Package com.opengamma.analytics.financial.equity.future.derivative

Examples of com.opengamma.analytics.financial.equity.future.derivative.VolatilityIndexFuture

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  @Override
  public VolatilityIndexFuture toDerivative(final ZonedDateTime date) {
    ArgumentChecker.notNull(date, "date");
    final double timeToFixing = TimeCalculator.getTimeBetween(date, getExpiryDate());
    final double timeToDelivery = TimeCalculator.getTimeBetween(date, getSettlementDate());
    final VolatilityIndexFuture newDeriv = new VolatilityIndexFuture(timeToFixing, timeToDelivery, getReferencePrice(), getCurrency(), getUnitAmount());
    return newDeriv;
  }
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    if (referencePrice == null) {
      return toDerivative(date);
    }
    final double timeToFixing = TimeCalculator.getTimeBetween(date, getExpiryDate());
    final double timeToDelivery = TimeCalculator.getTimeBetween(date, getSettlementDate());
    final VolatilityIndexFuture newDeriv = new VolatilityIndexFuture(timeToFixing, timeToDelivery, referencePrice, getCurrency(), getUnitAmount());
    return newDeriv;
  }
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Related Classes of com.opengamma.analytics.financial.equity.future.derivative.VolatilityIndexFuture

  • com.opengamma.analytics.financial.equity.future.definition.VolatilityIndexFutureDefinition
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