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

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

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   * The quantity is selected to be in line with the required nominal.
   */
  @Override
  public SwapFuturesPriceDeliverableTransactionDefinition generateInstrument(final ZonedDateTime date, final double marketQuote, final double notional, final GeneratorAttribute attribute) {
    final int quantity = (int) Math.ceil(notional / _security.getNotional());
    return new SwapFuturesPriceDeliverableTransactionDefinition(_security, date, marketQuote, quantity);
  }
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    final int spotLagIndex = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, indexConvention.getName());
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", fixedLegConvention.getPaymentTenor().getPeriod(), fixedLegConvention.getDayCount(), iborIndex, calendar);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(deliveryDate, maturityTenor.getPeriod(), generator, notional, 0.0, false); //FIXME: rate of underlying?
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(lastTradeDate, underlying, notional);
    return new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, _valuationTime, price, 1);
  }
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    final int spotLagIndex = 2;
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, "USD 3m Libor");
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", Period.ofMonths(6), ACT_360, iborIndex, CALENDAR);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(DateUtils.getUTCDate(2013, 6, 19), Period.ofYears(10), generator, 1, rate, false);
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), underlying, 1);
    final SwapFuturesPriceDeliverableTransactionDefinition transaction = new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, NOW, price, 1);
    assertEquals(transaction, definition);
  }
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            return new InterestRateFutureTransactionDefinition(futures, tradeDate, tradePrice, quantity);
          }

          @Override
          public InstrumentDefinitionWithData<?, Double> visitDeliverableSwapFuturesSecurityDefinition(final SwapFuturesPriceDeliverableSecurityDefinition future) {
            return new SwapFuturesPriceDeliverableTransactionDefinition(future, 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());
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Related Classes of com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableTransactionDefinition

  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFuturesDeliverable
  • com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableSecurity
  • com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableTransaction
  • com.opengamma.financial.analytics.conversion.FutureTradeConverter
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.curve.DeliverableSwapFutureNodeConverter
  • org.threeten.bp.LocalDate
  • com.opengamma.analytics.financial.ExpiredException
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