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

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

513
514
515
516
517
518
519
520
521
522
523
    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");
View Full Code Here
46
47
48
49
50
51
52
   * The quantity is modified to be in line with the required notional.
   */
  @Override
  public InterestRateFutureTransactionDefinition generateInstrument(final ZonedDateTime date, final double marketQuote, final double notional, final GeneratorAttribute attribute) {
    final int quantity = (int) Math.ceil(notional / _security.getNotional());
    return new InterestRateFutureTransactionDefinition(_security, date, marketQuote, quantity);
  }
View Full Code Here
41
42
43
44
45
46
47
48
49
      tradeDate = trade.getTradeDate().atTime(trade.getTradeTime().toLocalTime()).atZone(zone);
    } else {
      tradeDate = trade.getTradeDate().atTime(LocalTime.NOON).atZone(ZoneOffset.UTC);
    }
    final double tradePrice = trade.getPremium() == null ? 0 : trade.getPremium(); //TODO remove the default value and throw an exception
    return new InterestRateFutureTransactionDefinition(securityDefinition, tradeDate, tradePrice, quantity);
    //tradeDate, tradePrice, securityDefinition.getLastTradingDate(), securityDefinition.getIborIndex(),
    //securityDefinition.getNotional(), securityDefinition.getPaymentAccrualFactor(), quantity, securityDefinition.getName());
  }
View Full Code Here
129
130
131
132
133
134
135
136
137
138
139
            return futures;
          }

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

          @Override
          public InstrumentDefinitionWithData<?, Double> visitIndexFutureDefinition(final IndexFutureDefinition futures) {
            return new IndexFutureDefinition(futures.getExpiryDate(), futures.getSettlementDate(), tradePrice, futures.getCurrency(), futures.getUnitAmount(), futures.getUnderlying());
View Full Code Here
109
110
111
112
113
114
115
116
117
118
119
      }

      @SuppressWarnings("synthetic-access")
      @Override
      public InstrumentDefinitionWithData<?, Double> visitInterestRateFutureSecurity(final InterestRateFutureSecurity security) {
        final InterestRateFutureTransactionDefinition securityDefinition = (InterestRateFutureTransactionDefinition) security.accept(_irFutureConverter);
        return securityDefinition;
      }

      @SuppressWarnings("synthetic-access")
      @Override
View Full Code Here
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    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);
  }
View Full Code Here
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    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);
  }
View Full Code Here
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    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);
  }
View Full Code Here
206
207
208
209
210
211
212
213
214
215
216
217
          final InstrumentDefinition<?> definition = _securityConverter.visit(security);
          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);
              InstrumentDerivative unitNotionalDerivative = _definitionConverter.convert(security, unitNotional, now, curveNamesForSecurity, timeSeries);
              unitNotionalDerivative = unitNotionalDerivative.accept(RateReplacingInterestRateDerivativeVisitor.getInstance(), marketValue);
              derivatives.add(unitNotionalDerivative);
              initialRatesGuess.add(1 - marketValue);
            } else {
View Full Code Here
45
46
47
48
49
50
51
52
53
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 7, 17);
    final double price = 0.99;
    final double notional = 2000000;
    final int quantity = (int) Math.ceil(notional / NOTIONAL);
    final GeneratorAttribute attribute = new GeneratorAttribute();
    final InterestRateFutureTransactionDefinition insGenerated = GENERATOR_FUTURES_ED.generateInstrument(referenceDate, price, notional, attribute);
    final InterestRateFutureTransactionDefinition insExpected = new InterestRateFutureTransactionDefinition(FUTURES_DEFINITION, referenceDate, price, quantity);
    assertEquals("Generator Deposit: generate instrument", insExpected, insGenerated);
  }
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.