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

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

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   * Tests the toDerivative method when the reference date is on the premium settlement.
   */
  public void toDerivativeOnSettlementDeprecated() {
    final ZonedDateTime referenceDate = PREMIUM_DATE;
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate, CURVES);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate, CURVES);
    final double premiumTime = 0.0;
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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   * Tests the toDerivative method when the reference date is after the premium settlement.
   */
  public void toDerivativeAfterSettlementDeprecated() {
    final ZonedDateTime referenceDate = PREMIUM_DATE.plusDays(1);
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate, CURVES);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate, CURVES);
    final double premiumTime = 0.0;
    final double price = 0.0; // The payment is in the past and is represented by a 0 payment today.
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, price);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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  /**
   * Tests the toDerivative method when the reference date is before the premium settlement.
   */
  public void toDerivativeBeforeSettlement() {
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(REFERENCE_DATE);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(REFERENCE_DATE);
    final double premiumTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, PREMIUM_DATE);
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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   * Tests the toDerivative method when the reference date is on the premium settlement.
   */
  public void toDerivativeOnSettlement() {
    final ZonedDateTime referenceDate = PREMIUM_DATE;
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate);
    final double premiumTime = 0.0;
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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   * Tests the toDerivative method when the reference date is after the premium settlement.
   */
  public void toDerivativeAfterSettlement() {
    final ZonedDateTime referenceDate = PREMIUM_DATE.plusDays(1);
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate);
    final double premiumTime = 0.0;
    final double price = 0.0; // The payment is in the past and is represented by a 0 payment today.
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, price);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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  @Test
  /**
   * Tests the toDerivative method.
   */
  public void toDerivative() {
    final InterestRateFutureOptionPremiumSecurity optionEDU2Converted = OPTION_EDU2_DEFINITION.toDerivative(REFERENCE_DATE);
    final InterestRateFutureSecurity future = EDU2_DEFINITION.toDerivative(REFERENCE_DATE);
    final double expirationTime = ACT_ACT.getDayCountFraction(REFERENCE_DATE, EXPIRATION_DATE);
    final InterestRateFutureOptionPremiumSecurity optionEDU2 = new InterestRateFutureOptionPremiumSecurity(future, expirationTime, STRIKE, IS_CALL);
    assertEquals("Option on future: to derivative", optionEDU2, optionEDU2Converted);
  }
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  @Test
  /**
   * Tests the toDerivative method.
   */
  public void toDerivativeDeprecated() {
    final InterestRateFutureOptionPremiumSecurity optionEDU2Converted = OPTION_EDU2_DEFINITION.toDerivative(REFERENCE_DATE, CURVES);
    final InterestRateFutureSecurity future = EDU2_DEFINITION.toDerivative(REFERENCE_DATE, CURVES);
    final double expirationTime = ACT_ACT.getDayCountFraction(REFERENCE_DATE, EXPIRATION_DATE);
    final InterestRateFutureOptionPremiumSecurity optionEDU2 = new InterestRateFutureOptionPremiumSecurity(future, expirationTime, STRIKE, IS_CALL);
    assertEquals("Option on future: to derivative", optionEDU2, optionEDU2Converted);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumSecurity

  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumSecurityDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumTransactionDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumTransactionDefinitionTest
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  • com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivityBlackCalculator
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