Examples of BondFutureOptionPremiumTransaction

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

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    ArgumentChecker.notNull(yieldCurveNames, "Curve names");
    ArgumentChecker.isTrue(yieldCurveNames.length > 1, "At least two curves required: credit and discounting");
    final BondFutureOptionPremiumSecurity option = _underlyingOption.toDerivative(date, yieldCurveNames);
    final double premiumTime = TimeCalculator.getTimeBetween(date, _premium.getPaymentDate());
    if (premiumTime < 0) { // Premium payment in the past: it is represented by a 0 payment today.
      return new BondFutureOptionPremiumTransaction(option, _quantity, new PaymentFixed(getCurrency(), 0, 0, yieldCurveNames[1]));
    }
    return new BondFutureOptionPremiumTransaction(option, _quantity, _premium.toDerivative(date, yieldCurveNames[1]));
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction

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  public BondFutureOptionPremiumTransaction toDerivative(final ZonedDateTime date) {
    ArgumentChecker.notNull(date, "Reference date");
    final BondFutureOptionPremiumSecurity option = _underlyingOption.toDerivative(date);
    final double premiumTime = TimeCalculator.getTimeBetween(date, _premium.getPaymentDate());
    if (premiumTime < 0) { // Premium payment in the past: it is represented by a 0 payment today.
      return new BondFutureOptionPremiumTransaction(option, _quantity, new PaymentFixed(getCurrency(), 0, 0));
    }
    return new BondFutureOptionPremiumTransaction(option, _quantity, _premium.toDerivative(date));
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction

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   */
  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeBeforeSettleDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 16);
    final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
    final PaymentFixed premium = FVU1_C120_TR_DEFINITION.getPremium().toDerivative(referenceDate, CURVE_NAMES[1]);
    final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate,
        CURVE_NAMES), QUANTITY, premium);
    assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction

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   */
  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeOnSettleDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 17);
    final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
    final PaymentFixed premium = FVU1_C120_TR_DEFINITION.getPremium().toDerivative(referenceDate, CURVE_NAMES[1]);
    final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate,
        CURVE_NAMES), QUANTITY, premium);
    assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction

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   */
  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeAfterSettleDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 20);
    final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate, CURVE_NAMES);
    final PaymentFixed premium = new PaymentFixed(FVU1_C120_TR_DEFINITION.getCurrency(), 0.0, 0.0, CURVE_NAMES[1]);
    final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate,
        CURVE_NAMES), QUANTITY, premium);
    assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction

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   * Tests the toDerivative method.
   */
  @Test
  public void toDerivativeBeforeSettle() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 16);
    final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate);
    final PaymentFixed premium = FVU1_C120_TR_DEFINITION.getPremium().toDerivative(referenceDate);
    final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate), QUANTITY, premium);
    assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction

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   * Tests the toDerivative method.
   */
  @Test
  public void toDerivativeOnSettle() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 17);
    final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate);
    final PaymentFixed premium = FVU1_C120_TR_DEFINITION.getPremium().toDerivative(referenceDate);
    final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate), QUANTITY, premium);
    assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction

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   * Tests the toDerivative method.
   */
  @Test
  public void toDerivativeAfterSettle() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 20);
    final BondFutureOptionPremiumTransaction transactionConverted = FVU1_C120_TR_DEFINITION.toDerivative(referenceDate);
    final PaymentFixed premium = new PaymentFixed(FVU1_C120_TR_DEFINITION.getCurrency(), 0.0, 0.0);
    final BondFutureOptionPremiumTransaction transactionExpected = new BondFutureOptionPremiumTransaction(FVU1_C120_SEC_DEFINITION.toDerivative(referenceDate), QUANTITY, premium);
    assertEquals("Bond future option premium security definition: toDerivative", transactionExpected, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction

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    if (futurePriceObject == null) {
      throw new OpenGammaRuntimeException("Could not get bond future price for " + security.getUnderlyingId());
    }
    final double futurePrice = (Double) futurePriceObject;
    final InstrumentDefinition<?> bondFutureOptionDefinition = _converter.convert(trade);
    final BondFutureOptionPremiumTransaction bondFutureOption = (BondFutureOptionPremiumTransaction) _dataConverter.convert(security, bondFutureOptionDefinition, now, fullCurveNames, timeSeries);
    final ValueProperties properties = getResultProperties(desiredValue, security);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(getVolatilitySurface(volatilitySurface.getSurface(), callPrice, putPrice, futurePrice, bondFutureOption,
        curves), curves);
    return getResult(bondFutureOption, data, curveCalculationConfig, spec, inputs, desiredValues, security);
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