Package com.opengamma.analytics.financial.interestrate.future.derivative

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

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    }
    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);
    final FederalFundsFutureSecurity futureFedFundConverted = FUTURE_FEDFUND_DEFINITION.toDerivative(referenceDate, fixingTS);
    assertEquals("Fed fund future security definition: toDerivative", futureFedFundExpected, futureFedFundConverted);
  }
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      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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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
    final ZonedDateTime[] dateFixing = 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[] rateFixing = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014 };
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(dateFixing, rateFixing);
    final FederalFundsFutureSecurity futureSecurity = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS);
    double interest = futureSecurity.getAccruedInterest();
    final double[] ratePeriod = new double[futureSecurity.getFixingPeriodAccrualFactor().length];
    for (int loopfix = 0; loopfix < futureSecurity.getFixingPeriodAccrualFactor().length; loopfix++) {
      ratePeriod[loopfix] = MULTICURVES.getForwardRate(INDEX_FEDFUND, futureSecurity.getFixingPeriodTime()[loopfix], futureSecurity.getFixingPeriodTime()[loopfix + 1],
          futureSecurity.getFixingPeriodAccrualFactor()[loopfix]);
      interest += ratePeriod[loopfix] * futureSecurity.getFixingPeriodAccrualFactor()[loopfix];
    }
    final double rate = interest / futureSecurity.getFixingTotalAccrualFactor();
    final double priceExpected = 1.0 - rate;
    final double priceComputed = METHOD_SECURITY.price(futureSecurity, MULTICURVES);
    assertEquals("Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
  }
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
    final ZonedDateTime[] dateFixing = 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[] rateFixing = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
    final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(dateFixing, rateFixing);
    final FederalFundsFutureSecurity futureSecurity = FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAMES);
    double interest = futureSecurity.getAccruedInterest();
    final YieldAndDiscountCurve oisCurve = CURVES.getCurve(CURVE_NAMES[0]);
    final double[] ratePeriod = new double[futureSecurity.getFixingPeriodAccrualFactor().length];
    for (int loopfix = 0; loopfix < futureSecurity.getFixingPeriodAccrualFactor().length; loopfix++) {
      ratePeriod[loopfix] = (oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix]) / oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix + 1]) - 1.0)
          / futureSecurity.getFixingPeriodAccrualFactor()[loopfix];
      interest += (oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix]) / oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix + 1]) - 1.0);
    }
    final double rate = interest / FUTURE_SECURITY_DEFINITION.getFixingTotalAccrualFactor();
    final double priceExpected = 1.0 - rate;
    final double priceComputed = METHOD_SECURITY.price(futureSecurity, CURVES);
    assertEquals("Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
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Related Classes of com.opengamma.analytics.financial.interestrate.future.derivative.FederalFundsFutureSecurity

  • com.opengamma.analytics.financial.instrument.future.FederalFundsFutureSecurityDefinition
  • com.opengamma.analytics.financial.instrument.future.FederalFundsFutureSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.FederalFundsFutureTransactionDefinition
  • com.opengamma.analytics.financial.instrument.future.FederalFundsFutureTransactionDefinitionTest
  • com.opengamma.analytics.financial.interestrate.future.method.FederalFundsFutureSecurityDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.FederalFundsFutureSecurityDiscountingMethodTest
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