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

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

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    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);
    return new FederalFundsFutureSecurity(expiry, "TRADING_EXCHANGE", "SETTLEMENT_EXCHANGE", currency, _amount, _identifier, "CATEGORY");
  }
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      ZonedDateTime tradeDate = DateUtils.getUTCDate(1900, 1, 1);
      if ((trade.getTradeDate() != null) && trade.getTradeTime() != null && (trade.getTradeTime().toLocalTime() != null)) {
        tradeDate = trade.getTradeDate().atTime(trade.getTradeTime().toLocalTime()).atZone(ZoneOffset.UTC); //TODO get the real time zone
      }
      final int quantity = trade.getQuantity().intValue();
      return new FederalFundsFutureTransactionDefinition(securityDefinition, quantity, tradeDate, tradePremium);
    }
    throw new IllegalArgumentException("Can only handle FederalFundsFutureSecurity");
  }
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    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.ONE_DAY, FED_FUND_FUTURE_ID, OVERNIGHT_ID, "Mapper");
    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 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.FederalFundsFutureTransactionDefinition

  • com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity
  • com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureTransaction
  • com.opengamma.financial.analytics.conversion.FederalFundsFutureTradeConverter
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.curve.RateFutureNodeConverter
  • com.opengamma.financial.security.SecurityFromNodeConverter
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