentFixed visitBondFixedSecurity(final BondFixedSecurity bond, final MulticurveProviderInterface multicurves) {
    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.notNull(multicurves, "Multicurves provider");
    final Currency ccy = bond.getCurrency();
    final TreeMap<Double, Double> flow = new TreeMap<>();
    final AnnuityPaymentFixed cfeNom = bond.getNominal().accept(this, multicurves);
    final AnnuityPaymentFixed cfeCpn = bond.getCoupon().accept(this, multicurves);
    for (final PaymentFixed p : cfeNom.getPayments()) {
      flow.put(p.getPaymentTime(), p.getAmount());
    }
    for (final PaymentFixed p : cfeCpn.getPayments()) {
      addcf(flow, p.getPaymentTime(), p.getAmount());
    }
    final PaymentFixed[] agregatedCfe = new PaymentFixed[flow.size()];
    int loopcf = 0;
    for (final double time : flow.keySet()) {
      agregatedCfe[loopcf++] = new PaymentFixed(ccy, time, flow.get(time));
    }
    return new AnnuityPaymentFixed(agregatedCfe);

  }
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Related Classes of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityPaymentFixedDefinition
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityPaymentFixedDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondIborSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondIborSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondIborTransactionDefinition
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDEDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityUSDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondSecurityDiscountingMethodTest
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