Examples of FederalFundsFutureSecurity

com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity
Description of an Federal Funds Futures.
com.opengamma.financial.security.future.FederalFundsFutureSecurity
A security for Federal funds futures.

Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

        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);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

    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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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

    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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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

    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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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

    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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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

        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);
    assertEquals("Fed fund future transaction definition: toDerivative", transactionExpected, transactionConverted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

  public void toDerivativeNoFixingDeprecated() {
    final double[] fixingPeriodTime = new double[FIXING_DATE.length];
    for (int loopfix = 0; loopfix < FIXING_DATE.length; loopfix++) {
      fixingPeriodTime[loopfix] = TimeCalculator.getTimeBetween(REFERENCE_DATE, FIXING_DATE[loopfix]);
    }
    final FederalFundsFutureSecurity futureFedFundExpected = new FederalFundsFutureSecurity(INDEX_FEDFUND, 0.0, fixingPeriodTime, FIXING_ACCURAL_FACTOR,
        FUTURE_FEDFUND_DEFINITION.getFixingTotalAccrualFactor(), NOTIONAL, PAYMENT_ACCURAL_FACTOR, NAME, CURVE_NAME);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(REFERENCE_DATE, CURVE_NAME);
    assertEquals("Fed fund future security definition: toDerivative", futureFedFundExpected, futureFedFundConverted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

   */
  @SuppressWarnings("deprecation")
  public void toDerivativeFirstDaymonthDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 1);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(DateUtils.getUTCDate(2012, 3, 1), 0.0010);
    final FederalFundsFutureSecurity futureFedFundExpected = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAME);
    assertEquals("Fed fund future security definition: toDerivative", futureFedFundExpected, futureFedFundConverted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

   */
  @SuppressWarnings("deprecation")
  public void toDerivativeSecondDayMonthNoFixingDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 2);
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(DateUtils.getUTCDate(2012, 3, 1), 0.0010);
    final FederalFundsFutureSecurity futureFedFundExpected = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, CURVE_NAME);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAME);
    assertEquals("Fed fund future security definition: toDerivative", futureFedFundExpected, futureFedFundConverted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

    System.arraycopy(FIXING_ACCURAL_FACTOR, 1, fixingPeriodAccrualFactor, 0, fixingPeriodAccrualFactor.length);
    final double[] fixingPeriodTime = new double[FIXING_DATE.length - 1];
    for (int loopfix = 0; loopfix < FIXING_DATE.length - 1; loopfix++) {
      fixingPeriodTime[loopfix] = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE[loopfix + 1]);
    }
    final FederalFundsFutureSecurity futureFedFundExpected = new FederalFundsFutureSecurity(INDEX_FEDFUND, accruedInterest, fixingPeriodTime, fixingPeriodAccrualFactor,
        FUTURE_FEDFUND_DEFINITION.getFixingTotalAccrualFactor(), NOTIONAL, PAYMENT_ACCURAL_FACTOR, NAME, CURVE_NAME);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAME);
    assertEquals("Fed fund future security definition: toDerivative", futureFedFundExpected, futureFedFundConverted);
  }

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