Package com.opengamma.analytics.financial.instrument.future

Examples of com.opengamma.analytics.financial.instrument.future.FederalFundsFutureSecurityDefinition

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    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();
    final ZoneId timeZone = startDate.getZone();
    final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), calendar), time, timeZone);
    final FederalFundsFutureSecurityDefinition securityDefinition = FederalFundsFutureSecurityDefinition.from(expiryDate,
                                                                                                              index, 1, paymentAccrualFactor, "", calendar);
    final FederalFundsFutureTransactionDefinition transactionDefinition = new FederalFundsFutureTransactionDefinition(securityDefinition, 1, _valuationTime, price);
    //return transactionDefinition;

    final Expiry expiry = new Expiry(expiryDate);
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  public InstrumentDefinitionWithData<?, DoubleTimeSeries<ZonedDateTime>[]> convert(final Trade trade) { //CSIGNORE
    ArgumentChecker.notNull(trade, "trade");
    final Security security = trade.getSecurity();
    if (security instanceof FederalFundsFutureSecurity) {
      final FederalFundsFutureSecurityDefinition securityDefinition = (FederalFundsFutureSecurityDefinition) ((FederalFundsFutureSecurity) security).accept(_securityConverter);
      double tradePremium = 0.0;
      if (trade.getPremium() != null) {
        tradePremium = trade.getPremium(); // TODO: The trade price is stored in the trade premium. This has to be corrected.
      }
      ZonedDateTime tradeDate = DateUtils.getUTCDate(1900, 1, 1);
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    final IndexON index = new IndexON(OVERNIGHT_ID.getValue(), Currency.USD, ACT_360, 1);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    final InstrumentDefinition<?> definition = futureNode.accept(converter);
    final FederalFundsFutureTransactionDefinition future = (FederalFundsFutureTransactionDefinition) definition;
    final FederalFundsFutureSecurityDefinition securityDefinition = FederalFundsFutureSecurityDefinition.from(DateUtils.getUTCDate(2013, 5, 1), index, 1, 1. / 12, "", CALENDAR);
    final FederalFundsFutureTransactionDefinition expectedFuture = new FederalFundsFutureTransactionDefinition(securityDefinition, 1, now, rate);
    assertEquals(expectedFuture, future);
  }
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    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();
    final ZoneId timeZone = startDate.getZone();
    final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), calendar), time, timeZone);
    final FederalFundsFutureSecurityDefinition securityDefinition = FederalFundsFutureSecurityDefinition.from(expiryDate,
        index, 1, paymentAccrualFactor, "", calendar);
    final FederalFundsFutureTransactionDefinition transactionDefinition = new FederalFundsFutureTransactionDefinition(securityDefinition, 1, _valuationTime, price);
    return transactionDefinition;
  }
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Related Classes of com.opengamma.analytics.financial.instrument.future.FederalFundsFutureSecurityDefinition

  • com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity
  • com.opengamma.financial.analytics.conversion.FederalFundsFutureTradeConverter
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.curve.RateFutureNodeConverter
  • com.opengamma.financial.security.SecurityFromNodeConverter
  • org.threeten.bp.ZonedDateTime
  • com.opengamma.OpenGammaRuntimeException
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