Package com.opengamma.analytics.financial.instrument.future

Examples of com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition

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    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();
    final ZoneId timeZone = startDate.getZone();
    final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), regionCalendar), time, timeZone);
    final InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(expiryDate, iborIndex, 1, paymentAccrualFactor, "", fixingCalendar);
    final InterestRateFutureTransactionDefinition transactionDefinition = new InterestRateFutureTransactionDefinition(securityDefinition, _valuationTime, price, 1);
    //return transactionDefinition;

    final Expiry expiry = new Expiry(expiryDate);
    return new InterestRateFutureSecurity(expiry, "TRADING_EXCHANGE", "SETTLEMENT_EXCHANGE", currency, _amount, _identifier, "CATEGORY");
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  }

  public InterestRateFutureTransactionDefinition convert(final Trade trade) {
    Validate.notNull(trade, "trade");
    Validate.isTrue(trade.getSecurity() instanceof InterestRateFutureSecurity, "Can only handle trades with security type InterestRateFutureSecurity");
    final InterestRateFutureSecurityDefinition securityDefinition = _securityConverter.visitInterestRateFutureSecurity((InterestRateFutureSecurity) trade.getSecurity());
    // REVIEW: Setting this quantity to one so that we don't double-count the number of trades when the position scaling takes place
    final int quantity = trade.getQuantity().intValue();
    ZonedDateTime tradeDate;
    if (trade.getTradeTime() != null) {
      final ZoneId zone = trade.getTradeTime().getOffset();
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    // REVIEW Andrew 2012-01-17 -- This call to getSingle is not correct as the resolution time of the view cycle will not be considered
    final InterestRateFutureSecurity underlyingSecurity = ((InterestRateFutureSecurity) _securitySource.getSingle(ExternalIdBundle.of(underlyingIdentifier)));
    if (underlyingSecurity == null) {
      throw new OpenGammaRuntimeException("Underlying security " + underlyingIdentifier + " was not found in database");
    }
    final InterestRateFutureSecurityDefinition underlyingFuture = _underlyingConverter.visitInterestRateFutureSecurity(underlyingSecurity);
    final ZonedDateTime expirationDate = security.getExpiry().getExpiry();
    final double strike = security.getStrike();
    final boolean isCall = security.getOptionType() == OptionType.CALL ? true : false;
    final boolean isMargined = security.isMargined();
    if (isMargined) {
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    // REVIEW Andrew 2012-01-17 -- This call to getSingle is not correct as the resolution time of the view cycle will not be considered
    final InterestRateFutureSecurity underlyingSecurity = ((InterestRateFutureSecurity) _securitySource.getSingle(ExternalIdBundle.of(underlyingIdentifier)));
    if (underlyingSecurity == null) {
      throw new OpenGammaRuntimeException("Underlying security " + underlyingIdentifier + " was not found in database");
    }
    final InterestRateFutureSecurityDefinition underlyingFuture = _underlyingConverter.visitInterestRateFutureSecurity(underlyingSecurity);
    final ZonedDateTime expirationDate = security.getExpiry().getExpiry();
    final double strike = security.getStrike();
    final boolean isCall = security.getOptionType() == OptionType.CALL ? true : false;
    final boolean isMargined = security.isMargined();
    if (isMargined) {
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    final IborIndex index = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 3m Libor");
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = futureNode.accept(converter);
    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), index, 1, 0.25, "", CALENDAR);
    InterestRateFutureTransactionDefinition expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(1, Tenor.TWO_MONTHS, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 9, 16), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(4, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2014, 3, 17), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(5, Tenor.ONE_YEAR, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2015, 6, 15), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
  }
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    final IborIndex index = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 3m Libor");
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = futureNode.accept(converter);
    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 5, 13), index, 1, 0.25, "", CALENDAR);
    InterestRateFutureTransactionDefinition expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(1, Tenor.TWO_MONTHS, Tenor.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 7, 15), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(4, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 8, 19), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(5, Tenor.ONE_YEAR, Tenor.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2014, 9, 15), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
  }
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    final IborIndex index = new IborIndex(Currency.USD, Tenor.ONE_MONTH.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 1m Libor");
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = futureNode.accept(converter);
    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), index, 1, accrual, "", CALENDAR);
    InterestRateFutureTransactionDefinition expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(1, Tenor.TWO_MONTHS, Tenor.THREE_MONTHS, Tenor.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 9, 16), index, 1, accrual, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(4, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2014, 3, 17), index, 1, accrual, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(5, Tenor.ONE_YEAR, Tenor.THREE_MONTHS, Tenor.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2015, 6, 15), index, 1, accrual, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
  }
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    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, ExternalSchemes.currencyRegionId(currency));
    final double paymentAccrualFactor = getAccrualFactor(iborConvention.getPeriod());
    final IborIndex iborIndex = new IborIndex(currency, iborConvention.getPeriod(), iborConvention.getSettlementDays(), iborConvention.getDayCount(),
        iborConvention.getBusinessDayConvention(), iborConvention.isEOMConvention());
    final double notional = security.getUnitAmount() / paymentAccrualFactor;
    return new InterestRateFutureSecurityDefinition(lastTradeDate, iborIndex, notional, paymentAccrualFactor, security.getName(), calendar);
  }
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    final double futuresAccrualFactor = 0.25;
    final double referencePrice = 0.99;
    final String name = "ERU2";
    final LocalDate REFERENCE_DATE = LocalDate.of(2010, 8, 18);
    final ZonedDateTime REFERENCE_DATE_ZONED = ZonedDateTime.of(LocalDateTime.of(REFERENCE_DATE, LocalTime.MIDNIGHT), ZoneOffset.UTC);
    final InterestRateFutureSecurityDefinition eru2Definition = new InterestRateFutureSecurityDefinition(LAST_TRADING_DATE, EURIBOR3M, noitonal, futuresAccrualFactor, name, calendar);
    final InterestRateFutureSecurity eru2 = eru2Definition.toDerivative(REFERENCE_DATE_ZONED, referencePrice);
    final double factor = MODEL.futuresConvexityFactor(MODEL_PARAMETERS, eru2.getLastTradingTime(), eru2.getFixingPeriodStartTime(), eru2.getFixingPeriodEndTime());
    final double expectedFactor = 1.000079130767980;
    assertEquals("Hull-White one factor: future convexity adjusment factor", expectedFactor, factor, TOLERANCE_RATE);
    // Derivative with respect to volatility parameters
    final int nbSigma = MODEL_PARAMETERS.getVolatility().length;
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    final double paymentAccrualFactor = getAccrualFactor(period);
    final int spotLag = iborIndexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, period, spotLag, iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
    final double notional = security.getUnitAmount() / paymentAccrualFactor;
    return new InterestRateFutureSecurityDefinition(lastTradeDate, iborIndex, notional, paymentAccrualFactor, security.getName(), calendar);
  }
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Related Classes of com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition

  • com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity
  • com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorPiecewiseConstantInterestRateModelTest
  • com.opengamma.financial.analytics.conversion.InterestRateFutureOptionSecurityConverter
  • com.opengamma.financial.analytics.conversion.InterestRateFutureOptionSecurityConverterDeprecated
  • com.opengamma.financial.analytics.conversion.InterestRateFutureSecurityConverter
  • com.opengamma.financial.analytics.conversion.InterestRateFutureSecurityConverterDeprecated
  • com.opengamma.financial.analytics.conversion.InterestRateFutureTradeConverter
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.curve.RateFutureNodeConverter
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodFunction
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