Examples of SwapFuturesPriceDeliverableSecurityDefinition

Examples of com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableSecurityDefinition

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    final Period indexTenor = iborLegConvention.getResetTenor().getPeriod();
    final int spotLagIndex = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, indexConvention.getName());
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", fixedLegConvention.getPaymentTenor().getPeriod(), fixedLegConvention.getDayCount(), iborIndex, calendar);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(deliveryDate, maturityTenor.getPeriod(), generator, notional, 0.0, false); //FIXME: rate of underlying?
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(lastTradeDate, underlying, notional);
    return new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, _valuationTime, price, 1);
  }
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Examples of com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableSecurityDefinition

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    if (!(underlyingSwap instanceof SwapFixedIborDefinition)) {
      throw new OpenGammaRuntimeException("Underlying swap was not fixed / ibor float");
    }
    final ZonedDateTime lastTradingDate = security.getExpiry().getExpiry();
    final double notional = security.getNotional();
    return new SwapFuturesPriceDeliverableSecurityDefinition(lastTradingDate, (SwapFixedIborDefinition) underlyingSwap, notional);
  }
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Examples of com.opengamma.analytics.financial.instrument.future.SwapFuturesPriceDeliverableSecurityDefinition

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    final Period indexTenor = Period.ofMonths(3);
    final int spotLagIndex = 2;
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, "USD 3m Libor");
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", Period.ofMonths(6), ACT_360, iborIndex, CALENDAR);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(DateUtils.getUTCDate(2013, 6, 19), Period.ofYears(10), generator, 1, rate, false);
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), underlying, 1);
    final SwapFuturesPriceDeliverableTransactionDefinition transaction = new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, NOW, price, 1);
    assertEquals(transaction, definition);
  }
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