Examples of toDerivative()

Examples of com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition.toDerivative()

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    final double referencePrice = 0.99;
    final String name = "ERU2";
    final LocalDate REFERENCE_DATE = LocalDate.of(2010, 8, 18);
    final ZonedDateTime REFERENCE_DATE_ZONED = ZonedDateTime.of(LocalDateTime.of(REFERENCE_DATE, LocalTime.MIDNIGHT), ZoneOffset.UTC);
    final InterestRateFutureSecurityDefinition eru2Definition = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, EURIBOR3M, noitonal, futuresAccrualFactor, name, calendar);
    final InterestRateFutureSecurity eru2 = eru2Definition.toDerivative(REFERENCE_DATE_ZONED, referencePrice);
    final double factor = MODEL.futuresConvexityFactor(MODEL_PARAMETERS, eru2.getLastTradingTime(), eru2.getFixingPeriodStartTime(), eru2.getFixingPeriodEndTime());
    final double expectedFactor = 1.000079130767980;
    assertEquals("Hull-White one factor: future convexity adjusment factor", expectedFactor, factor, TOLERANCE_RATE);
    // Derivative with respect to volatility parameters
    final int nbSigma = MODEL_PARAMETERS.getVolatility().length;
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Examples of com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationZeroCouponInterpolationDefinition.toDerivative()

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    final ZonedDateTimeDoubleTimeSeries ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
        new ZonedDateTime[] {DateUtils.getUTCDate(2008, 4, 30), DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2011, 5, 31), DateUtils.getUTCDate(2011, 6, 30),
          DateUtils.getUTCDate(2011, 9, 27),
          DateUtils.getUTCDate(2011, 9, 28) }, new double[] {108.23, 108.64, 225.964, 225.722, 200, 200 });

    final CapFloorInflationZeroCouponInterpolation capZeroCouponUsd = (CapFloorInflationZeroCouponInterpolation) capZeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
    final CouponInflationZeroCouponInterpolation zeroCouponUsd = (CouponInflationZeroCouponInterpolation) zeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
    final MultipleCurrencyAmount pvInflation = METHOD.presentValue(capZeroCouponUsd, blackInflation);
    final double df = marketSeason.getCurve(zeroCouponUsd.getCurrency()).getDiscountFactor(zeroCouponUsd.getPaymentTime());
    final double indexMonth0 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
    final double indexMonth1 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
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Examples of com.opengamma.analytics.financial.instrument.inflation.CouponInflationDefinition.toDerivative()

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    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final CouponInflationDefinition nominalLast = getNominal().getNthPayment(getNominal().getNumberOfPayments() - 1);
    final ZonedDateTime settlementDate2 = settlementDate.isBefore(date) ? date : settlementDate;
    final double notional = nominalLast.getNotional() * (settlementDate.isBefore(date) ? 0.0 : 1.0);
    final CouponInflationDefinition settlementDefinition = nominalLast.with(settlementDate2, nominalLast.getAccrualStartDate(), settlementDate2, notional);
    final CouponInflation settlement = (CouponInflation) settlementDefinition.toDerivative(date);
    return new BondCapitalIndexedSecurity<>(nominalStandard, couponStandard, settlementTime, accruedInterest, factorToNextCoupon, _yieldConvention, _couponPerYear, settlement, _indexStartValue,
        getIssuer());
  }

  /**
 
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Examples of com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationDefinition.toDerivative()

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    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settleDate, Period.ofYears(tenorYear), BUSINESS_DAY, CALENDAR_USD, USDLIBOR3M.isEndOfMonth());
    final double weightSettle = 1.0 - (settleDate.getDayOfMonth() - 1.0) / settleDate.toLocalDate().lengthOfMonth();
    final double indexStart = weightSettle * 225.964 + (1 - weightSettle) * 225.722;
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponUsdDefinition = CouponInflationZeroCouponInterpolationDefinition.from(settleDate, paymentDate, notional, PRICE_INDEX_US,
        MONTH_LAG, MONTH_LAG, false);
    final CouponInflationZeroCouponInterpolation zeroCouponUsd = (CouponInflationZeroCouponInterpolation) zeroCouponUsdDefinition.toDerivative(PRICING_DATE, priceIndexTS);
    final MultipleCurrencyAmount pvInflation = METHOD.presentValue(zeroCouponUsd, marketSeason.getInflationProvider());
    final double df = MARKET.getCurve(zeroCouponUsd.getCurrency()).getDiscountFactor(zeroCouponUsd.getPaymentTime());
    final double indexMonth0 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
    final double indexMonth1 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
    final double finalIndex = zeroCouponUsdDefinition.getWeight() * indexMonth0 + (1 - zeroCouponUsdDefinition.getWeight()) * indexMonth1;
 
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Examples of com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition.toDerivative()

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      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_EXTRAPOLATION_CAP.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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Examples of com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition.toDerivative()

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      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final double pvShiftUp = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftUp, SABR_BUNDLE).getAmount();
      final double pvShiftDo = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftDo, SABR_BUNDLE).getAmount();
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_EXTRAPOLATION_CAP.presentValueStrikeSensitivity(cmsCap, SABR_BUNDLE);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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Examples of com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition.toDerivative()

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      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_CAP_CMS_SABR.presentValue(cmsCapShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_CAP_CMS_SABR.presentValue(cmsCapShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_CAP_CMS_SABR.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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Examples of com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition.toDerivative()

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      final CapFloorCMSDefinition cmsFloorDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, !IS_CAP);
      final CapFloorCMS cmsFloor = (CapFloorCMS) cmsFloorDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsFloorShiftUp = (CapFloorCMS) cmsFloorShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsFloorShiftDo = (CapFloorCMS) cmsFloorShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_CAP_CMS_SABR.presentValue(cmsFloorShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_CAP_CMS_SABR.presentValue(cmsFloorShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_CAP_CMS_SABR.presentValueStrikeSensitivity(cmsFloor, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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Examples of com.opengamma.analytics.financial.instrument.payment.CapFloorIborDefinition.toDerivative()

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    final MultipleCurrencyAmount priceCapLong = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_LONG, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceCapShort = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_SHORT, SABR_MULTICURVES);
    assertEquals("Cap/floor IA - SABR pricing: long-short parity", priceCapLong.getAmount(EUR), -priceCapShort.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount priceIbor = METHOD_SABREXTRA_COUPON_IA.presentValue(COUPON_IBOR, SABR_MULTICURVES);
    final CapFloorIborDefinition cap0Definition = new CapFloorIborDefinition(EUR, END_ACCRUAL_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, EURIBOR6M, 0.0, IS_CAP, CALENDAR);
    final CapFloorIbor cap0 = (CapFloorIbor) cap0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount priceCap0 = METHOD_SABREXTRA_CAP_IA.presentValue(cap0, SABR_MULTICURVES);
    assertEquals("Coupon IA - SABR pricing: coupon = cap with strike 0", priceCap0.getAmount(EUR), priceIbor.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount priceFloorShort = METHOD_SABREXTRA_CAP_IA.presentValue(FLOOR_SHORT, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceStrike = COUPON_STRIKE.accept(PVDC, MULTICURVES);
    assertEquals("Cap/floor IA - SABR pricing: cap/floor parity", priceIbor.getAmount(EUR) - priceStrike.getAmount(EUR), priceCapLong.getAmount(EUR) + priceFloorShort.getAmount(EUR), 5.0E+4);
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Examples of com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONDefinition.toDerivative()

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    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final CouponArithmeticAverageONDefinition ffDefinition = CouponArithmeticAverageONDefinition.from(FEDFUND, ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, TENOR_1Y, USDLIBOR3M, NYC), TENOR_3M,
          NOTIONAL, 0, USDLIBOR3M.getBusinessDayConvention(), true, NYC);
      final CouponArithmeticAverageON ff = ffDefinition.toDerivative(REFERENCE_DATE);
      pvExact = METHOD_FF_EXACT.presentValue(ff, MULTICURVES);
      //      pvExact = METHOD_FF_EXACT.presentValue(FEDFUND_CPN_3MFWD, MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println("CouponArithmeticAverageONDiscountingMethod: " + nbTest + " pv Arithmetic Average ON - Exact: " + (endTime - startTime) + " ms");
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