Examples of InterestRateFutureSecurity

com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity
Description of an interest rate future security.
com.opengamma.financial.security.future.InterestRateFutureSecurity
A security for interest rate futures.

Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

    assertEquals(ExternalId.of(SCHEME, "FUTURE"), ids.get(0));
  }


  @Test
  public void testInterestRateFutureSecurity() {
    final InterestRateFutureSecurity future = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "FUTURE"), ids.get(0));
  }

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Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

    assertEquals(ExternalId.of(SCHEME, "FUTURE_EUR"), ids.get(0));
  }


  @Test
  public void testInterestRateFutureSecurity() {
    final InterestRateFutureSecurity future = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "FUTURE_USD"), ids.get(0));
  }

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Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

    assertNull(ids);
  }


  @Test
  public void testInterestRateFutureSecurity() {
    final InterestRateFutureSecurity future = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalSchemes.syntheticSecurityId("USD 3m Libor"), ids.get(0));
  }

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Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }


  @Test
  public void testInterestRateFutureSecurity() {
    final InterestRateFutureSecurity future = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }

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Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "897"));
    return security;
  }


  public static InterestRateFutureSecurity getInterestRateFutureSecurity() {
    final InterestRateFutureSecurity security = new InterestRateFutureSecurity(new Expiry(DateUtils.getUTCDate(2013, 9, 1)), TRADING, SETTLEMENT, USD, 12500,
        ExternalSchemes.syntheticSecurityId("USD 3m Libor"), "Financial");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "4567"));
    return security;
  }

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Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

  @Override
  public InstrumentDefinition<?> visitIRFutureOptionSecurity(final IRFutureOptionSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final ExternalId underlyingIdentifier = security.getUnderlyingId();
    // REVIEW Andrew 2012-01-17 -- This call to getSingle is not correct as the resolution time of the view cycle will not be considered
    final InterestRateFutureSecurity underlyingSecurity = ((InterestRateFutureSecurity) _securitySource.getSingle(ExternalIdBundle.of(underlyingIdentifier)));
    if (underlyingSecurity == null) {
      throw new OpenGammaRuntimeException("Underlying security " + underlyingIdentifier + " was not found in database");
    }
    final InterestRateFutureSecurityDefinition underlyingFuture = _underlyingConverter.visitInterestRateFutureSecurity(underlyingSecurity);
    final ZonedDateTime expirationDate = security.getExpiry().getExpiry();

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Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

    cash.setExternalIdBundle(bundle);
    final FixedIncomeStripWithSecurity cashStrip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ONE_MONTH, "DEFAULT"), Tenor.ONE_MONTH, maturity, dummyId, cash);


    dummyId = ExternalSchemes.bloombergTickerSecurityId("EDZ2 Comdty");
    bundle = ExternalIdBundle.of(dummyId);
    final FutureSecurity future = new InterestRateFutureSecurity(new Expiry(ZonedDateTime.now()), "XCSE", "XCSE", Currency.USD, 0, dummyId, "Interest Rate");
    future.setExternalIdBundle(bundle);
    final FixedIncomeStripWithSecurity futureStrip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.FUTURE, Tenor.THREE_MONTHS, 2, "DEFAULT"), Tenor.THREE_MONTHS, DateUtils.getUTCDate(2011, 12, 1), dummyId, future);


    dummyId = ExternalSchemes.bloombergTickerSecurityId("USFR0BE Curncy");
    bundle = ExternalIdBundle.of(dummyId);
    final ZonedDateTime startDate = DateUtils.getUTCDate(2011, 11, 1);

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Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

  @Override
  public InstrumentDefinition<?> visitIRFutureOptionSecurity(final IRFutureOptionSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final ExternalId underlyingIdentifier = security.getUnderlyingId();
    // REVIEW Andrew 2012-01-17 -- This call to getSingle is not correct as the resolution time of the view cycle will not be considered
    final InterestRateFutureSecurity underlyingSecurity = ((InterestRateFutureSecurity) _securitySource.getSingle(ExternalIdBundle.of(underlyingIdentifier)));
    if (underlyingSecurity == null) {
      throw new OpenGammaRuntimeException("Underlying security " + underlyingIdentifier + " was not found in database");
    }
    final InterestRateFutureSecurityDefinition underlyingFuture = _underlyingConverter.visitInterestRateFutureSecurity(underlyingSecurity);
    final ZonedDateTime expirationDate = security.getExpiry().getExpiry();

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Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

    final String settlementExchange = exchange();
    final Currency currency = currency();
    final double unitAmount = 0;
    final ExternalId underlyingIdentifier = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "EUR003M Index");
    final String category = "category";
    final InterestRateFutureSecurity security = new InterestRateFutureSecurity(expiry, tradingExchange, settlementExchange, currency, unitAmount, underlyingIdentifier, category);
    security.addExternalId(ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "ERM4 Comdty"));
    store(security);
    return security;
  }

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Examples of com.opengamma.financial.security.future.InterestRateFutureSecurity

    
    ManageableSecurity security;
    if ("FEDL01 Index".equals(id)) {
      security = new FederalFundsFutureSecurity(expiry, micExchangeCode, micExchangeCode, currency, unitAmount, underlyingIdentifier, category);
    } else {
      security = new InterestRateFutureSecurity(expiry, micExchangeCode, micExchangeCode, currency, unitAmount, underlyingIdentifier, category);
    }
    security.setName(name);
    // set identifiers
    parseIdentifiers(fieldData, security);
    return security;

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