Package com.opengamma.analytics.financial.instrument.bond

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition.toDerivative()

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  @Test
  public void presentValueFixedExDividend() {
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_UK, ISSUER_MULTICURVES);
    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(GBP, MATURITY_DATE_UK, START_ACCRUAL_DATE_UK, PAYMENT_TENOR_UK, RATE_UK, SETTLEMENT_DAYS_UK, NOTIONAL_UK,
        0, CALENDAR_UK, DAY_COUNT_UK, BUSINESS_DAY_UK, YIELD_CONVENTION_UK, IS_EOM_UK, ISSUER_UK, "RepoType");
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3);
    final MultipleCurrencyAmount pvNoEx = METHOD_BOND_SECURITY.presentValue(BondNoEx, ISSUER_MULTICURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_UK.getCoupons().getNthPayment(17);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, GBP, ISSUER_UK);
    final MultipleCurrencyAmount pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3).accept(PVDC, multicurvesDecorated);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx.getAmount(GBP) - pvCpn.getAmount(GBP), pv.getAmount(GBP), TOLERANCE_PV);
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  @Test
  public void presentValueFixedExDividend() {
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_G, CURVES);
    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(CUR_G, MATURITY_DATE_G, START_ACCRUAL_DATE_G, PAYMENT_TENOR_G, RATE_G, SETTLEMENT_DAYS_G, NOTIONAL_G, 0,
        CALENDAR_G, DAY_COUNT_G, BUSINESS_DAY_G, YIELD_CONVENTION_G, IS_EOM_G, ISSUER_G, REPO_TYPE_G);
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3, CURVES_NAME);
    final double pvNoEx = METHOD.presentValue(BondNoEx, CURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_G.getCoupons().getNthPayment(17);
    final double pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3, CURVES_NAME).accept(PVC, CURVES);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx - pvCpn, pv, 1.0E-6);
  }
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    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
    BondSecurityConverter visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bond.accept(visitor);
    BondFixedSecurity derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.zSpreadFromCurvesAndClean(derivative, data, price);
  }

}
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    final String riskFreeCurveConfig = desiredValue.getConstraint(PROPERTY_RISK_FREE_CURVE_CONFIG);
    final String creditCurveConfig = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE_CONFIG);
    final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, riskFreeCurveConfig, creditCurveConfig, target);
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get());
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bondSecurity.accept(getConverter());
    final BondFixedSecurity bond = definition.toDerivative(date, creditCurveName, riskFreeCurveName);
    return Sets.newHashSet(new ComputedValue(resultSpec, bond.accept(getCalculator(), data)));
    // Remark: MH - 9-May-2013: factor 100 removed.
  }

  @Override
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    final Double cleanPrice = (Double) cleanPriceObject;
    final String creditCurveName = riskFreeCurveName;
    final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, curveName);
    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PRESENT_VALUE_Z_SPREAD_SENSITIVITY, target.toSpecification(), properties.get());
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) security.accept(_visitor);
    final BondFixedSecurity bond = definition.toDerivative(date, curveName, riskFreeCurveName);
    final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
    final YieldAndDiscountCurve riskFreeCurve = (YieldAndDiscountCurve) riskFreeCurveObject;
    final YieldCurveBundle data = new YieldCurveBundle(new String[] {curveName, riskFreeCurveName}, new YieldAndDiscountCurve[] {curve, riskFreeCurve});
    return Sets.newHashSet(new ComputedValue(resultSpec, CALCULATOR.presentValueZSpreadSensitivityFromCurvesAndClean(bond, data, cleanPrice)));
  }
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    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
    BondSecurityConverter visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) security.accept(visitor);
    BondFixedSecurity derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.zSpreadFromCurvesAndClean(derivative, data, price);
  }

}
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    final String creditCurveName = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE);
    final String creditCurveConfig = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE_CONFIG);
    final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, riskFreeCurveConfig, creditCurveConfig);
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get());
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bondSecurity.accept(getConverter());
    final BondFixedSecurity bond = definition.toDerivative(date, creditCurveName, riskFreeCurveName);
    return Sets.newHashSet(new ComputedValue(resultSpec, bond.accept(getCalculator(), data)));
  }

  @Override
  protected Double getData(final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
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