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

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

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    if (transactionDateLocal.isBefore(date)) { // Transaction was before last margining.
      referencePrice = lastMarginPrice;
    } else { // Transaction is today
      referencePrice = _transactionPrice;
    }
    final InterestRateFutureSecurity underlying = _underlying.toDerivative(dateTime, yieldCurveNames);
    final InterestRateFutureTransaction future = new InterestRateFutureTransaction(underlying, referencePrice, _quantity);
    return future;
  }
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    if (transactionDateLocal.isBefore(date)) { // Transaction was before last margining.
      referencePrice = lastMarginPrice;
    } else { // Transaction is today
      referencePrice = _transactionPrice;
    }
    final InterestRateFutureSecurity underlying = _underlying.toDerivative(dateTime);
    final InterestRateFutureTransaction future = new InterestRateFutureTransaction(underlying, referencePrice, _quantity);
    return future;
  }
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    final String discountingCurveName = yieldCurveNames[0];
    final String forwardCurveName = yieldCurveNames[yieldCurveNames.length > 1 ? 1 : 0];
    final double lastTradingTime = TimeCalculator.getTimeBetween(dateTime, getLastTradingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    final InterestRateFutureSecurity future = new InterestRateFutureSecurity(lastTradingTime, _iborIndex, fixingPeriodStartTime, fixingPeriodEndTime, _fixingPeriodAccrualFactor, _notional,
        _paymentAccrualFactor, _name, discountingCurveName, forwardCurveName);
    return future;
  }
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      throw new ExpiredException("Valuation date, " + date + ", is after last margin date, " + lastMarginDateLocal);
    }
    final double lastTradingTime = TimeCalculator.getTimeBetween(dateTime, getLastTradingDate());
    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
    final InterestRateFutureSecurity future = new InterestRateFutureSecurity(lastTradingTime, _iborIndex, fixingPeriodStartTime, fixingPeriodEndTime, _fixingPeriodAccrualFactor, _notional,
        _paymentAccrualFactor, _name);
    return future;
  }
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   */
  @Deprecated
  @Override
  public InterestRateFutureOptionPremiumSecurity toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    ArgumentChecker.isTrue(!date.isAfter(_expirationDate), "Date is after expiration date");
    final InterestRateFutureSecurity underlyingFuture = _underlyingFuture.toDerivative(date, yieldCurveNames);
    final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
    return new InterestRateFutureOptionPremiumSecurity(underlyingFuture, expirationTime, _strike, _isCall);
  }
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  }

  @Override
  public InterestRateFutureOptionPremiumSecurity toDerivative(final ZonedDateTime date) {
    ArgumentChecker.isTrue(!date.isAfter(_expirationDate), "Date is after expiration date");
    final InterestRateFutureSecurity underlyingFuture = _underlyingFuture.toDerivative(date);
    final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
    return new InterestRateFutureOptionPremiumSecurity(underlyingFuture, expirationTime, _strike, _isCall);
  }
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  @Override
  public InterestRateFutureOptionMarginSecurity toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    ArgumentChecker.notNull(date, "date");
    ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
    final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
    final InterestRateFutureSecurity underlyingFuture = _underlyingFuture.toDerivative(date, yieldCurveNames);
    final InterestRateFutureOptionMarginSecurity option = new InterestRateFutureOptionMarginSecurity(underlyingFuture, expirationTime, _strike, _isCall);
    return option;
  }
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  @Override
  public InterestRateFutureOptionMarginSecurity toDerivative(final ZonedDateTime date) {
    ArgumentChecker.notNull(date, "date");
    final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
    final InterestRateFutureSecurity underlyingFuture = _underlyingFuture.toDerivative(date);
    final InterestRateFutureOptionMarginSecurity option = new InterestRateFutureOptionMarginSecurity(underlyingFuture, expirationTime, _strike, _isCall);
    return option;
  }
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  public void toDerivativeDeprecated() {
    final double LAST_TRADING_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, LAST_TRADING_DATE);
    final double FIXING_START_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, SPOT_LAST_TRADING_DATE);
    final double FIXING_END_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, FIXING_END_DATE);
    final double FIXING_ACCRUAL = IBOR_INDEX.getDayCount().getDayCountFraction(SPOT_LAST_TRADING_DATE, FIXING_END_DATE);
    final InterestRateFutureSecurity ERU2 = new InterestRateFutureSecurity(LAST_TRADING_TIME, IBOR_INDEX, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, NOTIONAL, FUTURE_FACTOR, NAME,
        DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME);
    final InterestRateFutureSecurity convertedERU2 = ERU2_DEFINITION.toDerivative(REFERENCE_DATE, CURVES);
    assertTrue("Rate future security converter", ERU2.equals(convertedERU2));
  }
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  public void toDerivative() {
    final double LAST_TRADING_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, LAST_TRADING_DATE);
    final double FIXING_START_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, SPOT_LAST_TRADING_DATE);
    final double FIXING_END_TIME = TimeCalculator.getTimeBetween(REFERENCE_DATE, FIXING_END_DATE);
    final double FIXING_ACCRUAL = IBOR_INDEX.getDayCount().getDayCountFraction(SPOT_LAST_TRADING_DATE, FIXING_END_DATE);
    final InterestRateFutureSecurity ERU2 = new InterestRateFutureSecurity(LAST_TRADING_TIME, IBOR_INDEX, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL, NOTIONAL, FUTURE_FACTOR, NAME);
    final InterestRateFutureSecurity convertedERU2 = ERU2_DEFINITION.toDerivative(REFERENCE_DATE);
    assertTrue("Rate future security converter", ERU2.equals(convertedERU2));
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity

  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionMarginSecurityDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionMarginSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumSecurityDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginBlackSurfaceMethodTest
  • com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorPiecewiseConstantInterestRateModelTest
  • com.opengamma.financial.analytics.model.irfutureoption.InterestRateFutureOptionHestonPresentValueFunction$MyDerivativeVisitor
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