Examples of RateFutureNode

com.opengamma.financial.analytics.ircurve.strips.RateFutureNode
An interest rate future curve node.

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode

      final ExternalId futureConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(FUTURE_CONVENTION_FIELD));
      final ExternalId underlyingConvention = deserializer.fieldValueToObject(ExternalId.class, message.getByName(UNDERLYING_CONVENTION_FIELD));
      final String curveNodeIdMapperName = message.getString(CURVE_MAPPER_ID_FIELD);
      if (message.hasField(NAME_FIELD)) {
        final String name = message.getString(NAME_FIELD);
        return new RateFutureNode(futureNumber, startTenor, futureTenor, underlyingTenor, futureConvention, underlyingConvention, curveNodeIdMapperName, name);
      }
      return new RateFutureNode(futureNumber, startTenor, futureTenor, underlyingTenor, futureConvention, underlyingConvention, curveNodeIdMapperName);
    }

View Full Code Here

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode

    assertEquals(node, cycleObject(FXForwardNode.class, node));
  }


  @Test
  public void testRateFutureNodeBuilder() {
    RateFutureNode node = new RateFutureNode(2, Tenor.ONE_DAY, Tenor.THREE_MONTHS, Tenor.ONE_MONTH, ExternalId.of("convention", "future"), ExternalId.of("convention", "underlying"), "TEST");
    assertEquals(node, cycleObject(RateFutureNode.class, node));
    node = new RateFutureNode(2, Tenor.ONE_DAY, Tenor.THREE_MONTHS, Tenor.ONE_MONTH, ExternalId.of("convention", "future"), ExternalId.of("convention", "underlying"), "TEST",
        null);
    assertEquals(node, cycleObject(RateFutureNode.class, node));
    node = new RateFutureNode(2, Tenor.ONE_DAY, Tenor.THREE_MONTHS, Tenor.ONE_MONTH, ExternalId.of("convention", "future"), ExternalId.of("convention", "underlying"), "TEST",
        "Name");
    assertEquals(node, cycleObject(RateFutureNode.class, node));
  }

View Full Code Here

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode

    node.accept(EMPTY_CONVENTIONS);
  }


  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNullRateFutureConvention() {
    final RateFutureNode node = new RateFutureNode(2, Tenor.ONE_DAY, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, SCHEME);
    node.accept(EMPTY_CONVENTIONS);
  }

View Full Code Here

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode

  @Test(expectedExceptions = OpenGammaRuntimeException.class)
  public void testNullRateFutureUnderlyingConvention() {
    final Map<ExternalId, Convention> map = new HashMap<>();
    map.put(RATE_FUTURE_3M_ID, RATE_FUTURE_3M);
    final CurveNodeCurrencyVisitor visitor = new CurveNodeCurrencyVisitor(new TestConventionSource(map));
    final RateFutureNode node = new RateFutureNode(2, Tenor.ONE_DAY, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, SCHEME);
    node.accept(visitor);
  }

View Full Code Here

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode

    assertEquals(Sets.newHashSet(Currency.EUR, Currency.AUD), currencies);
  }


  @Test
  public void testRateFutureNode() {
    final RateFutureNode node = new RateFutureNode(2, Tenor.ONE_DAY, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, SCHEME);
    final Set<Currency> currencies = node.accept(VISITOR);
    assertEquals(1, currencies.size());
    assertEquals(Currency.USD, currencies.iterator().next());
  }

View Full Code Here

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode

  public void testNoFutureConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, ExternalId.of(SCHEME, "Test"),
        LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
  }

View Full Code Here

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode

  public void testWrongFutureConvention() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS,
        Tenor.THREE_MONTHS, FIXED_LEG_ID, LIBOR_3M_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
  }

View Full Code Here

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode

  public void testNoUnderlyingConventionForFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS,
        Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, ExternalId.of(SCHEME, "Test"), "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
  }

View Full Code Here

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode

  public void testWrongUnderlyingConventionForFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "Data");
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    final double rate = 0.98;
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, FIXED_LEG_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE,
        marketValues, marketDataId, NOW);
    futureNode.accept(converter);
  }

View Full Code Here

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode

  public void test3M3MIRFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "US3mLibor");
    final double rate = 0.98;
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    marketValues.setDataPoint(marketDataId, rate);
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    final IborIndex index = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 3m Libor");
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = futureNode.accept(converter);
    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), index, 1, 0.25, "", CALENDAR);
    InterestRateFutureTransactionDefinition expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(1, Tenor.TWO_MONTHS, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 9, 16), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(4, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2014, 3, 17), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
    futureNode = new RateFutureNode(5, Tenor.ONE_YEAR, Tenor.THREE_MONTHS, Tenor.THREE_MONTHS, RATE_FUTURE_3M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2015, 6, 15), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
  }

View Full Code Here

0 1

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.