Package com.opengamma.timeseries.precise.zdt

Examples of com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries

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    final ZonedDateTimeDoubleTimeSeries[] laggedFixingSeries = new ZonedDateTimeDoubleTimeSeries[n];
    for (int i = 0; i < n; i++) {
      if (fixingSeries[i].isEmpty()) {
        laggedFixingSeries[i] = ImmutableZonedDateTimeDoubleTimeSeries.ofEmpty(tomorrow.getZone());
      } else {
        final ZonedDateTimeDoubleTimeSeries ts = fixingSeries[i].subSeries(fixingSeries[i].getEarliestTime(), tomorrow);
        final ZonedDateTimeDoubleTimeSeriesBuilder bld = ts.toBuilder();
        bld.put(tomorrow, ts.getLatestValue());
        laggedFixingSeries[i] = bld.build();
      }
    }
    return laggedFixingSeries;
  }
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    final CouponInflationZeroCouponInterpolationDefinition zeroCouponUsdDefinition = CouponInflationZeroCouponInterpolationDefinition.from(settleDate, paymentDate, notional, PRICE_INDEX_US,
        MONTH_LAG, MONTH_LAG, false);
    final CapFloorInflationZeroCouponInterpolationDefinition capZeroCouponUsdDefinition = CapFloorInflationZeroCouponInterpolationDefinition.from(zeroCouponUsdDefinition,
        LAST_KNOWN_FIXING_DATE, MATURITY, STRIKE, IS_CAP);

    final ZonedDateTimeDoubleTimeSeries ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
        new ZonedDateTime[] {DateUtils.getUTCDate(2008, 4, 30), DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2011, 5, 31), DateUtils.getUTCDate(2011, 6, 30),
          DateUtils.getUTCDate(2011, 9, 27),
          DateUtils.getUTCDate(2011, 9, 28) }, new double[] {108.23, 108.64, 225.964, 225.722, 200, 200 });

    final CapFloorInflationZeroCouponInterpolation capZeroCouponUsd = (CapFloorInflationZeroCouponInterpolation) capZeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
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  }

  @Test
  public void presentValueStarted() {
    final double fixing = 0.0015;
    final ZonedDateTimeDoubleTimeSeries TS_ON = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2011, 5, 20), DateUtils.getUTCDate(2011, 5, 23) }, new double[] {
        0.0010, fixing });
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(EFFECTIVE_DATE, 1, TARGET);
    final CouponON cpnOISStarted = (CouponON) CPN_OIS_DEFINITION.toDerivative(referenceDate, TS_ON);
    final double notionalAccrued = NOTIONAL * (1 + fixing * EONIA.getDayCount().getDayCountFraction(EFFECTIVE_DATE, referenceDate));
    assertEquals("CouponOISDiscountingMarketMethod: present value", notionalAccrued, cpnOISStarted.getNotionalAccrued(), TOLERANCE_PV);
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   * AND the fixing has been published.
   */
  public void presentValueOISSwapUSDAfterFixing() {
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(START_ACCRUAL_DATE, 1, NYC);
    final double fixingRate = 0.0010;
    final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {START_ACCRUAL_DATE }, new double[] {fixingRate });
    final ZonedDateTimeDoubleTimeSeries[] fixingTS2 = new ZonedDateTimeDoubleTimeSeries[] {fixingTS };
    final Swap<? extends Payment, ? extends Payment> ois = OIS_DEFINITION.toDerivative(referenceDate, fixingTS2, CURVES_NAMES_2[0], CURVES_NAMES_2[0]);
    final double pv = ois.accept(PVC, CURVES_2);
    double pvExpected = ois.getFirstLeg().accept(PVC, CURVES_2);
    pvExpected += ois.getSecondLeg().getNthPayment(0).accept(PVC, CURVES_2);
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  /**
   * Tests toDerivative with different reference dates.
   */
  @Test
  public void toDerivative() {
    final ZonedDateTimeDoubleTimeSeries fixingTs3 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {SWAP_IBOR_IBOR.getFirstLeg().getNthPayment(0).getFixingDate()},
        new double[] {0.0123});
    final ZonedDateTimeDoubleTimeSeries fixingTs6 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {SWAP_IBOR_IBOR.getFirstLeg().getNthPayment(0).getFixingDate()},
        new double[] {0.0135});
    final ZonedDateTimeDoubleTimeSeries[] fixingTs = new ZonedDateTimeDoubleTimeSeries[] {fixingTs3, fixingTs6};
    final ZonedDateTime referenceDateBeforeFirstFixing = DateUtils.getUTCDate(2012, 4, 13);
    final Swap<? extends Payment, ? extends Payment> swapConvertedBeforeFirstFixing = SWAP_IBOR_IBOR.toDerivative(referenceDateBeforeFirstFixing);
    for (int loopcpn = 0; loopcpn < swapConvertedBeforeFirstFixing.getFirstLeg().getNumberOfPayments(); loopcpn++) {
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   */
  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeDeprecated() {
    final String[] yieldCurveNames = new String[] {"dsc", "fwd", "fwd6m"};
    final ZonedDateTimeDoubleTimeSeries fixingTs3 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {SWAP_IBOR_IBOR.getFirstLeg().getNthPayment(0).getFixingDate()},
        new double[] {0.0123});
    final ZonedDateTimeDoubleTimeSeries fixingTs6 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {SWAP_IBOR_IBOR.getFirstLeg().getNthPayment(0).getFixingDate()},
        new double[] {0.0135});
    final ZonedDateTimeDoubleTimeSeries[] fixingTs = new ZonedDateTimeDoubleTimeSeries[] {fixingTs3, fixingTs6};
    final ZonedDateTime referenceDateBeforeFirstFixing = DateUtils.getUTCDate(2012, 4, 13);
    final Swap<? extends Payment, ? extends Payment> swapConvertedBeforeFirstFixing = SWAP_IBOR_IBOR.toDerivative(referenceDateBeforeFirstFixing, yieldCurveNames);
    for (int loopcpn = 0; loopcpn < swapConvertedBeforeFirstFixing.getFirstLeg().getNumberOfPayments(); loopcpn++) {
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        }
        final int length = ts.size();
        if (length == 0) {
          throw new OpenGammaRuntimeException("Price time series for " + priceIndexId + " was empty");
        }
        final ZonedDateTimeDoubleTimeSeries multiply = convertTimeSeries(ZoneId.of("UTC"), (LocalDateDoubleTimeSeries) ts.multiply(100));
        return ((InstrumentDefinitionWithData<?, ZonedDateTimeDoubleTimeSeries[]>) definition).toDerivative(
            now,
            new ZonedDateTimeDoubleTimeSeries[] {multiply, multiply});
      }
      if (node.getCurveNode() instanceof RateFutureNode || node.getCurveNode() instanceof DeliverableSwapFutureNode) {
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  @Test
  public void thetaFixedIborOneDayBeforeFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 5, 14);
    final MultipleCurrencyAmount theta = THETAC.getTheta(SWAP_FIXED_IBOR_DEFINITION, referenceDate, CURVE_NAMES, CURVES, FIXING_TS_3_6, 1);
    final SwapFixedCoupon<Coupon> swapToday = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate, FIXING_TS_3_6, CURVE_NAMES);
    final ZonedDateTimeDoubleTimeSeries fixing3extended = ImmutableZonedDateTimeDoubleTimeSeries.of(
        new ZonedDateTime[] {DateUtils.getUTCDate(2012, 5, 14), DateUtils.getUTCDate(2012, 5, 15) },
        new double[] {0.0090, 0.0090 }, ZoneOffset.UTC);
    final ZonedDateTimeDoubleTimeSeries[] fixing36 = new ZonedDateTimeDoubleTimeSeries[] {fixing3extended, FIXING_TS_6 };
    final SwapFixedCoupon<Coupon> swapTomorrow = SWAP_FIXED_IBOR_DEFINITION.toDerivative(referenceDate.plusDays(1), fixing36, CURVE_NAMES);
    final double pvToday = swapToday.accept(PVC, CURVES);
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   */
  public void toDerivativeNoFixingTradeDateDeprecated() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1)};
    final double[] closingPrice = new double[] {0.99895, 0.99905};
    final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1)};
    final double[] fixingRate = new double[] {0.0010, 0.0011};
    final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
    final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
    final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAME);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, TRADE_PRICE);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data, CURVE_NAME);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
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   */
  public void toDerivativeNoFixingAfterTradeDateDeprecated() {
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(TRADE_DATE, 1, NYC);
    final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE};
    final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915};
    final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0009};
    final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
    final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
    final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAME);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[2]);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data, CURVE_NAME);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
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Related Classes of com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries

  • com.opengamma.analytics.financial.horizon.ConstantSpreadHorizonThetaCalculator
  • com.opengamma.analytics.financial.instrument.future.FederalFundsFutureTransactionDefinitionTest
  • com.opengamma.analytics.financial.instrument.swap.SwapIborIborDefinitionTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponInterpolationBlackSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponONDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CouponONCompoundedDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CouponONDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.swap.method.SwapCalculatorTest
  • com.opengamma.financial.analytics.conversion.CurveNodeConverter
  • com.opengamma.util.fudgemsg.timeseries.ImmutableZonedDateTimeDoubleTimeSeriesFudgeEncodingTest
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