Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition.toDerivative()

com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition.toDerivative()
{@inheritDoc} @deprecated Use the method that does not take yield curve names

    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final Coupon[] iborFirstFixed = new Coupon[ibor.getNumberOfPayments()];
    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }

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    final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final IborIndex INDEX = new IborIndex(CUR, indexTenor, settlementDays, dayCount, businessDayConvention, isEOM);
    final AnnuityCouponIborDefinition iborAnnuityDefinition = AnnuityCouponIborDefinition.from(settleDate, Period.ofYears(5), notional, INDEX, !isPayer, CALENDAR);


    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final Annuity<? extends Payment> iborAnnuity1Curve = iborAnnuityDefinition.toDerivative(REFERENCE_DATE, FUNDING_CURVE_NAME, FUNDING_CURVE_NAME);
    final Annuity<? extends Payment> iborAnnuity = iborAnnuityDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);


    //produce a array of strictly ascending times
    final Set<Double> times = new TreeSet<>();
    for (int i = 0; i < iborAnnuity.getNumberOfPayments(); i++) {

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    final IborIndex INDEX = new IborIndex(CUR, indexTenor, settlementDays, dayCount, businessDayConvention, isEOM);
    final AnnuityCouponIborDefinition iborAnnuityDefinition = AnnuityCouponIborDefinition.from(settleDate, Period.ofYears(5), notional, INDEX, !isPayer, CALENDAR);


    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final Annuity<? extends Payment> iborAnnuity1Curve = iborAnnuityDefinition.toDerivative(REFERENCE_DATE, FUNDING_CURVE_NAME, FUNDING_CURVE_NAME);
    final Annuity<? extends Payment> iborAnnuity = iborAnnuityDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);


    //produce a array of strictly ascending times
    final Set<Double> times = new TreeSet<>();
    for (int i = 0; i < iborAnnuity.getNumberOfPayments(); i++) {
      final CouponIbor coupon = (CouponIbor) iborAnnuity.getNthPayment(i);

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    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX_EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX_EURIBOR3M, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final Coupon[] iborFirstFixed = new Coupon[ibor.getNumberOfPayments()];
    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }

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    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final Coupon[] iborFirstFixed = new Coupon[ibor.getNumberOfPayments()];
    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }

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    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final Coupon[] iborFirstFixed = new Coupon[ibor.getNumberOfPayments()];
    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }

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