Package com.opengamma.analytics.financial.instrument.index

Examples of com.opengamma.analytics.financial.instrument.index.IndexON

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      }
      final Map<IndexON, YieldAndDiscountCurve> forwardONCurves = new LinkedHashMap<>();
      final List<FudgeField> indexONFields = message.getAllByName(INDEX_ON_FIELD);
      final List<FudgeField> forwardONCurveFields = message.getAllByName(OVERNIGHT_CURVE_FIELD);
      for (int i = 0; i < currencyFields.size(); i++) {
        final IndexON index = deserializer.fudgeMsgToObject(IndexON.class, (FudgeMsg) indexONFields.get(i).getValue());
        final YieldAndDiscountCurve curve = deserializer.fudgeMsgToObject(YieldAndDiscountCurve.class, (FudgeMsg) forwardONCurveFields.get(i).getValue());
        forwardONCurves.put(index, curve);
      }
      final FXMatrix fxMatrix = deserializer.fieldValueToObject(FXMatrix.class, message.getByName(FX_MATRIX_FIELD));
      return new MulticurveProviderDiscount(discountingCurves, forwardIborCurves, forwardONCurves, fxMatrix);
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      }
      final Map<IndexON, YieldAndDiscountCurve> forwardONCurves = new LinkedHashMap<>();
      final List<FudgeField> indexONFields = message.getAllByName(INDEX_ON_FIELD);
      final List<FudgeField> forwardONCurveFields = message.getAllByName(FORWARD_OVERNIGHT_CURVE_FIELD);
      for (int i = 0; i < currencyFields.size(); i++) {
        final IndexON index = deserializer.fudgeMsgToObject(IndexON.class, (FudgeMsg) indexONFields.get(i).getValue());
        final YieldAndDiscountCurve curve = deserializer.fudgeMsgToObject(YieldAndDiscountCurve.class, (FudgeMsg) forwardONCurveFields.get(i).getValue());
        forwardONCurves.put(index, curve);
      }
      final FXMatrix fxMatrix = deserializer.fieldValueToObject(FXMatrix.class, message.getByName(FX_MATRIX_FIELD));
      return new MulticurveProviderForward(discountingCurves, forwardIborCurves, forwardONCurves, fxMatrix);
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    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get interest rate future convention with id " + ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE));
    }
    final OvernightIndexConvention overnightIndexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, convention.getIndexConvention());
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getExchangeCalendar());
    final IndexON index = new IndexON(overnightIndexConvention.getName(), currency, overnightIndexConvention.getDayCount(), overnightIndexConvention.getPublicationLag());
    final double paymentAccrualFactor = 1 / 12.; //TODO should not be hard-coded
    final double notional = security.getUnitAmount() / paymentAccrualFactor;
    return FederalFundsFutureSecurityDefinition.from(lastTradeDate, index, notional, paymentAccrualFactor, security.getName(), calendar);
  }
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    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get interest rate future convention with id " + ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE));
    }
    final OvernightIndexConvention overnightIndexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, convention.getIndexConvention());
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getExchangeCalendar());
    final IndexON index = new IndexON(overnightIndexConvention.getName(), currency, overnightIndexConvention.getDayCount(), overnightIndexConvention.getPublicationLag());
    final double paymentAccrualFactor = 1 / 12.; //TODO should not be hard-coded
    final double notional = security.getUnitAmount() / paymentAccrualFactor;
    return FederalFundsFutureSecurityDefinition.from(lastTradeDate, index, notional, paymentAccrualFactor, security.getName(), calendar);
  }
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        START_ACCRUAL_DATE,
        END_ACCRUAL_DATE, FIXING_YEAR_FRACTION);
    assertEquals("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION, other);
    assertEquals("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION.hashCode(), other.hashCode());
    CouponONSimplifiedDefinition modified;
    modified = new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, new IndexON(EUR_OIS_NAME, EUR_CUR, EUR_DAY_COUNT, 1),
        START_ACCRUAL_DATE, END_ACCRUAL_DATE, FIXING_YEAR_FRACTION);
    assertFalse("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION.equals(modified));
    modified = new CouponONSimplifiedDefinition(EUR_CUR, PAYMENT_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, PAYMENT_YEAR_FRACTION, NOTIONAL, EUR_OIS, END_ACCRUAL_DATE, END_ACCRUAL_DATE,
        FIXING_YEAR_FRACTION);
    assertFalse("CouponOISSimplified definition: equal/hash code", EONIA_COUPON_DEFINITION.equals(modified));
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    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, OIS_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    final IndexON index = new IndexON(OVERNIGHT_ID.getValue(), Currency.USD, ACT_360, 1);
    AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    AnnuityCouponONSimplifiedDefinition floatLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, Period.ofYears(10), 1, false, index, 1,
        CALENDAR, MODIFIED_FOLLOWING, Period.ofYears(1), false);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
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    final ExternalId marketDataId = ExternalId.of(SCHEME, "FF Future");
    final double rate = 0.98;
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.ONE_DAY, FED_FUND_FUTURE_ID, OVERNIGHT_ID, "Mapper");
    final IndexON index = new IndexON(OVERNIGHT_ID.getValue(), Currency.USD, ACT_360, 1);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    final InstrumentDefinition<?> definition = futureNode.accept(converter);
    final FederalFundsFutureTransactionDefinition future = (FederalFundsFutureTransactionDefinition) definition;
    final FederalFundsFutureSecurityDefinition securityDefinition = FederalFundsFutureSecurityDefinition.from(DateUtils.getUTCDate(2013, 5, 1), index, 1, 1. / 12, "", CALENDAR);
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    final CouponArithmeticAverageONDefinition other = CouponArithmeticAverageONDefinition.from(FEDFUND, EFFECTIVE_DATE, TENOR_3M, NOTIONAL, PAYMENT_LAG,
        MOD_FOL, true, NYC);
    assertEquals("CouponArithmeticAverageON: equal-hash", FEDFUND_CPN_3M_DEF, other);
    assertEquals("CouponArithmeticAverageON: equal-hash", FEDFUND_CPN_3M_DEF.hashCode(), other.hashCode());
    CouponArithmeticAverageONDefinition modified;
    final IndexON modifiedIndex = IndexONMaster.getInstance().getIndex("EONIA");
    modified = CouponArithmeticAverageONDefinition.from(modifiedIndex, EFFECTIVE_DATE, TENOR_3M, NOTIONAL, PAYMENT_LAG, MOD_FOL, true, NYC);
    assertFalse("CouponArithmeticAverageON: equal-hash", FEDFUND_CPN_3M_DEF.equals(modified));
    modified = CouponArithmeticAverageONDefinition.from(FEDFUND, EFFECTIVE_DATE.plusDays(1), ACCRUAL_END_DATE_3M, NOTIONAL, PAYMENT_LAG, NYC);
    assertFalse("CouponArithmeticAverageON: equal-hash", FEDFUND_CPN_3M_DEF.equals(modified));
    modified = CouponArithmeticAverageONDefinition.from(FEDFUND, EFFECTIVE_DATE, ACCRUAL_END_DATE_3M.plusDays(1), NOTIONAL, PAYMENT_LAG, NYC);
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    assertEquals(index, cycleObject(IborIndex.class, index));
  }

  @Test
  public void testOvernightIndex() {
    final IndexON index = new IndexON("ON", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/365"), 1);
    assertEquals(index, cycleObject(IndexON.class, index));
  }
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        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "D"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
    final MulticurveProviderDiscount provider = new MulticurveProviderDiscount(discounting, ibor, overnight, matrix);
    assertEquals(provider, cycleObject(MulticurveProviderDiscount.class, provider));
  }
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Related Classes of com.opengamma.analytics.financial.instrument.index.IndexON

  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONSpreadSimplifiedDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONSimplifiedDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponONSpreadSimplifiedDefinitionTest
  • com.opengamma.analytics.financial.interestrate.future.provider.FederalFundsFutureSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponArithmeticAverageONSpreadSimplifiedTest
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponArithmeticAverageONSpreadTest
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponArithmeticAverageONTest
  • com.opengamma.financial.analytics.conversion.FederalFundsFutureSecurityConverter
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