Package com.opengamma.financial.analytics.ircurve.strips

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode$Meta

569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
  public void test1M3MIRFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "3M1M future");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    final IborIndex index = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 3m Libor");
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = futureNode.accept(converter);
    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 5, 13), index, 1, 0.25, "", CALENDAR);
    InterestRateFutureTransactionDefinition expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(1, Tenor.TWO_MONTHS, Tenor.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 7, 15), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(4, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 8, 19), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(5, Tenor.ONE_YEAR, Tenor.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2014, 9, 15), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
  }
View Full Code Here
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
    final ExternalId marketDataId = ExternalId.of(SCHEME, "3M1M future");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final double accrual = 1. / 12;
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    final IborIndex index = new IborIndex(Currency.USD, Tenor.ONE_MONTH.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 1m Libor");
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = futureNode.accept(converter);
    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), index, 1, accrual, "", CALENDAR);
    InterestRateFutureTransactionDefinition expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(1, Tenor.TWO_MONTHS, Tenor.THREE_MONTHS, Tenor.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 9, 16), index, 1, accrual, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(4, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2014, 3, 17), index, 1, accrual, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(5, Tenor.ONE_YEAR, Tenor.THREE_MONTHS, Tenor.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2015, 6, 15), index, 1, accrual, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
  }
View Full Code Here
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
  public void testFedFundFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "FF Future");
    final double rate = 0.98;
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.ONE_DAY, FED_FUND_FUTURE_ID, OVERNIGHT_ID, "Mapper");
    final IndexON index = new IndexON(OVERNIGHT_ID.getValue(), Currency.USD, ACT_360, 1);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    final InstrumentDefinition<?> definition = futureNode.accept(converter);
    final FederalFundsFutureTransactionDefinition future = (FederalFundsFutureTransactionDefinition) definition;
    final FederalFundsFutureSecurityDefinition securityDefinition = FederalFundsFutureSecurityDefinition.from(DateUtils.getUTCDate(2013, 5, 1), index, 1, 1. / 12, "", CALENDAR);
    final FederalFundsFutureTransactionDefinition expectedFuture = new FederalFundsFutureTransactionDefinition(securityDefinition, 1, now, rate);
    assertEquals(expectedFuture, future);
  }
View Full Code Here
100
101
102
103
104
105
106
107
108
    assertEquals(new CurveNodeWithIdentifier(fxForward, ExternalId.of("Test", "FX Forward"), "FX Forward Data", DataFieldType.POINTS), fxForward.accept(BUILDER));
  }

  @Test
  public void testRateFuture() {
    final RateFutureNode future = new RateFutureNode(1, Tenor.TWO_MONTHS, Tenor.ONE_MONTH, Tenor.ONE_MONTH, ExternalId.of("Test", "Test"),
        ExternalId.of("Test", "Test"), "Test");
    assertEquals(new CurveNodeWithIdentifier(future, ExternalId.of("Test", "Future"), "Market_Value", DataFieldType.OUTRIGHT), future.accept(BUILDER));
  }
View Full Code Here
TOP

Related Classes of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode$Meta

  • com.opengamma.financial.analytics.curve.CurveNodeCurrencyVisitorTest
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.curve.CurveNodeWithIdentifierBuilderTest
  • com.opengamma.financial.fudgemsg.CurveNodeBuilders$RateFutureNodeBuilder
  • com.opengamma.financial.fudgemsg.CurveNodeBuildersTest
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.