Package com.opengamma.analytics.financial.simpleinstruments.derivative

Examples of com.opengamma.analytics.financial.simpleinstruments.derivative.SimpleFuture

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  public SimpleFuture toDerivative(final ZonedDateTime date) {
    Validate.notNull(date, "date");
    Validate.isTrue(date.isBefore(_expiryDate));
    double timeToFixing = TimeCalculator.getTimeBetween(date, _expiryDate);
    double timeToDelivery = TimeCalculator.getTimeBetween(date, _settlementDate);
    return new SimpleFuture(timeToFixing, timeToDelivery, _referencePrice, _unitAmount, _currency);
  }
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  public SimpleFuture toDerivative(final ZonedDateTime date, final double referencePrice) {
    Validate.notNull(date, "date");
    Validate.isTrue(date.isBefore(_expiryDate));
    double timeToFixing = TimeCalculator.getTimeBetween(date, _expiryDate);
    double timeToDelivery = TimeCalculator.getTimeBetween(date, _settlementDate);
    return new SimpleFuture(timeToFixing, timeToDelivery, referencePrice, _unitAmount, _currency);
  }
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    return s_instance;
  }

  @Override
  public SimpleFuture visitAgricultureFuture(final AgricultureFuture future) {
    return new SimpleFuture(future.getExpiry(), future.getSettlement(), future.getReferencePrice(), future.getUnitAmount(), future.getCurrency());
  }
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    return new SimpleFuture(future.getExpiry(), future.getSettlement(), future.getReferencePrice(), future.getUnitAmount(), future.getCurrency());
  }

  @Override
  public SimpleFuture visitEnergyFuture(final EnergyFuture future) {
    return new SimpleFuture(future.getExpiry(), future.getSettlement(), future.getReferencePrice(), future.getUnitAmount(), future.getCurrency());
  }
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    return new SimpleFuture(future.getExpiry(), future.getSettlement(), future.getReferencePrice(), future.getUnitAmount(), future.getCurrency());
  }

  @Override
  public SimpleFuture visitMetalFuture(final MetalFuture future) {
    return new SimpleFuture(future.getExpiry(), future.getSettlement(), future.getReferencePrice(), future.getUnitAmount(), future.getCurrency());
  }
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    super(ValueRequirementNames.PV01);
  }

  @Override
  protected Double computeValues(InstrumentDerivative derivative, SimpleFutureDataBundle market) {
    SimpleFuture simpleFuture = derivative.accept(SimpleFutureConverter.getInstance());
    return simpleFuture.getSettlement() * market.getMarketPrice() / 10000.0;
  }
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    return derivative.getSettlement() * market.getMarketPrice();
  }

  @Override
  protected Object computeValues(InstrumentDerivative derivative, SimpleFutureDataBundle market) {
    SimpleFuture simpleFuture = derivative.accept(SimpleFutureConverter.getInstance());
    return simpleFuture.getSettlement() * market.getMarketPrice();
  }
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    return derivative.getUnitAmount();
  }

  @Override
  protected Double computeValues(InstrumentDerivative derivative, SimpleFutureDataBundle market) {
    SimpleFuture simpleFuture = derivative.accept(SimpleFutureConverter.getInstance());
    return simpleFuture.getUnitAmount();
  }
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  private static final CommodityFuturePresentValueCalculator CALCULATOR = new CommodityFuturePresentValueCalculator();

  @Override
  protected Object computeValues(InstrumentDerivative derivative, SimpleFutureDataBundle market) {
    SimpleFuture simpleFuture = derivative.accept(SimpleFutureConverter.getInstance());
    final Double pv = simpleFuture.accept(CALCULATOR, market);
    return pv;
  }
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Related Classes of com.opengamma.analytics.financial.simpleinstruments.derivative.SimpleFuture

  • com.opengamma.analytics.financial.commodity.derivative.SimpleFutureConverter
  • com.opengamma.analytics.financial.simpleinstruments.definition.SimpleFutureDefinition
  • com.opengamma.financial.analytics.model.simpleinstrument.SimpleFuturePresentValueFunction
  • com.opengamma.financial.analytics.model.simpleinstrument.SimpleFuturePriceDeltaFunction
  • com.opengamma.financial.analytics.model.simpleinstrument.SimpleFuturePV01Function
  • com.opengamma.financial.analytics.model.simpleinstrument.SimpleFutureRhoFunction
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