Examples of DepositZero

com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero
Class describing a deposit where the rate is expressed in a specific composition convention. Used mainly for curve construction with rates directly provided (not calibrated).

Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests toDerivative.
   */
  public void toDerivativeTrade() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 12);
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount());
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests toDerivative.
   */
  public void toDerivativeBetweenTradeAndSettle() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 13);
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount());
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests toDerivative.
   */
  public void toDerivativeSettle() {
    final ZonedDateTime referenceDate = SPOT_DATE;
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double startTime = TimeCalculator.getTimeBetween(referenceDate, SPOT_DATE);
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, NOTIONAL, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount());
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests toDerivative.
   */
  public void toDerivativeBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double startTime = 0;
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, 0.0, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount());
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  /**
   * Tests toDerivative.
   */
  public void toDerivativeMaturity() {
    final ZonedDateTime referenceDate = END_DATE;
    final DepositZero converted = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double startTime = 0;
    final double endTime = TimeCalculator.getTimeBetween(referenceDate, END_DATE);
    final DepositZero expected = new DepositZero(EUR, startTime, endTime, 0.0, NOTIONAL, DEPOSIT_AF, RATE, DEPOSIT_DEFINITION.getInterestAmount());
    assertEquals("DepositZeroDefinition: toDerivative", expected, converted);
  }

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Examples of com.opengamma.analytics.financial.interestrate.cash.derivative.DepositZero

  }


  @Test
  public void testDepositZero() {
    final double endTime = 0.03;
    final DepositZero deposit = new DepositZero(Currency.USD, 0, endTime, 100, 100, 0.25, new ContinuousInterestRate(0.03), 2);
    assertEquals(deposit.accept(LDC), endTime, 0);
  }

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