Examples of BondFuturesTransaction

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

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    if (_tradeDate.isBefore(date)) { // Transaction was before last margining.
      referencePrice = lastMarginPrice;
    } else { // Transaction is today
      referencePrice = _tradePrice;
    }
    final BondFuturesTransaction futureTransaction = new BondFuturesTransaction(underlyingFuture, _quantity, referencePrice);
    return futureTransaction;
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuturesTransaction

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    if (_tradeDate.isBefore(date)) { // Transaction was before last margining.
      referencePrice = lastMarginPrice;
    } else { // Transaction is today
      referencePrice = _tradePrice;
    }
    final BondFuturesTransaction futureTransaction = new BondFuturesTransaction(underlyingFuture, _quantity, referencePrice);
    return futureTransaction;
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuturesTransaction

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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 21);
    final String creditCruveName = "Credit";
    final String repoCurveName = "Repo";
    final String[] curvesName = {creditCruveName, repoCurveName };
    final double lastMarginPrice = 1.0234;
    final BondFuturesTransaction futureConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, lastMarginPrice, curvesName);
    final BondFuturesSecurity security = FUTURE_DEFINITION.toDerivative(referenceDate, curvesName);
    final BondFuturesTransaction futureConstructed = new BondFuturesTransaction(security, QUANTITY, TRADE_PRICE);
    assertEquals("Bond future transaction definition: to derivative", futureConstructed, futureConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuturesTransaction

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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 22);
    final String creditCruveName = "Credit";
    final String repoCurveName = "Repo";
    final String[] curvesName = {creditCruveName, repoCurveName };
    final double lastMarginPrice = 1.0234;
    final BondFuturesTransaction futureConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, lastMarginPrice, curvesName);
    final BondFuturesSecurity security = FUTURE_DEFINITION.toDerivative(referenceDate, curvesName);
    final BondFuturesTransaction futureConstructed = new BondFuturesTransaction(security, QUANTITY, lastMarginPrice);
    assertEquals("Bond future transaction definition: to derivative", futureConstructed, futureConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuturesTransaction

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   * Tests the toDerivative method.
   */
  public void toDerivativeOnTradeDate() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 21);
    final double lastMarginPrice = 1.0234;
    final BondFuturesTransaction futureConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, lastMarginPrice);
    final BondFuturesSecurity security = FUTURE_DEFINITION.toDerivative(referenceDate);
    final BondFuturesTransaction futureConstructed = new BondFuturesTransaction(security, QUANTITY, TRADE_PRICE);
    assertEquals("Bond future transaction definition: to derivative", futureConstructed, futureConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.BondFuturesTransaction

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   * Tests the toDerivative method.
   */
  public void toDerivativeAfterTradeDate() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 6, 22);
    final double lastMarginPrice = 1.0234;
    final BondFuturesTransaction futureConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, lastMarginPrice);
    final BondFuturesSecurity security = FUTURE_DEFINITION.toDerivative(referenceDate);
    final BondFuturesTransaction futureConstructed = new BondFuturesTransaction(security, QUANTITY, lastMarginPrice);
    assertEquals("Bond future transaction definition: to derivative", futureConstructed, futureConverted);
  }
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