Package com.opengamma.analytics.financial.interestrate.cash.derivative

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

199
200
201
202
203
204
205
206
207
208
209
  /**
   * Tests toDerivative.
   */
  public void toDerivativeTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount());
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }
View Full Code Here
212
213
214
215
216
217
218
219
220
221
222
  /**
   * Tests toDerivative.
   */
  public void toDerivativeBetweenTradeAndSettle() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount());
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }
View Full Code Here
225
226
227
228
229
230
231
232
233
234
235
  /**
   * Tests toDerivative.
   */
  public void toDerivativeSettle() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount());
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }
View Full Code Here
238
239
240
241
242
243
244
245
246
247
248
  /**
   * Tests toDerivative.
   */
  public void toDerivativeBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double startTime = 0;
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, 0.0, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount());
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }
View Full Code Here
251
252
253
254
255
256
257
258
259
260
261
  /**
   * Tests toDerivative.
   */
  public void toDerivativeMaturity() {
    final ZonedDateTime referenceDate = END_DATE;
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double startTime = 0;
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, 0.0, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount());
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }
View Full Code Here
87
88
89
90
91
92
93
94
  }

  @Test
  public void testDepositZero() {
    final double endTime = 0.03;
    final DepositZero deposit = new DepositZero(Currency.USD, 0, endTime, 100, 100, 0.25, new ContinuousInterestRate(0.03), 2);
    assertEquals(deposit.accept(LDC), endTime, 0);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  • com.opengamma.analytics.financial.instrument.cash.definition.DepositZeroDefinitionTest
  • com.opengamma.analytics.financial.instrument.cash.DepositZeroDefinition
  • com.opengamma.analytics.financial.interestrate.cash.method.DepositZeroDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.LastTimeCalculatorTest
    • 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.