Examples of InterestRateFutureOptionPremiumTransaction

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

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  public InterestRateFutureOptionPremiumTransaction toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    final InterestRateFutureOptionPremiumSecurity option = _underlyingOption.toDerivative(date, yieldCurveNames);
    final double premiumTime = TimeCalculator.getTimeBetween(date, _premium.getPaymentDate());
    if (premiumTime < 0) { // Premium payment in the past.
      // The premium payment is in the past and is represented by a 0 payment today.
      return new InterestRateFutureOptionPremiumTransaction(option, _quantity, 0.0, 0.0);
    }
    return new InterestRateFutureOptionPremiumTransaction(option, _quantity, premiumTime, _tradePrice);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction

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  public InterestRateFutureOptionPremiumTransaction toDerivative(final ZonedDateTime date) {
    final InterestRateFutureOptionPremiumSecurity option = _underlyingOption.toDerivative(date);
    final double premiumTime = TimeCalculator.getTimeBetween(date, _premium.getPaymentDate());
    if (premiumTime < 0) { // Premium payment in the past.
      // The premium payment is in the past and is represented by a 0 payment today.
      return new InterestRateFutureOptionPremiumTransaction(option, _quantity, 0.0, 0.0);
    }
    return new InterestRateFutureOptionPremiumTransaction(option, _quantity, premiumTime, _tradePrice);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction

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  @Test
  /**
   * Tests the toDerivative method when the reference date is before the premium settlement.
   */
  public void toDerivativeBeforeSettlementDeprecated() {
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(REFERENCE_DATE, CURVES);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(REFERENCE_DATE, CURVES);
    final double premiumTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, PREMIUM_DATE);
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction

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  /**
   * Tests the toDerivative method when the reference date is on the premium settlement.
   */
  public void toDerivativeOnSettlementDeprecated() {
    final ZonedDateTime referenceDate = PREMIUM_DATE;
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate, CURVES);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate, CURVES);
    final double premiumTime = 0.0;
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction

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  /**
   * Tests the toDerivative method when the reference date is after the premium settlement.
   */
  public void toDerivativeAfterSettlementDeprecated() {
    final ZonedDateTime referenceDate = PREMIUM_DATE.plusDays(1);
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate, CURVES);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate, CURVES);
    final double premiumTime = 0.0;
    final double price = 0.0; // The payment is in the past and is represented by a 0 payment today.
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, price);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction

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  @Test
  /**
   * Tests the toDerivative method when the reference date is before the premium settlement.
   */
  public void toDerivativeBeforeSettlement() {
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(REFERENCE_DATE);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(REFERENCE_DATE);
    final double premiumTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, PREMIUM_DATE);
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction

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  /**
   * Tests the toDerivative method when the reference date is on the premium settlement.
   */
  public void toDerivativeOnSettlement() {
    final ZonedDateTime referenceDate = PREMIUM_DATE;
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate);
    final double premiumTime = 0.0;
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumTransaction

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  /**
   * Tests the toDerivative method when the reference date is after the premium settlement.
   */
  public void toDerivativeAfterSettlement() {
    final ZonedDateTime referenceDate = PREMIUM_DATE.plusDays(1);
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(referenceDate);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(referenceDate);
    final double premiumTime = 0.0;
    final double price = 0.0; // The payment is in the past and is represented by a 0 payment today.
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, price);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
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