Package com.opengamma.analytics.financial.interestrate.payments.derivative

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.PaymentFixed.accept()

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    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final PaymentFixed nominalAtSettlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), bond.getBondTransaction().getCoupon()
        .getNthPayment(0).getNotional() *
        bond.getQuantity());
    final double pvNominalAtSettlement = nominalAtSettlement.accept(PVDC, issuerMulticurves.getMulticurveProvider()).getAmount(ccy);
    final MulticurveSensitivity pvcsNominalAtSettlement = nominalAtSettlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider()).getSensitivity(ccy);
    final MulticurveSensitivity pvcsBond = presentValueSensitivity(bond, issuerMulticurves).getSensitivity(ccy);
    final double pvBond = presentValue(bond, issuerMulticurves).getAmount(ccy);
    return pvcsBond.multipliedBy(-1 / pvNominalAtSettlement).plus(pvcsNominalAtSettlement.multipliedBy(pvBond / (pvNominalAtSettlement * pvNominalAtSettlement)));
  }
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    final Currency ccy = bond.getBondTransaction().getCurrency();
    final PaymentFixed nominalAtSettlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), bond.getBondTransaction().getCoupon()
        .getNthPayment(0).getNotional() *
        bond.getQuantity());
    final double pvNominalAtSettlement = nominalAtSettlement.accept(PVDC, issuerMulticurves.getMulticurveProvider()).getAmount(ccy);
    final MulticurveSensitivity pvcsNominalAtSettlement = nominalAtSettlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider()).getSensitivity(ccy);
    final MulticurveSensitivity pvcsBond = presentValueSensitivity(bond, issuerMulticurves).getSensitivity(ccy);
    final double pvBond = presentValue(bond, issuerMulticurves).getAmount(ccy);
    return pvcsBond.multipliedBy(-1 / pvNominalAtSettlement).plus(pvcsNominalAtSettlement.multipliedBy(pvBond / (pvNominalAtSettlement * pvNominalAtSettlement)));
  }

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    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final PaymentFixed nominalAtSettlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), bond.getBondTransaction().getCoupon()
        .getNthPayment(0).getNotional() *
        bond.getQuantity());
    final double pvNominalAtSettlement = nominalAtSettlement.accept(PVDC, issuerMulticurves.getMulticurveProvider()).getAmount(ccy);
    final MulticurveSensitivity pvcsNominalAtSettlement = nominalAtSettlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider()).getSensitivity(ccy);
    final MulticurveSensitivity pvcsBond = presentValueSensitivity(bond, issuerMulticurves).getSensitivity(ccy);
    final double pvBond = presentValue(bond, issuerMulticurves).getAmount(ccy);
    return pvcsBond.multipliedBy(-1 / pvNominalAtSettlement).plus(pvcsNominalAtSettlement.multipliedBy(pvBond / (pvNominalAtSettlement * pvNominalAtSettlement)));
  }
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    final Currency ccy = bond.getBondTransaction().getCurrency();
    final PaymentFixed nominalAtSettlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), bond.getBondTransaction().getCoupon()
        .getNthPayment(0).getNotional() *
        bond.getQuantity());
    final double pvNominalAtSettlement = nominalAtSettlement.accept(PVDC, issuerMulticurves.getMulticurveProvider()).getAmount(ccy);
    final MulticurveSensitivity pvcsNominalAtSettlement = nominalAtSettlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider()).getSensitivity(ccy);
    final MulticurveSensitivity pvcsBond = presentValueSensitivity(bond, issuerMulticurves).getSensitivity(ccy);
    final double pvBond = presentValue(bond, issuerMulticurves).getAmount(ccy);
    return pvcsBond.multipliedBy(-1 / pvNominalAtSettlement).plus(pvcsNominalAtSettlement.multipliedBy(pvBond / (pvNominalAtSettlement * pvNominalAtSettlement)));
  }

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    final Annuity<CouponFixed> unitCouponAnnuity = new Annuity<>(unitCoupons);
    final double a = unitCouponAnnuity.accept(PV_CALCULATOR, curves);
    final Map<String, List<DoublesPair>> senseA = unitCouponAnnuity.accept(PV_SENSITIVITY_CALCULATOR, curves);
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final PaymentFixed principlePayment = bond.getNominal().getNthPayment(0);
    final double df = principlePayment.accept(PV_CALCULATOR, curves);
    final double factor = -(1 - df) / a / a;
    for (final String name : curves.getAllNames()) {
      if (senseA.containsKey(name)) {
        final List<DoublesPair> temp = new ArrayList<>();
        final List<DoublesPair> list = senseA.get(name);
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  public void presentValueWithPremium() {
    final double expectedPriceLongPayer = 2419978.690;
    final double premiumAmount = expectedPriceLongPayer / MULTICURVES.getDiscountFactor(EUR, SWAPTION_LONG_PAYER.getSettlementTime());
    final PaymentFixedDefinition premiumDefinition = new PaymentFixedDefinition(EUR, SETTLEMENT_DATE, -premiumAmount);
    final PaymentFixed premium = premiumDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvPremium = premium.accept(PVDC, MULTICURVES);
    final MultipleCurrencyAmount swaptionPV = SWAPTION_LONG_PAYER.accept(PVSSC, SABR_MULTICURVES);
    assertEquals("swaption present value with premium", -expectedPriceLongPayer, pvPremium.getAmount(EUR), TOLERANCE_PV);
    assertEquals("swaption present value with premium", expectedPriceLongPayer, swaptionPV.getAmount(EUR), TOLERANCE_PV);
  }
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    final double eps = 1e-9;
    final double time = 1.23;
    final double amount = 4345.3;
    final PaymentFixed payment = new PaymentFixed(CUR, time, amount, FIVE_PC_CURVE_NAME);

    final Map<String, List<DoublesPair>> sense = payment.accept(PVSC, CURVES);
    assertFalse(sense.containsKey(ZERO_PC_CURVE_NAME));
    final double senseFD = curveSensitvityFDCalculator(payment, PVC, CURVES, FIVE_PC_CURVE_NAME, time);
    assertEquals(senseFD, sense.get(FIVE_PC_CURVE_NAME).get(0).second, eps * amount);
  }

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  public void testFixedPayment() {
    final double time = 1.23;
    final double amount = 4345.3;
    final PaymentFixed payment = new PaymentFixed(CUR, time, amount, FIVE_PC_CURVE_NAME);
    final double expected = amount * CURVES.getCurve(FIVE_PC_CURVE_NAME).getDiscountFactor(time);
    final double pv = payment.accept(PVC, CURVES);
    assertEquals(expected, pv, 1e-8);
  }

  @Test
  public void testFixedCouponPayment() {
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    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double expectedPriceLongPayer = 5107666.869;
    final double premiumAmount = expectedPriceLongPayer / curves.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(SWAPTION_LONG_PAYER.getSettlementTime());
    final PaymentFixedDefinition premiumDefinition = new PaymentFixedDefinition(CUR, SETTLEMENT_DATE, -premiumAmount);
    final PaymentFixed premium = premiumDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double pvPremium = premium.accept(PVC, sabrBundle);
    final double swaptionPV = SWAPTION_LONG_PAYER.accept(PVC, sabrBundle);
    assertEquals("swaption present value with premium", -expectedPriceLongPayer, pvPremium, 1.0E-2);
    assertEquals("swaption present value with premium", expectedPriceLongPayer, swaptionPV, 1.0E-2);
  }
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