Examples of BillTransaction

com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction
Describes a (Treasury) Bill transaction.

Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction

    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 0.01 unit for a 1 bp move.
    final double deltaShift = 1.0E-6;
    // Credit curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    BillTransaction billBumped = BILL_TRA_DEFINITION.toDerivative(REFERENCE_DATE, NAME_CURVES[0], bumpedCurveName);
    final double[] nodeTimesCre = new double[] {billBumped.getBillPurchased().getEndTime() };
    final double[] sensi = SensitivityFiniteDifference.curveSensitivity(billBumped, CURVE_BUNDLE, NAME_CURVES[1], bumpedCurveName, nodeTimesCre, deltaShift, METHOD_TRANSACTION);
    final List<DoublesPair> sensiPv = pvcsComputed.getSensitivities().get(NAME_CURVES[1]);
    for (int loopnode = 0; loopnode < sensi.length; loopnode++) {
      final DoublesPair pairPv = sensiPv.get(loopnode);
      assertEquals("Bill Security: curve sensitivity - Node " + loopnode, nodeTimesCre[loopnode], pairPv.getFirst(), 1E-8);
      AssertJUnit.assertEquals("Bill Security: curve sensitivity", pairPv.second, sensi[loopnode], deltaTolerancePrice);
    }
    // Discounting curve sensitivity
    billBumped = BILL_TRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurveName, NAME_CURVES[1]);
    final double[] nodeTimesDsc = new double[] {billBumped.getBillPurchased().getSettlementTime() };
    final double[] sensiDsc = SensitivityFiniteDifference.curveSensitivity(billBumped, CURVE_BUNDLE, NAME_CURVES[0], bumpedCurveName, nodeTimesDsc, deltaShift, METHOD_TRANSACTION);
    final List<DoublesPair> sensiDscPv = pvcsComputed.getSensitivities().get(NAME_CURVES[0]);
    for (int loopnode = 0; loopnode < sensiDsc.length; loopnode++) {
      final DoublesPair pairPv = sensiDscPv.get(loopnode);
      assertEquals("Bill Security: curve sensitivity - Node " + loopnode, nodeTimesDsc[loopnode], pairPv.getFirst(), 1E-8);

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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction

   * 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);
  }

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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction

    assertEquals("Bill Transaction: par spread sensitivity", 1, pscsComputed.getSensitivities().get(NAME_CURVES[1]).size());
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 0.01 unit for a 1 bp move.
    final double deltaShift = 1.0E-6;
    // Credit curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final BillTransaction billBumped = BILL_TRA_DEFINITION.toDerivative(REFERENCE_DATE, NAME_CURVES[0], bumpedCurveName);
    final double[] nodeTimesDsc = new double[] {billBumped.getBillPurchased().getSettlementTime() };
    final List<DoublesPair> sensiDscFD = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(BILL_TRA, PSMQC, CURVE_BUNDLE, NAME_CURVES[0], nodeTimesDsc, deltaShift);
    final List<DoublesPair> sensiDscComputed = pscsComputed.getSensitivities().get(NAME_CURVES[0]);
    assertTrue("Bill Transaction: par spread curve sensitivity - dsc", InterestRateCurveSensitivityUtils.compare(sensiDscFD, sensiDscComputed, TOLERANCE_SPREAD_DELTA));
    final double[] nodeTimesCre = new double[] {billBumped.getBillPurchased().getEndTime() };
    final List<DoublesPair> sensiFwdFD = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(BILL_TRA, PSMQC, CURVE_BUNDLE, NAME_CURVES[1], nodeTimesCre, deltaShift);
    final List<DoublesPair> sensiFwdComputed = pscsComputed.getSensitivities().get(NAME_CURVES[1]);
    assertTrue("Bill Transaction: par spread curve sensitivity - fwd", InterestRateCurveSensitivityUtils.compare(sensiFwdFD, sensiFwdComputed, TOLERANCE_SPREAD_DELTA));
  }

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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction

   * 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);
  }

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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction

    ArgumentChecker.notNull(date, "Reference date");
    ArgumentChecker.notNull(yieldCurveNames, "Yield curve names");
    final BillSecurity purchased = _underlying.toDerivative(date, _settlementDate, yieldCurveNames);
    final BillSecurity standard = _underlying.toDerivative(date, yieldCurveNames);
    final double amount = (_settlementDate.isBefore(date)) ? 0.0 : _settlementAmount;
    return new BillTransaction(purchased, _quantity, amount, standard);
  }

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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction

  public BillTransaction toDerivative(final ZonedDateTime date) {
    ArgumentChecker.notNull(date, "Reference date");
    final BillSecurity purchased = _underlying.toDerivative(date, _settlementDate);
    final BillSecurity standard = _underlying.toDerivative(date);
    final double amount = (_settlementDate.isBefore(date)) ? 0.0 : _settlementAmount;
    return new BillTransaction(purchased, _quantity, amount, standard);
  }

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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction

  /**
   * Tests the toDerivative methods.
   */
  public void toDerivativeStandardDeprecated() {
    final ZonedDateTime referenceDateStandard = ScheduleCalculator.getAdjustedDate(SETTLE_DATE, -SETTLEMENT_DAYS, CALENDAR);
    final BillTransaction transactionConverted1 = BILL_TRA_DEFINITION.toDerivative(referenceDateStandard, DSC_NAME, CREDIT_NAME);
    final BillSecurity purchased1 = BILL_SEC_DEFINITION.toDerivative(referenceDateStandard, SETTLE_DATE, DSC_NAME, CREDIT_NAME);
    final BillSecurity standard1 = BILL_SEC_DEFINITION.toDerivative(referenceDateStandard, DSC_NAME, CREDIT_NAME);
    final BillTransaction transactionExpected1 = new BillTransaction(purchased1, QUANTITY, SETTLE_AMOUT, standard1);
    assertEquals("Bill Transaction: toDerivatives", transactionExpected1, transactionConverted1);
  }

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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction

  /**
   * Tests the toDerivative methods.
   */
  public void toDerivativeEarlyDeprecated() {
    final ZonedDateTime referenceDateEarly = ScheduleCalculator.getAdjustedDate(SETTLE_DATE, -(SETTLEMENT_DAYS + 1), CALENDAR);
    final BillTransaction transactionConverted2 = BILL_TRA_DEFINITION.toDerivative(referenceDateEarly, DSC_NAME, CREDIT_NAME);
    final BillSecurity purchased2 = BILL_SEC_DEFINITION.toDerivative(referenceDateEarly, SETTLE_DATE, DSC_NAME, CREDIT_NAME);
    final BillSecurity standard2 = BILL_SEC_DEFINITION.toDerivative(referenceDateEarly, DSC_NAME, CREDIT_NAME);
    final BillTransaction transactionExpected2 = new BillTransaction(purchased2, QUANTITY, SETTLE_AMOUT, standard2);
    assertEquals("Bill Transaction: toDerivatives", transactionExpected2, transactionConverted2);
  }

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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction

  /**
   * Tests the toDerivative methods.
   */
  public void toDerivativeAtSettleDeprecated() {
    final ZonedDateTime referenceDate = SETTLE_DATE;
    final BillTransaction transactionConverted = BILL_TRA_DEFINITION.toDerivative(referenceDate, DSC_NAME, CREDIT_NAME);
    final BillSecurity purchased = BILL_SEC_DEFINITION.toDerivative(referenceDate, SETTLE_DATE, DSC_NAME, CREDIT_NAME);
    final BillSecurity standard = BILL_SEC_DEFINITION.toDerivative(referenceDate, DSC_NAME, CREDIT_NAME);
    final BillTransaction transactionExpected = new BillTransaction(purchased, QUANTITY, SETTLE_AMOUT, standard);
    assertEquals("Bill Transaction: toDerivatives", transactionExpected, transactionConverted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction

  /**
   * Tests the toDerivative methods.
   */
  public void toDerivativeBetweenSettleAndMaturityDeprecated() {
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(SETTLE_DATE, SETTLEMENT_DAYS, CALENDAR);
    final BillTransaction transactionConverted = BILL_TRA_DEFINITION.toDerivative(referenceDate, DSC_NAME, CREDIT_NAME);
    final BillSecurity purchased = BILL_SEC_DEFINITION.toDerivative(referenceDate, SETTLE_DATE, DSC_NAME, CREDIT_NAME);
    final BillSecurity standard = BILL_SEC_DEFINITION.toDerivative(referenceDate, DSC_NAME, CREDIT_NAME);
    final BillTransaction transactionExpected = new BillTransaction(purchased, QUANTITY, 0.0, standard);
    assertEquals("Bill Transaction: toDerivatives", transactionExpected, transactionConverted);
  }

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