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

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

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   */
  public void toDerivativeFixingOnStartNotYetFixed() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8) },
        new double[] {0.01, 0.01 });
    final Payment cpnConverted = FEDFUND_CPN_3M_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_3M);
    final double[] fixingPeriodTimes = TimeCalculator.getTimeBetween(referenceDate, FEDFUND_CPN_3M_DEF.getFixingPeriodDates());
    final CouponArithmeticAverageON cpnExpected = CouponArithmeticAverageON.from(paymentTime, ACCURAL_FACTOR_3M, NOTIONAL, FEDFUND, fixingPeriodTimes,
        FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors(), 0.0);
    assertEquals("CouponArithmeticAverageON definition: toDerivative", cpnExpected, cpnConverted);
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  public void toDerivativeFixingOnStartFixed() {
    final ZonedDateTime referenceDate = FEDFUND_CPN_3M_DEF.getFixingPeriodDates()[1];
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 18), DateUtils.getUTCDate(2013, 4, 19),
      DateUtils.getUTCDate(2013, 4, 22), DateUtils.getUTCDate(2013, 4, 23) }, new double[] {fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_3M_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_3M);
    final double rateAccrued = fixingRate * FEDFUND_CPN_3M_DEF.getFixingPeriodAccrualFactors()[0];
    final double[] fixingPeriodTimes = new double[FEDFUND_CPN_3M_DEF.getFixingPeriodDates().length - 1];

    for (int loopperiod = 1; loopperiod < FEDFUND_CPN_3M_DEF.getFixingPeriodDates().length; loopperiod++) {
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  public void toDerivativeFixingMiddleNotYetFixed() {
    final ZonedDateTime referenceDate = FEDFUND_CPN_7D_DEF.getFixingPeriodDates()[2];
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 18), DateUtils.getUTCDate(2013, 4, 19),
      DateUtils.getUTCDate(2013, 4, 22), DateUtils.getUTCDate(2013, 4, 23) }, new double[] {fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1];
    final double[] fixingPeriodTimes = new double[FEDFUND_CPN_7D_DEF.getFixingPeriodDates().length - 2];

    for (int loopperiod = 2; loopperiod < FEDFUND_CPN_7D_DEF.getFixingPeriodDates().length; loopperiod++) {
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  public void toDerivativeFixingMiddleFixed() {
    final ZonedDateTime referenceDate = FEDFUND_CPN_7D_DEF.getFixingPeriodDates()[3];
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 18), DateUtils.getUTCDate(2013, 4, 19),
      DateUtils.getUTCDate(2013, 4, 22), DateUtils.getUTCDate(2013, 4, 23) }, new double[] {fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2];
    final double[] fixingPeriodTimes = new double[FEDFUND_CPN_7D_DEF.getFixingPeriodDates().length - 3];

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  public void toDerivativeFixingSecondLastFixed() {
    final ZonedDateTime referenceDate = FEDFUND_CPN_7D_DEF.getFixingPeriodDates()[5].plusDays(1);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 18), DateUtils.getUTCDate(2013, 4, 19),
      DateUtils.getUTCDate(2013, 4, 22), DateUtils.getUTCDate(2013, 4, 23), DateUtils.getUTCDate(2013, 4, 24) }, new double[] {fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];
    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / FEDFUND_CPN_7D_DEF.getPaymentYearFraction());
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  public void toDerivativeFixingLast() {
    final ZonedDateTime referenceDate = FEDFUND_CPN_7D_DEF.getFixingPeriodDates()[5].plusDays(2);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 18), DateUtils.getUTCDate(2013, 4, 19),
      DateUtils.getUTCDate(2013, 4, 22), DateUtils.getUTCDate(2013, 4, 23), DateUtils.getUTCDate(2013, 4, 24) }, new double[] {fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];
    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / FEDFUND_CPN_7D_DEF.getPaymentYearFraction());
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  public void toDerivativeAfterLast() {
    final ZonedDateTime referenceDate = FEDFUND_CPN_7D_DEF.getFixingPeriodDates()[5].plusDays(3);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 18), DateUtils.getUTCDate(2013, 4, 19),
      DateUtils.getUTCDate(2013, 4, 22), DateUtils.getUTCDate(2013, 4, 23), DateUtils.getUTCDate(2013, 4, 24) }, new double[] {fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];
    final CouponFixed cpnExpected = new CouponFixed(Currency.USD, paymentTime, ACCURAL_FACTOR_7D, NOTIONAL, rateAccrued / FEDFUND_CPN_7D_DEF.getPaymentYearFraction());
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    final ZonedDateTime valuationTimeIsNoon = DateUtils.getUTCDate(2013, 7, 22, 12, 0);
    assertTrue("valuationTimeIsNoon used to be after paymentDate, which was midnight. Confirm behaviour", valuationTimeIsNoon.isAfter(FEDFUND_CPN_7D_DEF.getPaymentDate()));
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2013, 4, 18), DateUtils.getUTCDate(2013, 4, 19),
      DateUtils.getUTCDate(2013, 4, 22), DateUtils.getUTCDate(2013, 4, 23), DateUtils.getUTCDate(2013, 4, 24) }, new double[] {fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = FEDFUND_CPN_7D_DEF.toDerivative(valuationTimeIsNoon, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(valuationTimeIsNoon, PAYMENT_DATE_7D);
    final double rateAccrued = fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[0] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[1] + fixingRate *
        FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[2] + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[3]
        + fixingRate * FEDFUND_CPN_7D_DEF.getFixingPeriodAccrualFactors()[4];

 
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    final double paymentTime = actAct.getDayCountFraction(zonedDate, PAYMENT_DATE);
    final String fundingCurve = "Funding";
    final String forwardCurve = "Forward";
    final String[] curves = {fundingCurve, forwardCurve};
    final CouponFixed fra = new CouponFixed(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, (FRA_RATE + shift) - FRA_RATE);
    final Payment convertedFra = fraFixed.toDerivative(referenceFixed, fixingTS, curves);
    assertEquals(convertedFra.equals(fra), true);
  }
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    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(FIXING_DATE, FRA_RATE + shift);
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    final ZonedDateTime zonedDate = ZonedDateTime.of(LocalDateTime.of(referenceFixed.toLocalDate(), LocalTime.MIDNIGHT), ZoneOffset.UTC);
    final double paymentTime = actAct.getDayCountFraction(zonedDate, PAYMENT_DATE);
    final CouponFixed fra = new CouponFixed(CUR, paymentTime, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, (FRA_RATE + shift) - FRA_RATE);
    final Payment convertedFra = fraFixed.toDerivative(referenceFixed, fixingTS);
    assertEquals(convertedFra.equals(fra), true);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.Payment

  • com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborAverageDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborGearingDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONCompoundedDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONDefinitionTest
  • com.opengamma.analytics.financial.interestrate.annuity.ZSpreadCalculator
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