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

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

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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 16);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8),
      DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12), DateUtils.getUTCDate(2011, 9, 13), DateUtils.getUTCDate(2011, 9, 14), DateUtils.getUTCDate(2011, 9, 15) }, new double[] {
      fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
        (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[1])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[2]) * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[3])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[4]);
 
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 19);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8),
      DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12), DateUtils.getUTCDate(2011, 9, 13), DateUtils.getUTCDate(2011, 9, 14), DateUtils.getUTCDate(2011, 9, 15) }, new double[] {
      fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
        (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[1])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[2]) * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[3])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[4]);
 
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    assertTrue("valuationTimeIsNoon used to be after paymentDate, which was midnight. Confirm behaviour", valuationTimeIsNoon.isAfter(EONIA_COUPON_DEFINITION.getPaymentDate()));
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8),
      DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12), DateUtils.getUTCDate(2011, 9, 13), DateUtils.getUTCDate(2011, 9, 14), DateUtils.getUTCDate(2011, 9, 15) }, new double[] {
      fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(valuationTimeIsNoon, fixingTS, curvesNames);
    final double paymentTime = TimeCalculator.getTimeBetween(valuationTimeIsNoon, EUR_PAYMENT_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
        (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[1])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[2]) * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[3])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[4]);
 
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 16);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8),
      DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12), DateUtils.getUTCDate(2011, 9, 13), DateUtils.getUTCDate(2011, 9, 14), DateUtils.getUTCDate(2011, 9, 15) }, new double[] {
      fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
        (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[1])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[2]) * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[3])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[4]);
 
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 19);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8),
      DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12), DateUtils.getUTCDate(2011, 9, 13), DateUtils.getUTCDate(2011, 9, 14), DateUtils.getUTCDate(2011, 9, 15) }, new double[] {
      fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, EUR_PAYMENT_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
        (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[1])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[2]) * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[3])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[4]);
 
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    assertTrue("valuationTimeIsNoon used to be after paymentDate, which was midnight. Confirm behaviour", valuationTimeIsNoon.isAfter(EONIA_COUPON_DEFINITION.getPaymentDate()));
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8),
      DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12), DateUtils.getUTCDate(2011, 9, 13), DateUtils.getUTCDate(2011, 9, 14), DateUtils.getUTCDate(2011, 9, 15) }, new double[] {
      fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate, fixingRate });
    final Payment cpnConverted = EONIA_COUPON_DEFINITION.toDerivative(valuationTimeIsNoon, fixingTS);
    final double paymentTime = TimeCalculator.getTimeBetween(valuationTimeIsNoon, EUR_PAYMENT_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]) *
        (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[1])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[2]) * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[3])
        * (1 + fixingRate * EONIA_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[4]);
 
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 12);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8) },
        new double[] {
          fixingRate, fixingRate });
    final Payment cpnConverted = OIS_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    final ZonedDateTime startFixingLeft = DateUtils.getUTCDate(2011, 9, 9);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, USD_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, USD_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL;
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    final String[] curvesNames = new String[] {"Funding", "Forward" };
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 12);
    final ZonedDateTime[] fixingZDTs = {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8), DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12) };
    final double[] fixingRates = {0.01, 0.011, 0.012, 0.13 };
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(fixingZDTs, fixingRates);
    final Payment cpnConverted = OIS_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS, curvesNames);
    final ZonedDateTime startFixingLeft = DateUtils.getUTCDate(2011, 9, 12);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, USD_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, USD_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRates[2] * OIS_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]);
 
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 12);
    final double fixingRate = 0.01;
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8) },
        new double[] {
          fixingRate, fixingRate });
    final Payment cpnConverted = OIS_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final ZonedDateTime startFixingLeft = DateUtils.getUTCDate(2011, 9, 9);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, USD_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, USD_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL;
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  public void toDerivativeUSDFixingOnFirst() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 9, 12);
    final ZonedDateTime[] fixingZDTs = {DateUtils.getUTCDate(2011, 9, 7), DateUtils.getUTCDate(2011, 9, 8), DateUtils.getUTCDate(2011, 9, 9), DateUtils.getUTCDate(2011, 9, 12) };
    final double[] fixingRates = {0.01, 0.011, 0.012, 0.13 };
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(fixingZDTs, fixingRates);
    final Payment cpnConverted = OIS_COUPON_DEFINITION.toDerivative(referenceDate, fixingTS);
    final ZonedDateTime startFixingLeft = DateUtils.getUTCDate(2011, 9, 12);
    final double paymentTime = TimeCalculator.getTimeBetween(referenceDate, USD_PAYMENT_DATE);
    final double fixingStartTime = TimeCalculator.getTimeBetween(referenceDate, startFixingLeft);
    final double fixingEndTime = TimeCalculator.getTimeBetween(referenceDate, USD_END_ACCRUAL_DATE);
    final double notionalIncreased = NOTIONAL * (1 + fixingRates[2] * OIS_COUPON_DEFINITION.getFixingPeriodAccrualFactor()[0]);
 
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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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