Examples of toDerivative()

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

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

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   * Tests the present value.
   */
  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);
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Examples of com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinition.toDerivative()

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    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final PaymentFixedDefinition nominalLast = getNominal().getNthPayment(getNominal().getNumberOfPayments() - 1);
    final ZonedDateTime settlementDate2 = settlementDate.isBefore(date) ? date : settlementDate;
    final double notional = settlementDate.isBefore(date) ? 0.0 : 1.0;
    final PaymentFixedDefinition settlementDefinition = new PaymentFixedDefinition(nominalLast.getCurrency(), settlementDate2, notional);
    final PaymentFixed settlement = settlementDefinition.toDerivative(date);
    return new BondInterestIndexedSecurity<>(nominalStandard, couponStandard, settlementTime, accruedInterest, factorToNextCoupon, _yieldConvention, _couponPerYear, settlement, getIssuer(),
        _priceIndex);
  }

  /**
 
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Examples of com.opengamma.analytics.financial.instrument.payment.PaymentFixedDefinition.toDerivative()

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  //REVIEW: the method that this is testing (one that took an array of InstrumentDerivative has gone - leaving this test in for now
  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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Examples of com.opengamma.analytics.financial.instrument.swap.SwapDefinition.toDerivative()

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    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final GeneratorAttributeFX attr6Mx5Y = new GeneratorAttributeFX(Period.ofMonths(6), Period.ofYears(5), FX_MATRIX); //TODO Check dates swap
    final double notional = 100000;
    final SwapDefinition swapDefinition = JPYLIBOR3MEURIBOR3M.generateInstrument(NOW, spreadJPYEUR, notional, attr6Mx5Y);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW);
    final ParameterSensitivityParameterCalculator<MulticurveProviderInterface> PSC = new ParameterSensitivityParameterCalculator<>(PVCSDC);
    final MarketQuoteSensitivityBlockCalculator<MulticurveProviderInterface> MQSC = new MarketQuoteSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
    //    int t = 0;
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedCompoundedONCompoundedDefinition.toDerivative()

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  @Test
  public void forward() {
    final double forward = METHOD_SWAP.forward(SWAP_REC, CURVES);
    final SwapFixedCompoundedONCompoundedDefinition swap0Definition = SwapFixedCompoundedONCompoundedDefinition
        .from(SETTLE_DATE, SWAP_TENOR, NOTIONAL, GENERATOR_OIS_BRL, forward, false);
    final double pv0 = swap0Definition.toDerivative(REFERENCE_DATE, CURVES_NAME[0], CURVES_NAME[0]).accept(PVC, CURVES);
    assertEquals("SwapFixedCompoundingONCompoundingDiscountingMethod: forward", 0.0, pv0, TOLERANCE_PV);
  }

  @Test
  public void forwardModified() {
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition.toDerivative()

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    final InstrumentDerivative[] swap = new InstrumentDerivative[nbSwap];

    for (int loops = 0; loops < nbSwap; loops++) {
      final double rate = RATE_FIXED - 0.0050 + loops * BP1;
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, USD6MLIBOR3M, NOTIONAL, rate, true);
      swap[loops] = swapDefinition.toDerivative(referenceDate);
    }

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      for (int loops = 0; loops < nbSwap; loops++) {
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinition.toDerivative()

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    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final double notional = 100000;
    final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
    final SwapFixedInflationZeroCouponDefinition swapDefinition = GENERATOR_INFALTION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW, new ZonedDateTimeDoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY});
    final ParameterInflationSensitivityParameterCalculator<InflationProviderInterface> PSC = new ParameterInflationSensitivityParameterCalculator<>(PVCSDIC);
    final MarketQuoteInflationSensitivityBlockCalculator<InflationProviderInterface> MQSC = new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
  }
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedONDefinition.toDerivative()

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    double totalValue = 0.0;

    startTime = System.currentTimeMillis();
    oidUsd5YDefinition = SwapFixedONDefinition.from(START_ACCRUAL_DATE, tenor, NOTIONAL, OIS_USD_GENERATOR, USD_FIXED_RATE, IS_PAYER);
    ois = oidUsd5YDefinition.toDerivative(referenceDate, CURVES_NAMES_2[0], CURVES_NAMES_2[0]);
    endTime = System.currentTimeMillis();
    System.out.println("OIS swap " + tenor + " (construction): " + (endTime - startTime) + " ms");

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
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