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

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

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    final double fixingPeriodEndTime = 1.75;
    final double fixingPeriodAccrualFactor = 0.267;
    final double paymentAccrualFactor = 0.25;
    final int quantity = 123;
    //    final double referencePrice = 0.0; // TODO CASE - Future refactor - referencePrice = 0.0
    final InterestRateFutureTransaction ir1 = new InterestRateFutureTransaction(lastTradingTime, iborIndex, fixingPeriodStartTime, fixingPeriodEndTime, fixingPeriodAccrualFactor, 1 - R1, 1, paymentAccrualFactor, quantity,
        "K", N1, N2);
    final InterestRateFutureTransaction ir2 = new InterestRateFutureTransaction(lastTradingTime, iborIndex, fixingPeriodStartTime, fixingPeriodEndTime, fixingPeriodAccrualFactor, 1 - R2, 1, paymentAccrualFactor, quantity,
        "K", N1, N2);
    assertEquals(ir1.accept(VISITOR, R2), ir2);
  }
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  /**
   * Test the par spread for market quote.
   */
  public void parSpreadMarketQuote() {
    final double parSpread = ERU2_TRA.accept(PSMQC, CURVES);
    final InterestRateFutureTransaction futures0 = new InterestRateFutureTransaction(LAST_TRADING_TIME, EURIBOR3M, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL,
        REFERENCE_PRICE + parSpread, NOTIONAL, FUTURE_FACTOR, QUANTITY, NAME, DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME);
    final CurrencyAmount pv0 = METHOD_FUT_TRA.presentValue(futures0, CURVES);
    assertEquals("Future par spread market quote", pv0.getAmount(), 0, TOLERANCE_PV);
  }
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  /**
   * Test the par spread for rate.
   */
  public void parSpreadRate() {
    final double parSpread = ERU2_TRA.accept(PSRC, CURVES);
    final InterestRateFutureTransaction futures0 = new InterestRateFutureTransaction(LAST_TRADING_TIME, EURIBOR3M, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL,
        REFERENCE_PRICE - parSpread, NOTIONAL, FUTURE_FACTOR, QUANTITY, NAME, DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME);
    final CurrencyAmount pv0 = METHOD_FUT_TRA.presentValue(futures0, CURVES);
    assertEquals("Future par spread rate", pv0.getAmount(), 0, TOLERANCE_PV);
    final double parSpreadMQ = ERU2_TRA.accept(PSMQC, CURVES);
    assertEquals("InterestRateFutureXXXDiscountingMethod: par spread", parSpread, -parSpreadMQ, TOLERANCE_PRICE);
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Related Classes of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureTransaction

  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesTransactionDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureTransactionDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.LastTimeCalculatorTest
  • com.opengamma.analytics.financial.interestrate.RateReplacingInterestRateDerivativeVisitor
  • com.opengamma.analytics.financial.interestrate.RateReplacingInterestRateDerivativeVisitorTest
  • com.opengamma.analytics.financial.interestrate.RateReplacingVisitor
  • com.opengamma.analytics.financial.interestrate.RateReplacingVisitorTest
  • com.opengamma.analytics.financial.interestrate.SimpleInstrumentFactory
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