Package com.opengamma.analytics.financial.instrument.bond

Examples of com.opengamma.analytics.financial.instrument.bond.BillTransactionDefinition

147
148
149
150
151
152
153
154
155
156
  /**
   * Tests the par spread.
   */
  public void parSpread() {
    final double spread = METHOD_TRANSACTION.parSpread(BILL_TRA, CURVE_BUNDLE);
    final BillTransactionDefinition bill0Definition = BillTransactionDefinition.fromYield(BILL_SEC_DEFINITION, QUANTITY, SETTLE_DATE, YIELD + spread, CALENDAR);
    final BillTransaction bill0 = bill0Definition.toDerivative(REFERENCE_DATE, NAME_CURVES);
    final CurrencyAmount pv0 = METHOD_TRANSACTION.presentValue(bill0, CURVE_BUNDLE);
    assertEquals("Bill Security: discounting method - par spread", 0, pv0.getAmount(), TOLERANCE_PV);
  }
View Full Code Here
130
131
132
133
134
135
136
137
138
139
  /**
   * Tests the par spread.
   */
  public void parSpread() {
    final double spread = METHOD_TRANSACTION.parSpread(BILL_TRA, ISSUER_MULTICURVE);
    final BillTransactionDefinition bill0Definition = BillTransactionDefinition.fromYield(BILL_SEC_DEFINITION, QUANTITY, SETTLE_DATE, YIELD + spread, CALENDAR);
    final BillTransaction bill0 = bill0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = METHOD_TRANSACTION.presentValue(bill0, ISSUER_MULTICURVE);
    assertEquals("Bill Security: discounting method - par spread", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }
View Full Code Here
56
57
58
59
60
61
62
63
64
65
  public void generateInstrument() {
    final double marketQuote = -0.0001;
    final double notional = 123000;
    final double quantity = 123;
    final GeneratorAttribute attribute = new GeneratorAttribute();
    final BillTransactionDefinition billGenerated = GENERATOR_BILL.generateInstrument(REFERENCE_DATE, marketQuote, notional, attribute);
    final ZonedDateTime dettleDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, SETTLEMENT_DAYS, CALENDAR);
    final BillTransactionDefinition billExpected = BillTransactionDefinition.fromYield(BILL_BEL_SEC_DEFINITION, quantity, dettleDate, marketQuote, CALENDAR);
    assertEquals("Bill Generator: generate instrument", billExpected, billGenerated);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.instrument.bond.BillTransactionDefinition

  • com.opengamma.analytics.financial.instrument.index.GeneratorBillTest
  • com.opengamma.analytics.financial.interestrate.bond.definition.BillSecurity
  • com.opengamma.analytics.financial.interestrate.bond.definition.BillTransaction
  • com.opengamma.analytics.financial.interestrate.bond.method.BillTransactionDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.provider.BillTransactionDiscountingMethodTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.