Package com.opengamma.analytics.financial.commodity.derivative

Examples of com.opengamma.analytics.financial.commodity.derivative.MetalForward

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  public void testToDerivative() {
    MetalForwardDefinition first = new MetalForwardDefinition(EXPIRY_DATE, AN_UNDERLYING, 100., null, null, 1000., "tonnes", SettlementType.CASH, 0, Currency.GBP, SETTLEMENT_DATE);
    MetalForwardDefinition second = new MetalForwardDefinition(EXPIRY_DATE, AN_UNDERLYING, 100., FIRST_DELIVERY_DATE, LAST_DELIVERY_DATE, 1000., "tonnes", SettlementType.PHYSICAL, 0, Currency.GBP,
        SETTLEMENT_DATE);

    MetalForward firstDerivative = first.toDerivative(A_DATE);
    MetalForward secondDerivative = second.toDerivative(A_DATE);
    assertEquals(firstDerivative.getAmount(), 1000.);
    assertEquals(firstDerivative.getUnitAmount(), 100.);
    assertEquals(firstDerivative.getUnitName(), "tonnes");
    assertEquals(firstDerivative.getExpiry(), 0.0027397260273972603);
    assertNull(firstDerivative.getFirstDeliveryDate());
    assertNull(firstDerivative.getLastDeliveryDate());
    assertEquals(firstDerivative.getSettlementType(), SettlementType.CASH);
    assertEquals(firstDerivative.getUnderlying(), AN_UNDERLYING);
    assertEquals(secondDerivative.getFirstDeliveryDate(), FIRST_DELIVERY_DATE);
    assertEquals(secondDerivative.getLastDeliveryDate(), LAST_DELIVERY_DATE);
    assertEquals(secondDerivative.getSettlementType(), SettlementType.PHYSICAL);

    MetalForward firstDerivative2 = new MetalForward(0.0027397260273972603, AN_UNDERLYING, 100, null, null, 1000, "tonnes", SettlementType.CASH, 1.0035032562317538, 0, Currency.GBP);
    assertEquals(firstDerivative.hashCode(), firstDerivative2.hashCode());
    assertEquals(firstDerivative, firstDerivative2);
  }
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  @Override
  public MetalForward toDerivative(final ZonedDateTime date) {
    ArgumentChecker.inOrderOrEqual(date, this.getExpiryDate(), "date", "expiry date");
    final double timeToFixing = TimeCalculator.getTimeBetween(date, this.getExpiryDate());
    final double timeToSettlement = TimeCalculator.getTimeBetween(date, this.getSettlementDate());
    return new MetalForward(timeToFixing, getUnderlying(), getUnitAmount(), getFirstDeliveryDate(), getLastDeliveryDate(), getAmount(), getUnitName(), getSettlementType(),
        timeToSettlement, getReferencePrice(), getCurrency());
  }
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  @Override
  public MetalForward toDerivative(final ZonedDateTime date, final Double referencePrice) {
    ArgumentChecker.inOrderOrEqual(date, this.getExpiryDate(), "date", "expiry date");
    final double timeToFixing = TimeCalculator.getTimeBetween(date, this.getExpiryDate());
    final double timeToSettlement = TimeCalculator.getTimeBetween(date, this.getSettlementDate());
    return new MetalForward(timeToFixing, getUnderlying(), getUnitAmount(), getFirstDeliveryDate(), getLastDeliveryDate(), getAmount(), getUnitName(), getSettlementType(), timeToSettlement,
        referencePrice.doubleValue(), getCurrency());
  }
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Related Classes of com.opengamma.analytics.financial.commodity.derivative.MetalForward

  • com.opengamma.analytics.financial.commodity.definition.MetalForwardDefinition
  • com.opengamma.analytics.financial.commodity.definition.MetalForwardDefinitionTest
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