Examples of FederalFundsFutureSecurity

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

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  @Deprecated
  @Override
  public FederalFundsFutureTransaction toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime>[] data, final String... yieldCurveNames) {
    ArgumentChecker.notNull(date, "Date");
    ArgumentChecker.isTrue(data.length >= 2, "At least two time series: ON index and future closing");
    final FederalFundsFutureSecurity underlying = _underlyingFuture.toDerivative(date, data[0], yieldCurveNames);
    if (_tradeDate.equals(date)) {
      return new FederalFundsFutureTransaction(underlying, _quantity, _tradePrice);
    }
    final DoubleTimeSeries<ZonedDateTime> pastClosing = data[1].subSeries(date.minusMonths(1), date);
    ArgumentChecker.isTrue(!pastClosing.isEmpty(), "No closing price"); // There should be at least one recent margining.
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

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   */
  @Override
  public FederalFundsFutureTransaction toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime>[] data) {
    ArgumentChecker.notNull(date, "Date");
    ArgumentChecker.isTrue(data.length >= 2, "At least two time series: ON index and future closing");
    final FederalFundsFutureSecurity underlying = _underlyingFuture.toDerivative(date, data[0]);
    if (_tradeDate.equals(date)) {
      return new FederalFundsFutureTransaction(underlying, _quantity, _tradePrice);
    }
    final DoubleTimeSeries<ZonedDateTime> pastClosing = data[1].subSeries(date.minusMonths(1), date);
    ArgumentChecker.isTrue(!pastClosing.isEmpty(), "No closing price"); // There should be at least one recent margining.
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

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    ArgumentChecker.isTrue(!date.isAfter(_fixingPeriodDate[_index.getPublicationLag()]), "Date should not be after the fixing period start date");
    final double[] fixingPeriodTime = new double[_fixingPeriodDate.length];
    for (int loopfix = 0; loopfix < _fixingPeriodDate.length; loopfix++) {
      fixingPeriodTime[loopfix] = TimeCalculator.getTimeBetween(date, _fixingPeriodDate[loopfix]);
    }
    return new FederalFundsFutureSecurity(_index, 0.0, fixingPeriodTime, _fixingPeriodAccrualFactor, _fixingTotalAccrualFactor, _notional, _marginAccrualFactor, _name,
        yieldCurveNames[0]);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

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        final double[] fixingPeriodAccrualFactor = new double[_fixingPeriodDate.length - 1 - fixedPeriod];
        for (int loopfix = 0; loopfix < _fixingPeriodDate.length - fixedPeriod; loopfix++) {
          fixingPeriodTime[loopfix] = TimeCalculator.getTimeBetween(date, _fixingPeriodDate[loopfix + fixedPeriod]);
        }
        System.arraycopy(_fixingPeriodAccrualFactor, fixedPeriod, fixingPeriodAccrualFactor, 0, _fixingPeriodDate.length - 1 - fixedPeriod);
        return new FederalFundsFutureSecurity(_index, accruedInterest, fixingPeriodTime, fixingPeriodAccrualFactor, _fixingTotalAccrualFactor, _notional,
            _marginAccrualFactor, _name, yieldCurveNames[0]);
      }
      return new FederalFundsFutureSecurity(_index, accruedInterest, new double[] {TimeCalculator.getTimeBetween(date, _fixingPeriodDate[_fixingPeriodDate.length - 1])},
          new double[0], _fixingTotalAccrualFactor, _notional, _marginAccrualFactor, _name, yieldCurveNames[0]);
    }
    return new FederalFundsFutureSecurity(_index, accruedInterest, new double[] {TimeCalculator.getTimeBetween(date, _fixingPeriodDate[_fixingPeriodDate.length - 1])},
        new double[0], _fixingTotalAccrualFactor, _notional, _marginAccrualFactor, _name, yieldCurveNames[0]);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

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    ArgumentChecker.isTrue(!date.isAfter(_fixingPeriodDate[_index.getPublicationLag()]), "Date should not be after the fixing period start date");
    final double[] fixingPeriodTime = new double[_fixingPeriodDate.length];
    for (int loopfix = 0; loopfix < _fixingPeriodDate.length; loopfix++) {
      fixingPeriodTime[loopfix] = TimeCalculator.getTimeBetween(date, _fixingPeriodDate[loopfix]);
    }
    return new FederalFundsFutureSecurity(_index, 0.0, fixingPeriodTime, _fixingPeriodAccrualFactor, _fixingTotalAccrualFactor, _notional, _marginAccrualFactor, _name);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

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        final double[] fixingPeriodAccrualFactor = new double[_fixingPeriodDate.length - 1 - fixedPeriod];
        for (int loopfix = 0; loopfix < _fixingPeriodDate.length - fixedPeriod; loopfix++) {
          fixingPeriodTime[loopfix] = TimeCalculator.getTimeBetween(date, _fixingPeriodDate[loopfix + fixedPeriod]);
        }
        System.arraycopy(_fixingPeriodAccrualFactor, fixedPeriod, fixingPeriodAccrualFactor, 0, _fixingPeriodDate.length - 1 - fixedPeriod);
        return new FederalFundsFutureSecurity(_index, accruedInterest, fixingPeriodTime, fixingPeriodAccrualFactor, _fixingTotalAccrualFactor, _notional,
            _marginAccrualFactor, _name);
      }
      return new FederalFundsFutureSecurity(_index, accruedInterest, new double[] {TimeCalculator.getTimeBetween(date, _fixingPeriodDate[_fixingPeriodDate.length - 1])},
          new double[0], _fixingTotalAccrualFactor, _notional, _marginAccrualFactor, _name);
    }
    return new FederalFundsFutureSecurity(_index, accruedInterest, new double[] {TimeCalculator.getTimeBetween(date, _fixingPeriodDate[_fixingPeriodDate.length - 1])},
        new double[0], _fixingTotalAccrualFactor, _notional, _marginAccrualFactor, _name);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

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

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

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

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    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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