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

    System.arraycopy(FIXING_ACCURAL_FACTOR, 3, fixingPeriodAccrualFactor, 0, fixingPeriodAccrualFactor.length);
    final double[] fixingPeriodTime = new double[FIXING_DATE.length - 3];
    for (int loopfix = 0; loopfix < FIXING_DATE.length - 3; loopfix++) {
      fixingPeriodTime[loopfix] = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE[loopfix + 3]);
    }
    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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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

    System.arraycopy(FIXING_ACCURAL_FACTOR, 4, fixingPeriodAccrualFactor, 0, fixingPeriodAccrualFactor.length);
    final double[] fixingPeriodTime = new double[FIXING_DATE.length - 4];
    for (int loopfix = 0; loopfix < FIXING_DATE.length - 4; loopfix++) {
      fixingPeriodTime[loopfix] = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE[loopfix + 4]);
    }
    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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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

    }
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(dateFixing, rateFixing, ZoneOffset.UTC);
    final double[] fixingPeriodAccrualFactor = new double[] {FIXING_ACCURAL_FACTOR[FIXING_ACCURAL_FACTOR.length - 1]};
    final double[] fixingPeriodTime = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE[FIXING_DATE.length - 2]),
        TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE[FIXING_DATE.length - 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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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

      accruedInterest += FIXING_ACCURAL_FACTOR[loopfix] * rateFixing[loopfix + 1];
    }
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(dateFixing, rateFixing, ZoneOffset.UTC);
    final double[] fixingPeriodAccrualFactor = new double[0];
    final double[] fixingPeriodTime = new double[] {TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE[FIXING_DATE.length - 1])};
    final FederalFundsFutureSecurity futureFedFundExpected = new FederalFundsFutureSecurity(INDEX_FEDFUND, accruedInterest, fixingPeriodTime, fixingPeriodAccrualFactor,
        FUTURE_FEDFUND_DEFINITION.getFixingTotalAccrualFactor(), NOTIONAL, PAYMENT_ACCURAL_FACTOR, NAME);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, fixingTS);
    assertEquals("Fed fund future security definition: toDerivative", futureFedFundExpected, futureFedFundConverted);
  }

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

  public void toDerivativeNoFixing() {
    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);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(REFERENCE_DATE);
    assertEquals("Fed fund future security definition: toDerivative", futureFedFundExpected, futureFedFundConverted);
  }

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

   * Tests the toDerivative method.
   */
  public void toDerivativeFirstDaymonth() {
    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);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, fixingTS);
    assertEquals("Fed fund future security definition: toDerivative", futureFedFundExpected, futureFedFundConverted);
  }

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

   * Tests the toDerivative method.
   */
  public void toDerivativeSecondDayMonthNoFixing() {
    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);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, fixingTS);
    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);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, fixingTS);
    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, 3, fixingPeriodAccrualFactor, 0, fixingPeriodAccrualFactor.length);
    final double[] fixingPeriodTime = new double[FIXING_DATE.length - 3];
    for (int loopfix = 0; loopfix < FIXING_DATE.length - 3; loopfix++) {
      fixingPeriodTime[loopfix] = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE[loopfix + 3]);
    }
    final FederalFundsFutureSecurity futureFedFundExpected = new FederalFundsFutureSecurity(INDEX_FEDFUND, accruedInterest, fixingPeriodTime, fixingPeriodAccrualFactor,
        FUTURE_FEDFUND_DEFINITION.getFixingTotalAccrualFactor(), NOTIONAL, PAYMENT_ACCURAL_FACTOR, NAME);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, fixingTS);
    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, 4, fixingPeriodAccrualFactor, 0, fixingPeriodAccrualFactor.length);
    final double[] fixingPeriodTime = new double[FIXING_DATE.length - 4];
    for (int loopfix = 0; loopfix < FIXING_DATE.length - 4; loopfix++) {
      fixingPeriodTime[loopfix] = TimeCalculator.getTimeBetween(referenceDate, FIXING_DATE[loopfix + 4]);
    }
    final FederalFundsFutureSecurity futureFedFundExpected = new FederalFundsFutureSecurity(INDEX_FEDFUND, accruedInterest, fixingPeriodTime, fixingPeriodAccrualFactor,
        FUTURE_FEDFUND_DEFINITION.getFixingTotalAccrualFactor(), NOTIONAL, PAYMENT_ACCURAL_FACTOR, NAME);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, fixingTS);
    assertEquals("Fed fund future security definition: toDerivative", futureFedFundExpected, futureFedFundConverted);
  }

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