Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.InterestRateFutureConvention

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      final String name = message.getString(NAME_FIELD);
      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 InterestRateFutureConvention convention = new InterestRateFutureConvention(name, externalIdBundle, expiryConvention, exchangeCalendar, indexConvention);
      final FudgeField uniqueIdMsg = message.getByName(UNIQUE_ID_FIELD);
      if (uniqueIdMsg != null) {
        convention.setUniqueId(deserializer.fieldValueToObject(UniqueId.class, uniqueIdMsg));
      }
      return convention;
    }
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  public InterestRateFutureSecurityDefinition visitInterestRateFutureSecurity(final InterestRateFutureSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final ZonedDateTime lastTradeDate = security.getExpiry().getExpiry();
    final Currency currency = security.getCurrency();
    final String conventionName = getConventionName(currency, STIR_FUTURES + QUARTERLY);
    final InterestRateFutureConvention convention = _conventionSource.getConvention(InterestRateFutureConvention.class, ExternalId.of(SCHEME_NAME, conventionName)); // PLAT-4532
    if (convention == null) {
      throw new OpenGammaRuntimeException("Could not get interest rate future convention with id " + ExternalId.of(SCHEME_NAME, conventionName));
    }
    final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, convention.getIndexConvention());
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getExchangeCalendar());
    final Period period = Period.ofMonths(3); //TODO
    final double paymentAccrualFactor = getAccrualFactor(period);
    final int spotLag = iborIndexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, period, spotLag, iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
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      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(INTERPOLATED_VOLATILITY_SURFACE);
      final Currency currency = security.getCurrency();
      // TODO the convention name should not be hard-coded, but there's no way of getting this information until
      // there's a convention link in the security.
      final InterestRateFutureConvention convention = conventionSource.getConvention(InterestRateFutureConvention.class, ExternalId.of(SCHEME_NAME, EURODOLLAR_FUTURE));
      if (convention == null) {
        throw new OpenGammaRuntimeException("Could not get interest rate future convention with id " + ExternalId.of(SCHEME_NAME, EURODOLLAR_FUTURE));
      }
      final IborIndexConvention iborIndexConvention = conventionSource.getConvention(IborIndexConvention.class, convention.getIndexConvention());
      final Period period = Period.ofMonths(3); //TODO
      final int spotLag = iborIndexConvention.getSettlementDays();
      final IborIndex iborIndex = new IborIndex(currency, period, spotLag, iborIndexConvention.getDayCount(),
          iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
      final BlackSTIRFuturesSmileProvider blackData = new BlackSTIRFuturesSmileProvider(data, volatilitySurface.getSurface(), iborIndex);
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        ExternalId.of(SCHEME_NAME, getConventionName(Currency.USD, TENOR_STR_3M, IRS_IBOR_LEG)));
    final Convention swapIndexConvention = new SwapIndexConvention(swapIndexConventionName, getIds(Currency.USD, SWAP_INDEX), LocalTime.of(11, 0), ExternalId.of(SCHEME_NAME, "USD Swap"));
   
    // Futures (for ED-LIBOR3M and EM-LIBOR1M)
    final String quartFutureConventionName = getConventionName(Currency.USD, STIR_FUTURES + QUARTERLY);
    final Convention quartSTIRFutureConvention = new InterestRateFutureConvention(quartFutureConventionName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, quartFutureConventionName)),
        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,
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    assertEquals(convention, cycleObject(IborIndexConvention.class, convention));
  }

  @Test
  public void testInterestRateFutureConvention() {
    final InterestRateFutureConvention convention = new InterestRateFutureConvention("ER", ExternalIdBundle.of(InMemoryConventionBundleMaster.simpleNameSecurityId("ER")),
        ExternalId.of("Test", "3rd Wednesday"), ExternalId.of("Test", "EUX"), ExternalId.of("Test", "3m Euribor"));
    convention.setUniqueId(UniqueId.of("Test", "123456"));
    assertEquals(convention, cycleObject(InterestRateFutureConvention.class, convention));
  }
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    final Convention irsIbor1MLegConvention = new VanillaIborLegConvention(irsibor1MLegConventionName, getIds(Currency.EUR, TENOR_STR_1M, IRS_IBOR_LEG),
        euriborConventionId, true, Interpolator1DFactory.LINEAR, Tenor.ONE_MONTH, 2, true, StubType.SHORT_START, false, 0);
   
    // Futures
    final String quarterlySTIRFutureConventionName = getConventionName(Currency.EUR, STIR_FUTURES + QUARTERLY);   
    final Convention quarterlySTIRFutureConvention = new InterestRateFutureConvention(quarterlySTIRFutureConventionName,
        ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, quarterlySTIRFutureConventionName)),
        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, IMMFutureAndFutureOptionQuarterlyExpiryCalculator.NAME), EU, euriborConventionId);
    final String serialFutureConventionName = getConventionName(Currency.EUR, STIR_FUTURES + SERIAL);
    final Convention serialSTIRFutureConvention = new InterestRateFutureConvention(serialFutureConventionName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, serialFutureConventionName)),
        ExternalId.of(ExchangeTradedInstrumentExpiryCalculator.SCHEME, IMMFutureAndFutureOptionMonthlyExpiryCalculator.NAME), EU, liborConventionId);
   
    // Forex
    final String fxSpotEURUSDName = FX_SPOT + " EUR/USD";
    final FXSpotConvention fxSpotEURUSD = new FXSpotConvention(fxSpotEURUSDName, ExternalIdBundle.of(ExternalId.of(SCHEME_NAME, fxSpotEURUSDName)), 2, USEU);
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Related Classes of com.opengamma.financial.convention.InterestRateFutureConvention

  • com.opengamma.financial.analytics.conversion.InterestRateFutureSecurityConverter
  • com.opengamma.financial.analytics.model.black.BlackDiscountingIRFutureOptionFunction$BlackDiscountingCompiledFunction
  • com.opengamma.financial.convention.percurrency.EUConventions
  • com.opengamma.financial.convention.percurrency.USConventions
  • com.opengamma.financial.fudgemsg.ConventionBuilders$InterestRateFutureConventionBuilder
  • com.opengamma.financial.fudgemsg.ConventionBuildersTest
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