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

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

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  public FederalFundsFutureTransaction toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime>[] data, final String... yieldCurveNames) {
    ArgumentChecker.notNull(date, "Date");
    ArgumentChecker.isTrue(data.length >= 2, "At least two time series: ON index and future closing");
    final FederalFundsFutureSecurity underlying = _underlyingFuture.toDerivative(date, data[0], yieldCurveNames);
    if (_tradeDate.equals(date)) {
      return new FederalFundsFutureTransaction(underlying, _quantity, _tradePrice);
    }
    final DoubleTimeSeries<ZonedDateTime> pastClosing = data[1].subSeries(date.minusMonths(1), date);
    ArgumentChecker.isTrue(!pastClosing.isEmpty(), "No closing price"); // There should be at least one recent margining.
    final double lastMargin = pastClosing.getLatestValue();
    return new FederalFundsFutureTransaction(underlying, _quantity, lastMargin);
  }
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  public FederalFundsFutureTransaction toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime>[] data) {
    ArgumentChecker.notNull(date, "Date");
    ArgumentChecker.isTrue(data.length >= 2, "At least two time series: ON index and future closing");
    final FederalFundsFutureSecurity underlying = _underlyingFuture.toDerivative(date, data[0]);
    if (_tradeDate.equals(date)) {
      return new FederalFundsFutureTransaction(underlying, _quantity, _tradePrice);
    }
    final DoubleTimeSeries<ZonedDateTime> pastClosing = data[1].subSeries(date.minusMonths(1), date);
    ArgumentChecker.isTrue(!pastClosing.isEmpty(), "No closing price"); // There should be at least one recent margining.
    final double lastMargin = pastClosing.getLatestValue();
    return new FederalFundsFutureTransaction(underlying, _quantity, lastMargin);
  }
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    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1)};
    final double[] fixingRate = new double[] {0.0010, 0.0011};
    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, CURVE_NAME);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, TRADE_PRICE);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data, CURVE_NAME);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
  }
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    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0009};
    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, CURVE_NAME);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[2]);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data, CURVE_NAME);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
  }
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    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6)};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013};
    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, CURVE_NAME);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[3]);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data, CURVE_NAME);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
  }
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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, CURVE_NAME);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[3]);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data, CURVE_NAME);
    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, CURVE_NAME);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, TRADE_PRICE);
    final FederalFundsFutureTransaction transactionConverted = futureTransactionDefinition.toDerivative(referenceDate, data, CURVE_NAME);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
  }
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    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1)};
    final double[] fixingRate = new double[] {0.0010, 0.0011};
    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, TRADE_PRICE);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
  }
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    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0009};
    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[2]);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
  }
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    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6)};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013};
    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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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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