Examples of EnergyFuture

Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFuture

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  public void testEnergyFutureOption() {
    final double answer = 4.415360077156871;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFuture

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  public void testEnergyFutureOption() {
    final double answer = 53.948020295136104;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFuture

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  public void testEnergyFutureOption() {
    final double answer = 0.018277536548956183;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double gamma = option.accept(PRICER, MARKET);
    assertEquals(answer, gamma, TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFuture

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  public void testEnergyFutureOption() {
    final double answer = -24.356026185994125;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFuture

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  public void testEnergyFutureOption() {
    final double answer = 34.09937339281426;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFuture

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  public void testToDerivative() {
    EnergyFutureDefinition first = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, 100., null, null, 1000., "tonnes", SettlementType.CASH, 0, Currency.GBP, SETTLEMENT_DATE);
    EnergyFutureDefinition second = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, 100., FIRST_DELIVERY_DATE, LAST_DELIVERY_DATE, 1000., "tonnes", SettlementType.PHYSICAL, 0, Currency.GBP,
        SETTLEMENT_DATE);

    EnergyFuture firstDerivative = first.toDerivative(A_DATE);
    EnergyFuture secondDerivative = second.toDerivative(A_DATE);
    assertEquals(firstDerivative.getAmount(), 1000.);
    assertEquals(firstDerivative.getUnitAmount(), 100.);
    assertEquals(firstDerivative.getUnitName(), "tonnes");
    assertEquals(firstDerivative.getExpiry(), 0.0027397260273972603);
    assertNull(firstDerivative.getFirstDeliveryDate());
    assertNull(firstDerivative.getLastDeliveryDate());
    assertEquals(firstDerivative.getSettlementType(), SettlementType.CASH);
    assertEquals(firstDerivative.getUnderlying(), AN_UNDERLYING);
    assertEquals(secondDerivative.getFirstDeliveryDate(), FIRST_DELIVERY_DATE);
    assertEquals(secondDerivative.getLastDeliveryDate(), LAST_DELIVERY_DATE);
    assertEquals(secondDerivative.getSettlementType(), SettlementType.PHYSICAL);

    EnergyFuture firstDerivative2 = new EnergyFuture(0.0027397260273972603, AN_UNDERLYING, 100, null, null, 1000, "tonnes", SettlementType.CASH, 1.0035032562317538, 0, Currency.GBP);
    assertEquals(firstDerivative.hashCode(), firstDerivative2.hashCode());
    assertEquals(firstDerivative, firstDerivative2);
  }
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Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFuture

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  public void testEnergyFutureOption() {
    final double answer = -4.26707704009691;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFuture

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  public void testEnergyFutureOption() {
    final double answer = 0.8830720154313743;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFuture

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  public void testEnergyFutureOption() {
    final double answer = 0.09508183338835174;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }
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Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFuture

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  @Override
  public EnergyFuture toDerivative(final ZonedDateTime date) {
    ArgumentChecker.inOrderOrEqual(date, this.getExpiryDate(), "date", "expiry date");
    final double timeToFixing = TimeCalculator.getTimeBetween(date, this.getExpiryDate());
    final double timeToSettlement = TimeCalculator.getTimeBetween(date, this.getSettlementDate());
    return new EnergyFuture(timeToFixing, getUnderlying(), getUnitAmount(), getFirstDeliveryDate(), getLastDeliveryDate(), getAmount(), getUnitName(), getSettlementType(), timeToSettlement,
        getReferencePrice(), getCurrency());
  }
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