private double compositionFactorNonCutoff() { if (!nextFixing.isAfter(lastFixingNonCutoff)) { OvernightIndexObservation obs = computation.observeOn(nextFixing); LocalDate startDate = obs.getEffectiveDate(); LocalDate endDate = computation.calculateMaturityFromFixing(lastFixingNonCutoff); double accrualFactor = dayCount.yearFraction(startDate, endDate); double rate = rates.periodRate(obs, endDate); return 1.0d + accrualFactor * rate; } return 1.0d; }
private ObjDoublePair<PointSensitivityBuilder> compositionFactorAndSensitivityNonCutoff() { if (!nextFixing.isAfter(lastFixingNonCutoff)) { OvernightIndexObservation obs = computation.observeOn(nextFixing); LocalDate startDate = obs.getEffectiveDate(); LocalDate endDate = computation.calculateMaturityFromFixing(lastFixingNonCutoff); double accrualFactor = dayCount.yearFraction(startDate, endDate); double rate = rates.periodRate(obs, endDate); PointSensitivityBuilder rateSensitivity = rates.periodRatePointSensitivity(obs, endDate); rateSensitivity = rateSensitivity.multipliedBy(accrualFactor); return ObjDoublePair.of(rateSensitivity, 1.0d + accrualFactor * rate); } return ObjDoublePair.of(PointSensitivityBuilder.none(), 1.0d); }
private ObservationDetails(OvernightCompoundedRateComputation computation, OvernightIndexRates rates) { this.computation = computation; this.rates = rates; this.indexFixingDateSeries = rates.getFixings(); this.dayCount = computation.getIndex().getDayCount(); // Details of the cutoff period this.firstFixing = computation.getStartDate(); this.lastFixingP1 = computation.getEndDate(); this.lastFixing = computation.getFixingCalendar().previous(lastFixingP1); this.cutoffOffset = Math.max(computation.getRateCutOffDays(), 1); this.accrualFactorCutoff = new double[cutoffOffset - 1]; LocalDate currentFixing = lastFixing; for (int i = 0; i < cutoffOffset - 1; i++) { currentFixing = computation.getFixingCalendar().previous(currentFixing); LocalDate effectiveDate = computation.calculateEffectiveFromFixing(currentFixing); LocalDate maturityDate = computation.calculateMaturityFromEffective(effectiveDate); accrualFactorCutoff[i] = dayCount.yearFraction(effectiveDate, maturityDate); } this.lastFixingNonCutoff = currentFixing; LocalDate startUnderlyingPeriod = computation.calculateEffectiveFromFixing(firstFixing); LocalDate endUnderlyingPeriod = computation.calculateMaturityFromFixing(lastFixing); this.accrualFactorTotal = dayCount.yearFraction(startUnderlyingPeriod, endUnderlyingPeriod); }
public void test_calculate() { OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); assertEquals( test.calculateEffectiveFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateEffectiveFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateFixingFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateFixingFromEffective(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculatePublicationFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculatePublicationFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromEffective(date(2016, 2, 24), REF_DATA)); }