Package com.opengamma.analytics.financial.instrument.annuity

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

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    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS, CALENDAR);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE, COUPON_PER_YEAR)
        * NOTIONAL;
 
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    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS, CALENDAR);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE, COUPON_PER_YEAR)
        * NOTIONAL;
 
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    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G)
        * NOTIONAL_G;
 
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    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G)
        * NOTIONAL_G;
 
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    couponDefinition = couponDefinition.trimBefore(spotDate);
    final CouponFixedDefinition[] couponDefinitionExArray = new CouponFixedDefinition[couponDefinition.getNumberOfPayments()];
    System.arraycopy(couponDefinition.getPayments(), 1, couponDefinitionExArray, 1, couponDefinition.getNumberOfPayments() - 1);
    couponDefinitionExArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
    final AnnuityCouponFixedDefinition couponDefinitionEx = new AnnuityCouponFixedDefinition(couponDefinitionExArray, CALENDAR_G);
    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(referenceDate2, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinitionEx.toDerivative(referenceDate2, CURVES_NAME);
    final double spotTime = ACT_ACT.getDayCountFraction(referenceDate2, spotDate);
    final double accruedInterest = (DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G) - RATE_G / COUPON_PER_YEAR_G)
        * NOTIONAL_G;
 
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    couponDefinition = couponDefinition.trimBefore(spotDate);
    final CouponFixedDefinition[] couponDefinitionExArray = new CouponFixedDefinition[couponDefinition.getNumberOfPayments()];
    System.arraycopy(couponDefinition.getPayments(), 1, couponDefinitionExArray, 1, couponDefinition.getNumberOfPayments() - 1);
    couponDefinitionExArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
    final AnnuityCouponFixedDefinition couponDefinitionEx = new AnnuityCouponFixedDefinition(couponDefinitionExArray, CALENDAR_G);
    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(referenceDate2);
    final AnnuityCouponFixed coupon = couponDefinitionEx.toDerivative(referenceDate2);
    final double spotTime = ACT_ACT.getDayCountFraction(referenceDate2, spotDate);
    final double accruedInterest = (DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G) - RATE_G / COUPON_PER_YEAR_G)
        * NOTIONAL_G;
 
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