Examples of SwapFuturesPriceDeliverableTransaction

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

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      referencePrice = lastMarginPrice;
    } else { // Transaction is today
      referencePrice = _transactionPrice;
    }
    final SwapFuturesPriceDeliverableSecurity underlying = _underlying.toDerivative(dateTime, yieldCurveNames);
    final SwapFuturesPriceDeliverableTransaction future = new SwapFuturesPriceDeliverableTransaction(underlying, referencePrice, _quantity);
    return future;
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableTransaction

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      referencePrice = lastMarginPrice;
    } else { // Transaction is today
      referencePrice = _transactionPrice;
    }
    final SwapFuturesPriceDeliverableSecurity underlying = _underlying.toDerivative(dateTime);
    final SwapFuturesPriceDeliverableTransaction future = new SwapFuturesPriceDeliverableTransaction(underlying, referencePrice, _quantity);
    return future;
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableTransaction

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   */
  public void toDerivativeOnTradeDate() {
    final ZonedDateTime referenceDate = TRAN_DATE;
    final double lastMargin = 0.99 + 1.0 / 32.0 / 100.0;
    final SwapFuturesPriceDeliverableSecurity underlying = SWAP_FUTURES_SECURITY_DEFINITION.toDerivative(referenceDate);
    final SwapFuturesPriceDeliverableTransaction derivativeExpected = new SwapFuturesPriceDeliverableTransaction(underlying, TRAN_PRICE, QUANTITY);
    final SwapFuturesPriceDeliverableTransaction derivativeConverted = SWAP_FUTURES_TRANSACTION_DEFINITION.toDerivative(referenceDate, lastMargin);
    assertEquals("DeliverableSwapFuturesTransactionDefinition: toDerivative", derivativeExpected, derivativeConverted);
  }
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Examples of com.opengamma.analytics.financial.interestrate.future.derivative.SwapFuturesPriceDeliverableTransaction

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   */
  public void toDerivativeAfterTradeDate() {
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(TRAN_DATE, 1, NYC);
    final double lastMargin = 0.99080;
    final SwapFuturesPriceDeliverableSecurity underlying = SWAP_FUTURES_SECURITY_DEFINITION.toDerivative(referenceDate);
    final SwapFuturesPriceDeliverableTransaction derivativeExpected = new SwapFuturesPriceDeliverableTransaction(underlying, lastMargin, QUANTITY);
    final SwapFuturesPriceDeliverableTransaction derivativeConverted = SWAP_FUTURES_TRANSACTION_DEFINITION.toDerivative(referenceDate, lastMargin);
    assertEquals("DeliverableSwapFuturesTransactionDefinition: toDerivative", derivativeExpected, derivativeConverted);
  }
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