Package com.opengamma.timeseries.precise.zdt

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

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   */
  public void toDerivativeFixingStartedBeforePublicationAfterTradeDateDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
    final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE, DateUtils.getUTCDate(2012, 3, 6)};
    final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915, 0.99925};
    final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6)};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013};
    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[3]);
    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 toDerivativeFixingStartedAfterPublicationAfterTradeDateDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
    final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE, DateUtils.getUTCDate(2012, 3, 6)};
    final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915, 0.99925};
    final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6),
        DateUtils.getUTCDate(2012, 3, 7)};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
    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[3]);
    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 toDerivativeFixingStartedAfterPublicationTradeDateDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
    final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE, DateUtils.getUTCDate(2012, 3, 6)};
    final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915, 0.99925};
    final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6),
        DateUtils.getUTCDate(2012, 3, 7)};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
    final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
    final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
    final FederalFundsFutureTransactionDefinition futureTransactionDefinition = new FederalFundsFutureTransactionDefinition(FUTURE_SECURITY_DEFINITION, QUANTITY, referenceDate, TRADE_PRICE);
    final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAME);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, TRADE_PRICE);
    final FederalFundsFutureTransaction transactionConverted = futureTransactionDefinition.toDerivative(referenceDate, data, CURVE_NAME);
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   */
  public void toDerivativeNoFixingTradeDate() {
    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);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, TRADE_PRICE);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
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   */
  public void toDerivativeNoFixingAfterTradeDate() {
    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);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[2]);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
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   */
  public void toDerivativeFixingStartedBeforePublicationAfterTradeDate() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
    final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE, DateUtils.getUTCDate(2012, 3, 6)};
    final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915, 0.99925};
    final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6)};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013};
    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);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[3]);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
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   */
  public void toDerivativeFixingStartedAfterPublicationAfterTradeDate() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
    final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE, DateUtils.getUTCDate(2012, 3, 6)};
    final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915, 0.99925};
    final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6),
        DateUtils.getUTCDate(2012, 3, 7)};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
    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);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, closingPrice[3]);
    final FederalFundsFutureTransaction transactionConverted = FUTURE_TRANSACTION_DEFINITION.toDerivative(referenceDate, data);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
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   */
  public void toDerivativeFixingStartedAfterPublicationTradeDate() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
    final ZonedDateTime[] closingDate = new ZonedDateTime[] {TRADE_DATE.minusDays(2), TRADE_DATE.minusDays(1), TRADE_DATE, DateUtils.getUTCDate(2012, 3, 6)};
    final double[] closingPrice = new double[] {0.99895, 0.99905, 0.99915, 0.99925};
    final ZonedDateTimeDoubleTimeSeries closingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(closingDate, closingPrice, ZoneOffset.UTC);
    final ZonedDateTime[] fixingDate = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 3, 1), DateUtils.getUTCDate(2012, 3, 2), DateUtils.getUTCDate(2012, 3, 5), DateUtils.getUTCDate(2012, 3, 6),
        DateUtils.getUTCDate(2012, 3, 7)};
    final double[] fixingRate = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
    final ZonedDateTimeDoubleTimeSeries fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(fixingDate, fixingRate, ZoneOffset.UTC);
    final ZonedDateTimeDoubleTimeSeries[] data = new ZonedDateTimeDoubleTimeSeries[] {fixingTS, closingTS};
    final FederalFundsFutureTransactionDefinition futureTransactionDefinition = new FederalFundsFutureTransactionDefinition(FUTURE_SECURITY_DEFINITION, QUANTITY, referenceDate, TRADE_PRICE);
    final FederalFundsFutureSecurity securityConverted = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS);
    final FederalFundsFutureTransaction transactionExpected = new FederalFundsFutureTransaction(securityConverted, QUANTITY, TRADE_PRICE);
    final FederalFundsFutureTransaction transactionConverted = futureTransactionDefinition.toDerivative(referenceDate, data);
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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 CouponONCompounded cpnONCompoundedStarted = (CouponONCompounded) CPN_ON_COMPOUNDED_DEFINITION.toDerivative(referenceDate, TS_ON);
    final double notionalAccrued = NOTIONAL * Math.pow(1 + fixing, CPN_ON_COMPOUNDED_DEFINITION.getFixingPeriodAccrualFactors()[0]);
    assertEquals("CouponONCompoundedDiscountingMethod: present value", notionalAccrued, cpnONCompoundedStarted.getNotionalAccrued(), TOLERANCE_PV);
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    assertEquals(ImmutableZonedDateTimeDoubleTimeSeries.class, cycleObject2.getClass());
    assertEquals(ts, cycleObject2);
  }

  public void testCycle3() {
    ZonedDateTimeDoubleTimeSeries cycleObject3 = cycleObject(ZonedDateTimeDoubleTimeSeries.class, ts);
    assertEquals(ImmutableZonedDateTimeDoubleTimeSeries.class, cycleObject3.getClass());
    assertEquals(ts, cycleObject3);
  }
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