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

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


    CPN_FROM_INDEX_DEFINITION.toDerivative(DateUtils.getUTCDate(2012, 8, 25));
  }

  @Test
  public void toDerivativeNoTS() {
    final CouponIborCompounding cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL, USDLIBOR1M, PAYMENT_ACCRUAL_FACTORS,
        FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted2);
  }
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    final double[] fixingPeriodEndTimesLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES), 1, fixingPeriodEndTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodAccrualFactorsLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(FIXING_ACCRUAL_FACTORS, 1, fixingPeriodAccrualFactorsLeft, 0, NB_SUB_PERIOD - 1);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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    final double[] fixingTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_DATES[2]) };
    final double[] fixingPeriodStartTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES[2]) };
    final double[] fixingPeriodEndTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES[2]) };
    final double[] fixingPeriodAccrualFactorsLeft = new double[] {FIXING_ACCRUAL_FACTORS[2] };
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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  }

  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeNoTSDeprecated() {
    final CouponIborCompounding cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, new String[] {DSC_NAME, FWD_NAME });
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL, USDLIBOR1M,
        PAYMENT_ACCRUAL_FACTORS,
        FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, FWD_NAME);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
    final Coupon cpnConverted2 = CPN_FROM_INDEX_DEFINITION.toDerivative(REFERENCE_DATE, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted2);
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    final double[] fixingPeriodEndTimesLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES), 1, fixingPeriodEndTimesLeft, 0, NB_SUB_PERIOD - 1);
    final double[] fixingPeriodAccrualFactorsLeft = new double[NB_SUB_PERIOD - 1];
    System.arraycopy(FIXING_ACCRUAL_FACTORS, 1, fixingPeriodAccrualFactorsLeft, 0, NB_SUB_PERIOD - 1);
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, FWD_NAME);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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    final double[] fixingTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_DATES[2]) };
    final double[] fixingPeriodStartTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, ACCRUAL_START_DATES[2]) };
    final double[] fixingPeriodEndTimesLeft = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_PERIOD_END_DATES[2]) };
    final double[] fixingPeriodAccrualFactorsLeft = new double[] {FIXING_ACCRUAL_FACTORS[2] };
    final Coupon cpnConverted = CPN_FROM_INDEX_DEFINITION.toDerivative(referenceDate, FIXING_TS, new String[] {DSC_NAME, FWD_NAME });
    final CouponIborCompounding cpnExpected = new CouponIborCompounding(USDLIBOR1M.getCurrency(), paymentTime, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, accruedNotional, USDLIBOR1M,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, FWD_NAME);
    assertEquals("CouponIborCompoundedDefinition: toDerivatives", cpnExpected, cpnConverted);
  }
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    final String forwardCurveName = yieldCurveNames[1];
    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final double[] fixingTimes = TimeCalculator.getTimeBetween(dateTime, _fixingDates);
    final double[] fixingPeriodStartTimes = TimeCalculator.getTimeBetween(dateTime, _fixingPeriodStartDates);
    final double[] fixingPeriodEndTimes = TimeCalculator.getTimeBetween(dateTime, _fixingPeriodEndDates);
    return new CouponIborCompounding(getCurrency(), paymentTime, discountingCurveName, getPaymentYearFraction(), getNotional(), getNotional(), _index,
        _paymentAccrualFactors, fixingTimes, fixingPeriodStartTimes, fixingPeriodEndTimes, _fixingPeriodAccrualFactors, forwardCurveName);
  }
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    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingPeriodStartDates), nbFixed, fixingPeriodStartTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodEndTimesLeft = new double[nbSubPeriodLeft];
    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingPeriodEndDates), nbFixed, fixingPeriodEndTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodAccrualFactorsLeft = new double[nbSubPeriodLeft];
    System.arraycopy(_fixingPeriodAccrualFactors, nbFixed, fixingPeriodAccrualFactorsLeft, 0, nbSubPeriodLeft);
    return new CouponIborCompounding(getCurrency(), paymentTime, discountingCurveName, getPaymentYearFraction(), getNotional(), notionalAccrued, _index,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft, forwardCurveName);
  }
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    ArgumentChecker.isTrue(!dateConversion.isAfter(_fixingDates[0].toLocalDate()), "toDerivative without time series should have a date before the first fixing date.");
    final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
    final double[] fixingTimes = TimeCalculator.getTimeBetween(dateTime, _fixingDates);
    final double[] fixingPeriodStartTimes = TimeCalculator.getTimeBetween(dateTime, _fixingPeriodStartDates);
    final double[] fixingPeriodEndTimes = TimeCalculator.getTimeBetween(dateTime, _fixingPeriodEndDates);
    return new CouponIborCompounding(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getNotional(), _index,
        _paymentAccrualFactors, fixingTimes, fixingPeriodStartTimes, fixingPeriodEndTimes, _fixingPeriodAccrualFactors);
  }
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    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingPeriodStartDates), nbFixed, fixingPeriodStartTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodEndTimesLeft = new double[nbSubPeriodLeft];
    System.arraycopy(TimeCalculator.getTimeBetween(dateTime, _fixingPeriodEndDates), nbFixed, fixingPeriodEndTimesLeft, 0, nbSubPeriodLeft);
    final double[] fixingPeriodAccrualFactorsLeft = new double[nbSubPeriodLeft];
    System.arraycopy(_fixingPeriodAccrualFactors, nbFixed, fixingPeriodAccrualFactorsLeft, 0, nbSubPeriodLeft);
    return new CouponIborCompounding(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), notionalAccrued, _index,
        paymentAccrualFactorsLeft, fixingTimesLeft, fixingPeriodStartTimesLeft, fixingPeriodEndTimesLeft, fixingPeriodAccrualFactorsLeft);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborCompounding

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