Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.FederalFundsFutureConvention

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  @Override
  public FederalFundsFutureSecurityDefinition visitInterestRateFutureSecurity(final InterestRateFutureSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final ZonedDateTime lastTradeDate = security.getExpiry().getExpiry();
    final Currency currency = security.getCurrency();
    final FederalFundsFutureConvention convention = _conventionSource.getConvention(FederalFundsFutureConvention.class, ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE));
    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get interest rate future convention with id " + ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE));
    }
    final OvernightIndexConvention overnightIndexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, convention.getIndexConvention());
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getExchangeCalendar());
    final IndexON index = new IndexON(overnightIndexConvention.getName(), currency, overnightIndexConvention.getDayCount(), overnightIndexConvention.getPublicationLag());
    final double paymentAccrualFactor = 1 / 12.; //TODO should not be hard-coded
    final double notional = security.getUnitAmount() / paymentAccrualFactor;
    return FederalFundsFutureSecurityDefinition.from(lastTradeDate, index, notional, paymentAccrualFactor, security.getName(), calendar);
  }
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  @Override
  public InstrumentDefinition<?> visitFederalFundsFutureSecurity(FederalFundsFutureSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final ZonedDateTime lastTradeDate = security.getExpiry().getExpiry();
    final Currency currency = security.getCurrency();
    final FederalFundsFutureConvention convention = _conventionSource.getConvention(FederalFundsFutureConvention.class, ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE));
    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get interest rate future convention with id " + ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE));
    }
    final OvernightIndexConvention overnightIndexConvention = _conventionSource.getConvention(OvernightIndexConvention.class, convention.getIndexConvention());
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getExchangeCalendar());
    final IndexON index = new IndexON(overnightIndexConvention.getName(), currency, overnightIndexConvention.getDayCount(), overnightIndexConvention.getPublicationLag());
    final double paymentAccrualFactor = 1 / 12.; //TODO should not be hard-coded
    final double notional = security.getUnitAmount() / paymentAccrualFactor;
    return FederalFundsFutureSecurityDefinition.from(lastTradeDate, index, notional, paymentAccrualFactor, security.getName(), calendar);
  }
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      final ExternalIdBundle externalIdBundle = deserializer.fieldValueToObject(ExternalIdBundle.class, message.getByName(EXTERNAL_ID_BUNDLE_FIELD));
      final ExternalId expiryConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(EXPIRY_CONVENTION_FIELD));
      final ExternalId exchangeCalendar = deserializer.fieldValueToObject(ExternalId.class, message.getByName(EXCHANGE_CALENDAR_FIELD));
      final ExternalId indexConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(INDEX_CONVENTION_FIELD));
      final double notional = message.getDouble(NOTIONAL_FIELD);
      final FederalFundsFutureConvention convention = new FederalFundsFutureConvention(name, externalIdBundle, expiryConvention, exchangeCalendar, indexConvention, notional);
      final FudgeField uniqueIdMsg = message.getByName(UNIQUE_ID_FIELD);
      if (uniqueIdMsg != null) {
        convention.setUniqueId(deserializer.fieldValueToObject(UniqueId.class, uniqueIdMsg));
      }
      return convention;
    }
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        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, IMMFutureAndFutureOptionQuarterlyExpiryCalculator.NAME), US, liborConventionId);
    final String serialFutureConventionName = getConventionName(Currency.USD, STIR_FUTURES + SERIAL);
    final Convention serialSTIRFutureConvention = new InterestRateFutureConvention(serialFutureConventionName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, serialFutureConventionName)),
        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, IMMFutureAndFutureOptionMonthlyExpiryCalculator.NAME), US, liborConventionId);
   
    final Convention fedFundsConvention = new FederalFundsFutureConvention(fedFundFutureConventionName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, FED_FUNDS_FUTURE)),
        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, FedFundFutureAndFutureOptionMonthlyExpiryCalculator.NAME), US, overnightConventionId, 5000000);
    final Convention cmsDeliverableSwapFutureConvention = new DeliverablePriceQuotedSwapFutureConvention(cmeDeliverableSwapFutureConventionName,
        ExternalIdBundle.of(SCHEME_NAME, CME_DELIVERABLE_SWAP_FUTURE), ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME,
            IMMFutureAndFutureOptionQuarterlyExpiryCalculator.NAME), US, liborConventionId, 100000);
    // Inflation
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    assertEquals(convention, cycleObject(InterestRateFutureConvention.class, convention));
  }

  @Test
  public void testFederalFundsFutureConvention() {
    final FederalFundsFutureConvention convention = new FederalFundsFutureConvention("FF", ExternalIdBundle.of(InMemoryConventionBundleMaster.simpleNameSecurityId("FF")),
        ExternalId.of("Test", "EOM"), ExternalId.of("Test", "CME"), ExternalId.of("Test", "FF Rate"), 5000000);
    convention.setUniqueId(UniqueId.of("Test", "123456"));
    assertEquals(convention, cycleObject(FederalFundsFutureConvention.class, convention));
  }
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Related Classes of com.opengamma.financial.convention.FederalFundsFutureConvention

  • com.opengamma.financial.analytics.conversion.FederalFundsFutureSecurityConverter
  • com.opengamma.financial.convention.percurrency.USConventions
  • com.opengamma.financial.fudgemsg.ConventionBuilders$FederalFundsFutureConventionBuilder
  • com.opengamma.financial.fudgemsg.ConventionBuildersTest
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