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

Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureTransaction

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        DateUtils.getUTCDate(2012, 3, 7)};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
    final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
    final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
    final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[3]);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
  }
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    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
    final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
    final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
    final FederalFundsFutureTransactionDefinition futureTransactionDefinition = new FederalFundsFutureTransactionDefinition(FUTURE_SECURITY_DEFINITION, QUANTITY, referenceDate, TRADE_PRICE);
    final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, TRADE_PRICE);
    final FederalFundsFutureTransaction transactionConverted = futureTransactionDefinition.toDerivative(referenceDate, data);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
  }
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    final double deltaTolerancePrice = 1.0E+0;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;
    // Discounting curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final FederalFundsFutureTransaction futureTransactionBumped = FUTURE_TRANSACTION_DEFINITION.toDerivative(REFERENCE_DATE, DATA, bumpedCurveName);
    final double[] nodeTimesDisc = futureTransactionBumped.getUnderlyingFuture().getFixingPeriodTime();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(futureTransactionBumped, CURVES, CURVE_NAMES[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_TRANSACTION);
    final List<DoublesPair> sensiPvDisc = pvcsComputed.getSensitivities().get(CURVE_NAMES[0]);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity coupon pv to forward curve: Node " + loopnode, nodeTimesDisc[loopnode], pairPv.getFirst(), 1E-8);
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Related Classes of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureTransaction

  • com.opengamma.analytics.financial.instrument.future.FederalFundsFutureTransactionDefinition
  • com.opengamma.analytics.financial.instrument.future.FederalFundsFutureTransactionDefinitionTest
  • com.opengamma.analytics.financial.interestrate.future.method.FederalFundsFutureTransactionDiscountingMethodTest
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