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

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

94
95
96
97
98
99
100
101
102
103
104
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final YieldCurveBundle bundle = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final InterestRateFutureTransactionDefinition definition = _converter.convert(trade);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final String[] yieldCurveNames = curveNames.length == 1 ? new String[] {curveNames[0], curveNames[0] } : curveNames;
    final String[] curveNamesForSecurity = FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, yieldCurveNames[0], yieldCurveNames[1]);
View Full Code Here
168
169
170
171
172
173
174
175
176
177
178
        if (derivative != null) {
          if (strip.getInstrumentType() == StripInstrumentType.FUTURE) {
            InstrumentDefinition<?> unitNotional;
            if (definition instanceof InterestRateFutureSecurityDefinition) {
              final InterestRateFutureSecurityDefinition securityDefinition = (InterestRateFutureSecurityDefinition) definition;
              unitNotional = new InterestRateFutureTransactionDefinition(securityDefinition, now, marketValue, 1);
            } else {
              unitNotional = ((InterestRateFutureTransactionDefinition) definition).withNewNotionalAndTransactionPrice(1, marketValue);
              // Implementation note: to have the same notional for OTC and futures (and thus not near-singular Jacobian)
            }
            final InstrumentDerivative unitNotionalDerivative = _definitionConverter.convert(security, unitNotional, now, curveNamesForSecurity, timeSeries);
View Full Code Here
162
163
164
165
166
167
168
169
170
171
172
173
        final InstrumentDefinition<?> definition = _securityConverter.visit(security);
        final InstrumentDerivative derivative = _definitionConverter.convert(security, definition, now, curveNamesForSecurity, timeSeries);
        if (derivative != null) {
          if (strip.getInstrumentType() == StripInstrumentType.FUTURE) {
            final InterestRateFutureSecurityDefinition securityDefinition = (InterestRateFutureSecurityDefinition) definition;
            InterestRateFutureTransactionDefinition unitNotional = new InterestRateFutureTransactionDefinition(securityDefinition, now, marketValue, 1);
            unitNotional = unitNotional.withNewNotionalAndTransactionPrice(1, marketValue);
            final InstrumentDerivative unitNotionalDerivative = _definitionConverter.convert(security, unitNotional, now, curveNamesForSecurity, timeSeries);
            derivatives.add(unitNotionalDerivative);
            initialRatesGuess.add(1 - marketValue);
          } else {
            derivatives.add(derivative);
View Full Code Here
130
131
132
133
134
135
136
137
    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;
  }
View Full Code Here
130
131
132
133
134
135
136
137
138
139
140
            return futures;
          }

          @Override
          public InstrumentDefinitionWithData<?, Double> visitInterestRateFutureSecurityDefinition(final InterestRateFutureSecurityDefinition futures) {
            return new InterestRateFutureTransactionDefinition(futures, tradeDate, tradePrice, quantity);
          }

          @Override
          public InstrumentDefinitionWithData<?, Double> visitDeliverableSwapFuturesSecurityDefinition(final SwapFuturesPriceDeliverableSecurityDefinition future) {
            return new SwapFuturesPriceDeliverableTransactionDefinition(future, tradeDate, tradePrice, quantity);
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition

  • com.opengamma.analytics.financial.instrument.index.GeneratorInterestRateFutures
  • com.opengamma.analytics.financial.instrument.index.GeneratorInterestRateFuturesTest
  • com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity
  • com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction
  • com.opengamma.financial.analytics.conversion.FutureSecurityConverterDeprecated
  • com.opengamma.financial.analytics.conversion.FutureTradeConverter
  • com.opengamma.financial.analytics.conversion.FutureTradeConverterDeprecated
  • com.opengamma.financial.analytics.conversion.InterestRateFutureTradeConverter
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.curve.RateFutureNodeConverter
    • 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.