Examples of toDerivative()

Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition.toDerivative()

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        // Implementation note: Ex-dividend period: the next coupon is not received but its date is required for yield calculation
        couponExPeriodArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
      }
    }
    final AnnuityCouponFixedDefinition couponDefinitionExPeriod = new AnnuityCouponFixedDefinition(couponExPeriodArray, getCalendar());
    final AnnuityCouponFixed couponStandard = couponDefinitionExPeriod.toDerivative(date, yieldCurveNames);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(settleTime);
    final double factorSpot = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), settlementDate,
        couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, _couponPerYear);
    final double factorPeriod = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(),
        couponDefinition.getNthPayment(0).getAccrualEndDate(), couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, _couponPerYear);
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Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition.toDerivative()

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    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final Coupon[] iborFirstFixed = new Coupon[ibor.getNumberOfPayments()];
    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
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Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborRatchetDefinition.toDerivative()

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    final double[] mainFixed = new double[] {0.0, 0.0, 0.0};
    final double[] floorFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final double[] capFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final CurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, CUR, CURVES_NAMES[0], BUNDLE_HW);

    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, TARGET, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL,
        FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
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Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityPaymentFixedDefinition.toDerivative()

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    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS, CALENDAR);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE, COUPON_PER_YEAR)
        * NOTIONAL;
 
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Examples of com.opengamma.analytics.financial.instrument.bond.BillTransactionDefinition.toDerivative()

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   * Tests the par spread.
   */
  public void parSpread() {
    final double spread = METHOD_TRANSACTION.parSpread(BILL_TRA, CURVE_BUNDLE);
    final BillTransactionDefinition bill0Definition = BillTransactionDefinition.fromYield(BILL_SEC_DEFINITION, QUANTITY, SETTLE_DATE, YIELD + spread, CALENDAR);
    final BillTransaction bill0 = bill0Definition.toDerivative(REFERENCE_DATE, NAME_CURVES);
    final CurrencyAmount pv0 = METHOD_TRANSACTION.presentValue(bill0, CURVE_BUNDLE);
    assertEquals("Bill Security: discounting method - par spread", 0, pv0.getAmount(), TOLERANCE_PV);
  }

  @Test
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Examples of com.opengamma.analytics.financial.instrument.bond.BillTransactionDefinition.toDerivative()

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   * Tests the par spread.
   */
  public void parSpread() {
    final double spread = METHOD_TRANSACTION.parSpread(BILL_TRA, ISSUER_MULTICURVE);
    final BillTransactionDefinition bill0Definition = BillTransactionDefinition.fromYield(BILL_SEC_DEFINITION, QUANTITY, SETTLE_DATE, YIELD + spread, CALENDAR);
    final BillTransaction bill0 = bill0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = METHOD_TRANSACTION.presentValue(bill0, ISSUER_MULTICURVE);
    assertEquals("Bill Security: discounting method - par spread", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }

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

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

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    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
    BondTradeConverter visitor = new BondTradeConverter(new BondSecurityConverter(holidaySource, conventionSource, regionSource));
    final BondFixedTransactionDefinition definition = visitor.convert(trade);
    BondFixedTransaction derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.presentValueFromCleanPrice(derivative, data, price);
  }

}
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Examples of com.opengamma.analytics.financial.instrument.cash.CashDefinition.toDerivative()

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  public void parRateBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parRate = METHOD_DEPOSIT.parRate(deposit, PROVIDER);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, parRate, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, PROVIDER);
    assertEquals("DepositDefinition: par rate", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }

  @Test
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