Package com.opengamma.analytics.financial.instrument.payment

Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition.toDerivative()

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        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);
  }

  @Test
  public void dirtyPriceFixedExDividend() {
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    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);
  }

  @Test
  public void dirtyPriceFixedExDividend() {
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  public void presentValue() {
    final CurrencyAmount pv = METHOD.presentValue(COUPON, CURVES_BUNDLE);
    final CouponIborDefinition couponIborDefinition = new CouponIborDefinition(CUR, ACCRUAL_END_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, CALENDAR);
    final Payment couponIbor = couponIborDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final CouponFixedDefinition couponFixedDefinition = new CouponFixedDefinition(couponIborDefinition, SPREAD);
    final Payment couponFixed = couponFixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final PresentValueCalculator pvc = PresentValueCalculator.getInstance();
    final double pvIbor = couponIbor.accept(pvc, CURVES_BUNDLE);
    final double pvFixed = couponFixed.accept(pvc, CURVES_BUNDLE);
    assertEquals("Present value by discounting", pvIbor * FACTOR + pvFixed, pv.getAmount());
  }
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