Examples of DepositIborDefinition

com.opengamma.analytics.financial.instrument.cash.DepositIborDefinition
Class describing a deposit underlying a Ibor index. Used in particular for Ibor fixing and curve construction.

Examples of com.opengamma.analytics.financial.instrument.cash.DepositIborDefinition

      final int spotLag = iborConvention.getSettlementDays();
      final boolean eom = iborConvention.isIsEOM();
      final long months = maturityPeriod.toTotalMonths() - startPeriod.toTotalMonths();
      final Period indexTenor = Period.ofMonths((int) months);
      final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eom, convention.getName());
      return new DepositIborDefinition(currency, startDate, endDate, 1, rate, accrualFactor, iborIndex);
    } else {
      throw new OpenGammaRuntimeException("Could not handle convention of type " + convention.getClass());
    }
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.cash.DepositIborDefinition

    final ZonedDateTime now = DateUtils.getUTCDate(2013, 2, 4);
    CurveNode iborNode = new CashNode(Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new CashNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = iborNode.accept(converter);
    assertTrue(definition instanceof DepositIborDefinition);
    DepositIborDefinition ibor = (DepositIborDefinition) definition;
    final IborIndex ibor3m = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    DepositIborDefinition expectedLibor = new DepositIborDefinition(Currency.USD, DateUtils.getUTCDate(2013, 2, 6), DateUtils.getUTCDate(2013, 5, 6), 1, rate, 90. / 360, ibor3m);
    assertEquals(expectedLibor, ibor);
    iborNode = new CashNode(Tenor.of(Period.ZERO), Tenor.SIX_MONTHS, LIBOR_6M_ID, "Mapper");
    definition = iborNode.accept(converter);
    assertTrue(definition instanceof DepositIborDefinition);
    ibor = (DepositIborDefinition) definition;
    final IborIndex ibor6m = new IborIndex(Currency.USD, Tenor.SIX_MONTHS.getPeriod(), 2, ACT_360, MODIFIED_FOLLOWING, false, LIBOR_6M_ID.getValue());
    expectedLibor = new DepositIborDefinition(Currency.USD, DateUtils.getUTCDate(2013, 2, 6), DateUtils.getUTCDate(2013, 8, 6), 1, rate, 181. / 360, ibor6m);
    assertEquals(expectedLibor, ibor);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.cash.DepositIborDefinition


  private static final String CURVE_NAME = "Curve";


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void nullCurrency() {
    new DepositIborDefinition(null, SPOT_DATE, END_DATE, NOTIONAL, RATE, DEPOSIT_AF, INDEX);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.cash.DepositIborDefinition

    new DepositIborDefinition(null, SPOT_DATE, END_DATE, NOTIONAL, RATE, DEPOSIT_AF, INDEX);
  }


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void nullIndex() {
    new DepositIborDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE, DEPOSIT_AF, null);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.cash.DepositIborDefinition

  @Test
  /**
   * Tests the builders.
   */
  public void from() {
    final DepositIborDefinition fromTradeTenor = DepositIborDefinition.fromTrade(TRADE_DATE, NOTIONAL, RATE, INDEX, NO_HOLIDAYS);
    assertEquals("DepositDefinition: from", DEPOSIT_IBOR_DEFINITION, fromTradeTenor);
    final DepositIborDefinition fromStartTenor = DepositIborDefinition.fromStart(SPOT_DATE, NOTIONAL, RATE, INDEX, NO_HOLIDAYS);
    assertEquals("DepositDefinition: from", DEPOSIT_IBOR_DEFINITION, fromStartTenor);
  }

View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.cash.DepositIborDefinition

   */
  public void parSpreadBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final DepositIbor deposit = DEPOSIT_IBOR_DEFINITION.toDerivative(referenceDate);
    final double parSpread = METHOD_DEPOSIT.parSpread(deposit, PROVIDER_MULTICURVES);
    final DepositIborDefinition deposit0Definition = DepositIborDefinition.fromTrade(referenceDate, NOTIONAL, RATE + parSpread, EURIBOR3M, CALENDAR);
    final DepositIbor deposit0 = deposit0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, PROVIDER_MULTICURVES);
    assertEquals("DepositDefinition: present value", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }

View Full Code Here

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.