Examples of com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition.toDerivative()

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

  @Test
  public void presentValueBuySellParity() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final ForwardRateAgreementDefinition fraDefinitionSell = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, -NOTIONAL,
        FIXING_DATE, INDEX, FRA_RATE, CALENDAR);
    final ForwardRateAgreement fraSell = (ForwardRateAgreement) fraDefinitionSell.toDerivative(REFERENCE_DATE, CURVE_NAME_1);
    final CurrencyAmount pvBuy = FRA_METHOD.presentValue(FRA, curves);
    final CurrencyAmount pvSell = FRA_METHOD.presentValue(fraSell, curves);
    assertEquals("FRA discounting: present value - buy/sell parity", pvSell.getAmount(), -pvBuy.getAmount(), 1.0E-2);
  }

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  public void parSpread() {
    final ForwardRateAgreement fra2 = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, CURVE_NAME_2);
    final double parSpread = FRA_METHOD.parSpread(fra2, CURVES_2);
    final ForwardRateAgreementDefinition fra0Definition = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE,
        INDEX, FRA_RATE + parSpread, CALENDAR);
    final ForwardRateAgreement fra0 = (ForwardRateAgreement) fra0Definition.toDerivative(REFERENCE_DATE, CURVE_NAME_2);
    final double pv0 = fra0.accept(PVC, CURVES_2);
    assertEquals("FRA discounting: par spread", pv0, 0, TOLERANCE_PV);
  }


  @Test

View Full Code Here


  @Test
  public void presentValueBuySellParity() {
    final ForwardRateAgreementDefinition fraDefinitionSell = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, -NOTIONAL,
        FIXING_DATE, INDEX, FRA_RATE, CALENDAR);
    final ForwardRateAgreement fraSell = (ForwardRateAgreement) fraDefinitionSell.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvBuy = FRA_METHOD.presentValue(FRA, PROVIDER);
    final MultipleCurrencyAmount pvSell = FRA_METHOD.presentValue(fraSell, PROVIDER);
    assertEquals("FRA discounting: present value - buy/sell parity", pvSell.getAmount(CUR), -pvBuy.getAmount(CUR), 1.0E-2);
  }

View Full Code Here

  @Test
  public void parSpread() {
    final double parSpread = FRA_METHOD.parSpread(FRA, PROVIDER);
    final ForwardRateAgreementDefinition fra0Definition = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE,
        INDEX, FRA_RATE + parSpread, CALENDAR);
    final ForwardRateAgreement fra0 = (ForwardRateAgreement) fra0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = fra0.accept(PVDC, PROVIDER);
    assertEquals("FRA discounting: par spread", pv0.getAmount(CUR), 0, TOLERANCE_PV);
  }


  @Test

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