Package com.opengamma.financial.security.future

Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

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    final String settlementExchange = exchange();
    final Currency currency = currency();
    final double unitAmount = 0;
    final ExternalId underlyingIdentifier = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "EUR003M Index");
    final String category = "category";
    final InterestRateFutureSecurity security = new InterestRateFutureSecurity(expiry, tradingExchange, settlementExchange, currency, unitAmount, underlyingIdentifier, category);
    security.addExternalId(ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "ERM4 Comdty"));
    store(security);
    return security;
  }
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    ManageableSecurity security;
    if ("FEDL01 Index".equals(id)) {
      security = new FederalFundsFutureSecurity(expiry, micExchangeCode, micExchangeCode, currency, unitAmount, underlyingIdentifier, category);
    } else {
      security = new InterestRateFutureSecurity(expiry, micExchangeCode, micExchangeCode, currency, unitAmount, underlyingIdentifier, category);
    }
    security.setName(name);
    // set identifiers
    parseIdentifiers(fieldData, security);
    return security;
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    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "FUTURE_X"), ids.get(0));
  }

  @Test
  public void testInterestRateFutureSecurity() {
    final InterestRateFutureSecurity future = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "FUTURE_X"), ids.get(0));
  }
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    FixedIncomeStripWithSecurity strip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ONE_MONTH, "DEFAULT"), Tenor.ONE_MONTH, maturity, dummyId, cash);
    assertEquals(strip, cycleObject(FixedIncomeStripWithSecurity.class, strip));

    dummyId = ExternalSchemes.bloombergTickerSecurityId("EDZ2 Comdty");
    bundle = ExternalIdBundle.of(dummyId);
    final FutureSecurity future = new InterestRateFutureSecurity(new Expiry(ZonedDateTime.now()), "XCSE", "XCSE", Currency.USD, 0, dummyId, "Interest Rate");
    future.setExternalIdBundle(bundle);
    strip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.FUTURE, Tenor.THREE_MONTHS, 2, "DEFAULT"), Tenor.THREE_MONTHS, DateUtils.getUTCDate(2011, 12, 1), dummyId, future);
    assertEquals(strip, cycleObject(FixedIncomeStripWithSecurity.class, strip));
   
    dummyId = ExternalSchemes.bloombergTickerSecurityId("USFR0BE Curncy");
    bundle = ExternalIdBundle.of(dummyId);
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      final int n = 1 + RANDOM.nextInt(20);
      final Expiry expiry = new Expiry(tradeDate.plusMonths(3 * n).with(THIRD_WED_ADJUSTER));
      final String letter = MONTHS.get(expiry.getExpiry().getMonth());
      final String year = Integer.toString(expiry.getExpiry().getYear() - 2000);
      final String code = "ER" + letter + year;
      final FutureSecurity security = new InterestRateFutureSecurity(expiry, "EUREX", "EUREX", CURRENCY, 2500, EURIBOR_3M, "Interest rate");
      security.setName(code);
      security.setExternalIdBundle(ExternalIdBundle.of(ExternalSchemes.syntheticSecurityId(code)));
      securities[i] = security;
      amounts[i] = RANDOM.nextInt(100) - 50;
      prices[i] = 1 - (1e-5 + RANDOM.nextDouble() / 100.);
    }
    return new FutureSecurityGenerator<>(securities, amounts, prices, tradeDate, "Euribor futures");
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    for (int i = 0; i < 40; i++) {
      final Expiry expiry = new Expiry(startDate.plusMonths(3 * i).with(THIRD_WED_ADJUSTER));
      final String letter = MONTHS.get(expiry.getExpiry().getMonth());
      final String year = Integer.toString(expiry.getExpiry().getYear() - 2000);
      final String code = "ER" + letter + year;
      final FutureSecurity security = new InterestRateFutureSecurity(expiry, "EUREX", "EUREX", CURRENCY, 2500, EURIBOR_3M, "Interest rate");
      security.setName(code);
      security.setExternalIdBundle(ExternalIdBundle.of(ExternalSchemes.syntheticSecurityId(code)));
      securities[i] = security;
      amounts[i] = 1;
      prices[i] = 1 - ((i + 1) * 0.001);     
    }
    return new FutureSecurityGenerator<>(securities, amounts, prices, tradeDate, "Euribor futures");
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    assertNull(ids);
  }

  @Test
  public void testInterestRateFutureSecurity() {
    final InterestRateFutureSecurity future = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "FUTURE_Y"), ids.get(0));
  }

  @Test
  public void testInterestRateFutureSecurity() {
    final InterestRateFutureSecurity future = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "FUTURE_Y"), ids.get(0));
  }
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    assertEquals(ExternalId.of(ExposureFunction.CONTRACT_IDENTIFIER, "Equity Index"), ids.get(0));
  }

  @Test
  public void testInterestRateFutureOptionSecurity() {
    final InterestRateFutureSecurity underlying = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final ExposureFunction exposureFunction = new ContractCategoryExposureFunction(ExposureFunctionTestHelper.getSecuritySource(underlying));
    final IRFutureOptionSecurity security = ExposureFunctionTestHelper.getInterestRateFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(exposureFunction);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(ExposureFunction.CONTRACT_IDENTIFIER, "Financial"), ids.get(0));
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    assertEquals(ExternalId.of(ExposureFunction.CONTRACT_IDENTIFIER, "Financial"), ids.get(0));
  }

  @Test
  public void testInterestRateFutureSecurity() {
    final InterestRateFutureSecurity future = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(ExposureFunction.CONTRACT_IDENTIFIER, "Financial"), ids.get(0));
  }
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Related Classes of com.opengamma.financial.security.future.InterestRateFutureSecurity

  • com.opengamma.bbg.loader.BloombergSecurityLoaderTest
  • com.opengamma.bbg.loader.InterestRateFutureLoader
  • com.opengamma.bbg.util.BloombergSecurityUtils
  • com.opengamma.examples.bloomberg.loader.ExampleEURFixedIncomePortfolioLoader
  • com.opengamma.examples.simulated.generator.ERFutureForCurvePortfolioGeneratorTool
  • com.opengamma.examples.simulated.generator.EURFixedIncomePortfolioGeneratorTool
  • com.opengamma.financial.analytics.conversion.InterestRateFutureOptionSecurityConverter
  • com.opengamma.financial.analytics.conversion.InterestRateFutureOptionSecurityConverterDeprecated
  • com.opengamma.financial.analytics.curve.exposure.ContractCategoryExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.CurrencyExposureFunctionTest
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