Examples of com.opengamma.analytics.financial.instrument.swap.SwapIborIborDefinition.toDerivative()

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

    final Swap<Coupon, Coupon> swap = SWAP_IBORSPREAD_IBORSPREAD_DEFINITION.toDerivative(referenceDate);
    final double parSpread = swap.accept(PSMQDC, MULTICURVES);
    final SwapIborIborDefinition swap0Definition = new SwapIborIborDefinition(
        AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR3M, SPREAD3 + parSpread, true, NYC),
        AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR6M, SPREAD6, false, NYC));
    final Swap<Coupon, Coupon> swap0 = swap0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv = swap0.accept(PVDC, MULTICURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv.getAmount(swap.getFirstLeg().getCurrency()), 0, TOLERANCE_PV);
  }


  @Test

View Full Code Here

    final Swap<Coupon, Coupon> swap = SWAP_IBORSPREAD_IBORSPREAD_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6);
    final double parSpread = swap.accept(PSMQDC, MULTICURVES);
    final SwapIborIborDefinition swap0Definition = new SwapIborIborDefinition(
        AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR3M, SPREAD3 + parSpread, true, NYC),
        AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR6M, SPREAD6, false, NYC));
    final Swap<Coupon, Coupon> swap0 = swap0Definition.toDerivative(referenceDate, FIXING_TS_3_6);
    final MultipleCurrencyAmount pv = swap0.accept(PVDC, MULTICURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv.getAmount(swap.getFirstLeg().getCurrency()), 0, TOLERANCE_PV);
  }


  @Test

View Full Code Here

    final Swap<? extends Payment, ? extends Payment> swap = new Swap<>((Annuity<Payment>) SWAP_IBOR_IBORSPREAD_DEFINITION.getFirstLeg().toDerivative(referenceDate),
        (Annuity<Payment>) SWAP_IBOR_IBORSPREAD_DEFINITION.getSecondLeg().toDerivative(referenceDate));
    final double parSpread = swap.accept(PSMQDC, MULTICURVES);
    final SwapIborIborDefinition swap0Definition = new SwapIborIborDefinition(AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR3M, parSpread, true, NYC),
        AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR6M, SPREAD6, false, NYC));
    final Swap<Coupon, Coupon> swap0 = swap0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv = swap0.accept(PVDC, MULTICURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv.getAmount(swap.getFirstLeg().getCurrency()), 0, TOLERANCE_PV);
  }


  @Test

View Full Code Here

    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 14);
    final Swap<Coupon, Coupon> swap = SWAP_IBORSPREAD_IBORSPREAD_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
    final double parSpread = swap.accept(PSC, CURVES);
    final SwapIborIborDefinition swap0Definition = new SwapIborIborDefinition(AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR3M, SPREAD3 + parSpread, true, CALENDAR_USD),
        AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR6M, SPREAD6, false, CALENDAR_USD));
    final Swap<Coupon, Coupon> swap0 = swap0Definition.toDerivative(referenceDate, CURVE_NAMES);
    final double pv = swap0.accept(PVC, CURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv, 0, TOLERANCE_PV);
  }


  @Test

View Full Code Here

    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 16);
    final Swap<Coupon, Coupon> swap = SWAP_IBORSPREAD_IBORSPREAD_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final double parSpread = swap.accept(PSC, CURVES);
    final SwapIborIborDefinition swap0Definition = new SwapIborIborDefinition(AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR3M, SPREAD3 + parSpread, true, CALENDAR_USD),
        AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR6M, SPREAD6, false, CALENDAR_USD));
    final Swap<Coupon, Coupon> swap0 = swap0Definition.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final double pv = swap0.accept(PVC, CURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv, 0, TOLERANCE_PV);
  }


  @Test

View Full Code Here

    final Swap<? extends Payment, ? extends Payment> swap = new Swap<>((Annuity<Payment>) SWAP_IBOR_IBORSPREAD_DEFINITION.getFirstLeg().toDerivative(referenceDate, CURVE_NAMES),
        (Annuity<Payment>) SWAP_IBOR_IBORSPREAD_DEFINITION.getSecondLeg().toDerivative(referenceDate, new String[] {CURVE_NAMES[0], CURVE_NAMES[2] }));
    final double parSpread = swap.accept(PSC, CURVES);
    final SwapIborIborDefinition swap0Definition = new SwapIborIborDefinition(AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR3M, parSpread, true, CALENDAR_USD),
        AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR6M, SPREAD6, false, CALENDAR_USD));
    final Swap<Coupon, Coupon> swap0 = swap0Definition.toDerivative(referenceDate, CURVE_NAMES);
    final double pv = swap0.accept(PVC, CURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv, 0, TOLERANCE_PV);
  }


  @Test

View Full Code Here

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