Examples of BondFuture

Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture

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  @Deprecated
  @Override
  public BondFutureOptionPremiumSecurity toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    ArgumentChecker.isTrue(!date.isAfter(_expirationDate), "Date is after expiration date");
    final Double referencePrice = 0.0; // FIXME Bond future should have a "Security" version, without transaction price.
    final BondFuture underlyingFuture = _underlyingFuture.toDerivative(date, referencePrice, yieldCurveNames);
    final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
    return new BondFutureOptionPremiumSecurity(underlyingFuture, expirationTime, _strike, _isCall);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture

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  @Override
  public BondFutureOptionPremiumSecurity toDerivative(final ZonedDateTime date) {
    ArgumentChecker.isTrue(!date.isAfter(_expirationDate), "Date is after expiration date");
    final Double referencePrice = 0.0; // FIXME Bond future should have a "Security" version, without transaction price.
    final BondFuture underlyingFuture = _underlyingFuture.toDerivative(date, referencePrice);
    final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
    return new BondFutureOptionPremiumSecurity(underlyingFuture, expirationTime, _strike, _isCall);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture

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    final BondFixedSecurity[] basket = new BondFixedSecurity[_deliveryBasket.length];
    for (int loopbasket = 0; loopbasket < _deliveryBasket.length; loopbasket++) {
      basket[loopbasket] = _deliveryBasket[loopbasket].toDerivative(valDate, _deliveryLastDate, yieldCurveNames);
    }

    final BondFuture futureDeriv = new BondFuture(lastTradingTime, firstNoticeTime, lastNoticeTime, firstDeliveryTime, lastDeliveryTime, _notional, basket,
        _conversionFactor, referencePrice);
    return futureDeriv;
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture

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    final BondFixedSecurity[] basket = new BondFixedSecurity[_deliveryBasket.length];
    for (int loopbasket = 0; loopbasket < _deliveryBasket.length; loopbasket++) {
      basket[loopbasket] = _deliveryBasket[loopbasket].toDerivative(valDate, _deliveryLastDate);
    }

    final BondFuture futureDeriv = new BondFuture(lastTradingTime, firstNoticeTime, lastNoticeTime, firstDeliveryTime, lastDeliveryTime, _notional, basket,
        _conversionFactor, referencePrice);
    return futureDeriv;
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture

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    final String[] curvesName = {creditCruveName, repoCurveName };
    final BondFixedSecurity[] basket = new BondFixedSecurity[NB_BOND];
    for (int loopbasket = 0; loopbasket < NB_BOND; loopbasket++) {
      basket[loopbasket] = BASKET_DEFINITION[loopbasket].toDerivative(referenceDate, lastDeliveryDate, curvesName);
    }
    final BondFuture futureConverted = FUTURE_DEFINITION.toDerivative(referenceDate, REF_PRICE, curvesName);
    final BondFuture futureExpected = new BondFuture(lastTradingTime, firstNoticeTime, lastNoticeTime, firstDeliveryTime, lastDeliveryTime, NOTIONAL, basket,
        CONVERSION_FACTOR, REF_PRICE);
    assertEquals("Bond future security definition: future conversion", futureExpected, futureConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture

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    final double lastDeliveryTime = actAct.getDayCountFraction(referenceDate, lastDeliveryDate);
    final BondFixedSecurity[] basket = new BondFixedSecurity[NB_BOND];
    for (int loopbasket = 0; loopbasket < NB_BOND; loopbasket++) {
      basket[loopbasket] = BASKET_DEFINITION[loopbasket].toDerivative(referenceDate, lastDeliveryDate);
    }
    final BondFuture futureConverted = FUTURE_DEFINITION.toDerivative(referenceDate, REF_PRICE);
    final BondFuture futureExpected = new BondFuture(lastTradingTime, firstNoticeTime, lastNoticeTime, firstDeliveryTime, lastDeliveryTime, NOTIONAL, basket,
        CONVERSION_FACTOR, REF_PRICE);
    assertEquals("Bond future security definition: future conversion", futureExpected, futureConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture

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    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final BondFutureSecurity security = (BondFutureSecurity) target.getSecurity();
    final BondFutureDefinition definition = (BondFutureDefinition) security.accept(_visitor);
    final Double referencePrice = 0.0; // TODO Futures Refactor
    final String[] curveNames = getCurveNames(desiredValue);
    final BondFuture bondFuture = definition.toDerivative(date, referencePrice, curveNames);
    return calculate(security, bondFuture, getData(desiredValue, inputs, target), target);
  }
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