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

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

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    final int nbCpn = annuity.getNumberOfPayments();
    final double[] decisionTime = new double[nbCpn];
    final double[][] impactTime = new double[nbCpn][];
    final double[][] impactAmount = new double[nbCpn][];
    for (int loopcpn = 0; loopcpn < nbCpn; loopcpn++) {
      final AnnuityPaymentFixed cfe = annuity.getNthPayment(loopcpn).accept(CFEC, multicurves);
      decisionTime[loopcpn] = annuity.isFixed()[loopcpn] ? 0.0 : ((CouponFloating) annuity.getNthPayment(loopcpn)).getFixingTime();
      impactTime[loopcpn] = new double[cfe.getNumberOfPayments()];
      impactAmount[loopcpn] = new double[cfe.getNumberOfPayments()];
      for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
        impactTime[loopcpn][loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
        impactAmount[loopcpn][loopcf] = cfe.getNthPayment(loopcf).getAmount();
      }
    }
    final DecisionSchedule decision = new DecisionSchedule(decisionTime, impactTime, impactAmount);
    return decision;
  }
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  }

  @Override
  public DecisionScheduleDerivative visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final MulticurveProviderInterface multicurves) {
    final double[] decisionTime = new double[] {swaption.getTimeToExpiry()};
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final double[][] impactTime = new double[1][cfe.getNumberOfPayments()];
    final double[][] impactAmount = new double[1][cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      impactTime[0][loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      impactAmount[0][loopcf] = cfe.getNthPayment(loopcf).getAmount();
    }
    final ArrayList<Map<Double, MulticurveSensitivity>> impactAmountDerivative = new ArrayList<>();
    impactAmountDerivative.add(swaption.getUnderlyingSwap().accept(CFECSC, multicurves));
    final DecisionScheduleDerivative decision = new DecisionScheduleDerivative(decisionTime, impactTime, impactAmount, impactAmountDerivative);
    return decision;
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    final int nbCpn = annuity.getNumberOfPayments();
    final double[] decisionTime = new double[nbCpn];
    final double[][] impactTime = new double[nbCpn][];
    final double[][] impactAmount = new double[nbCpn][];
    for (int loopcpn = 0; loopcpn < nbCpn; loopcpn++) {
      final AnnuityPaymentFixed cfe = annuity.getNthPayment(loopcpn).accept(CFEC, multicurves);
      decisionTime[loopcpn] = annuity.isFixed()[loopcpn] ? 0.0 : ((CouponFloating) annuity.getNthPayment(loopcpn)).getFixingTime();
      impactTime[loopcpn] = new double[cfe.getNumberOfPayments()];
      impactAmount[loopcpn] = new double[cfe.getNumberOfPayments()];
      for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
        impactTime[loopcpn][loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
        impactAmount[loopcpn][loopcf] = cfe.getNthPayment(loopcf).getAmount();
      }
    }
    final ArrayList<Map<Double, MulticurveSensitivity>> impactAmountDerivative = new ArrayList<>();
    for (int loopcpn = 0; loopcpn < nbCpn; loopcpn++) {
      impactAmountDerivative.add(annuity.getNthPayment(loopcpn).accept(CFECSC, multicurves));
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      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 dfPayment = hwData.getCurve(cfeIbor.getDiscountCurve()).getDiscountFactor(cms.getPaymentTime());
    // Integration
    final CMSIntegrant integrant = new CMSIntegrant(discountedCashFlowFixed, alphaFixed, discountedCashFlowIbor, alphaIbor, alphaPayment, cms.getStrike(), (cms.isCap() ? 1.0 : -1.0));
    final double limit = 10.0;
    final double absoluteTolerance = 1.0E-8;
    final double relativeTolerance = 1.0E-9;
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   * Test the present value.
   */
  public void presentValueExplicit() {
    final MultipleCurrencyAmount pv = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, HW_MULTICURVES);
    final double timeToExpiry = SWAPTION_LONG_PAYER.getTimeToExpiry();
    final AnnuityPaymentFixed cfe = CFEC.visitSwap(SWAPTION_LONG_PAYER.getUnderlyingSwap(), MULTICURVES);
    final int numberOfPayments = cfe.getNumberOfPayments();
    final double alpha[] = new double[numberOfPayments];
    final double disccf[] = new double[numberOfPayments];
    for (int loopcf = 0; loopcf < numberOfPayments; loopcf++) {
      alpha[loopcf] = MODEL.alpha(HW_PARAMETERS, 0.0, timeToExpiry, timeToExpiry, cfe.getNthPayment(loopcf).getPaymentTime());
      disccf[loopcf] = MULTICURVES.getDiscountFactor(EUR, cfe.getNthPayment(loopcf).getPaymentTime()) * cfe.getNthPayment(loopcf).getAmount();
    }
    final double kappa = MODEL.kappa(disccf, alpha);
    double pvExpected = 0.0;
    for (int loopcf = 0; loopcf < numberOfPayments; loopcf++) {
      pvExpected += disccf[loopcf] * NORMAL.getCDF(-kappa - alpha[loopcf]);
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  }

  @Override
  public DecisionSchedule visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    final double[] decisionTime = new double[] {swaption.getTimeToExpiry() };
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, curves);
    final double[][] impactTime = new double[1][cfe.getNumberOfPayments()];
    final double[][] impactAmount = new double[1][cfe.getNumberOfPayments()];
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      impactTime[0][loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      impactAmount[0][loopcf] = cfe.getNthPayment(loopcf).getAmount();
    }
    final DecisionSchedule decision = new DecisionSchedule(decisionTime, impactTime, impactAmount);
    return decision;
  }
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  @Test
  public void toDerivativeSettleBeforeFirstFixingDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 7, 7);
    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(referenceDate, SETTLEMENT_DAYS, CALENDAR);
    final BondIborSecurity frn = FRN_DEFINITION.toDerivative(referenceDate, CURVES_NAME);
    final AnnuityPaymentFixed nominal = ((AnnuityPaymentFixedDefinition) FRN_DEFINITION.getNominal()).toDerivative(referenceDate, CURVES_NAME[0]);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) FRN_DEFINITION.getCoupons().toDerivative(referenceDate, CURVES_NAME);
    final double settlementTime = TimeCalculator.getTimeBetween(referenceDate, settlementDate);
    final BondIborSecurity frnExpected = new BondIborSecurity(nominal, coupon, settlementTime, DSC_CURVE_NAME);
    assertEquals("FRN: toDerivative", frnExpected, frn);
  }
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    final DoubleTimeSeries<ZonedDateTime> fixingUSDLibor3M = ImmutableZonedDateTimeDoubleTimeSeries.of(
        new ZonedDateTime[] {DateUtils.getUTCDate(2011, 7, 11),
            DateUtils.getUTCDate(2011, 7, 12), DateUtils.getUTCDate(2011, 7, 13), DateUtils.getUTCDate(2011, 8, 16) },
            new double[] {0.01, 0.05, 0.05, 0.05 }, ZoneOffset.UTC);
    final BondIborSecurity frn = FRN_DEFINITION.toDerivative(referenceDate, fixingUSDLibor3M, CURVES_NAME);
    final AnnuityPaymentFixed nominal = ((AnnuityPaymentFixedDefinition) FRN_DEFINITION.getNominal()).toDerivative(referenceDate, CURVES_NAME[0]);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) FRN_DEFINITION.getCoupons().toDerivative(referenceDate, fixingUSDLibor3M, CURVES_NAME);
    final double settlementTime = TimeCalculator.getTimeBetween(referenceDate, settlementDate);
    final BondIborSecurity frnExpected = new BondIborSecurity(nominal, coupon, settlementTime, DSC_CURVE_NAME);
    assertEquals("FRN: toDerivative", frnExpected, frn);
  }
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  @Test
  public void toDerivativeSettleBeforeFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 7, 7);
    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(referenceDate, SETTLEMENT_DAYS, CALENDAR);
    final BondIborSecurity frn = FRN_DEFINITION.toDerivative(referenceDate);
    final AnnuityPaymentFixed nominal = ((AnnuityPaymentFixedDefinition) FRN_DEFINITION.getNominal()).toDerivative(referenceDate);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) FRN_DEFINITION.getCoupons().toDerivative(referenceDate);
    final double settlementTime = TimeCalculator.getTimeBetween(referenceDate, settlementDate);
    final BondIborSecurity frnExpected = new BondIborSecurity(nominal, coupon, settlementTime);
    assertEquals("FRN: toDerivative", frnExpected, frn);
  }
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    final DoubleTimeSeries<ZonedDateTime> fixingUSDLibor3M = ImmutableZonedDateTimeDoubleTimeSeries.of(
        new ZonedDateTime[] {DateUtils.getUTCDate(2011, 7, 11),
            DateUtils.getUTCDate(2011, 7, 12), DateUtils.getUTCDate(2011, 7, 13), DateUtils.getUTCDate(2011, 8, 16) },
            new double[] {0.01, 0.05, 0.05, 0.05 }, ZoneOffset.UTC);
    final BondIborSecurity frn = FRN_DEFINITION.toDerivative(referenceDate, fixingUSDLibor3M);
    final AnnuityPaymentFixed nominal = ((AnnuityPaymentFixedDefinition) FRN_DEFINITION.getNominal()).toDerivative(referenceDate);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) FRN_DEFINITION.getCoupons().toDerivative(referenceDate, fixingUSDLibor3M);
    final double settlementTime = TimeCalculator.getTimeBetween(referenceDate, settlementDate);
    final BondIborSecurity frnExpected = new BondIborSecurity(nominal, coupon, settlementTime);
    assertEquals("FRN: toDerivative", frnExpected, frn);
  }
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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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