Package com.opengamma.analytics.financial.instrument.future

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

205
206
207
208
209
210
211
212
213
214
215
          final String[] curveNamesForSecurity = curveCalculationConfig.getCurveExposureForInstrument(curveName, strip.getInstrumentType());
          final InstrumentDefinition<?> definition = _securityConverter.visit(security);
          InstrumentDerivative derivative = _definitionConverter.convert(security, definition, now, curveNamesForSecurity, timeSeries);
          if (derivative != null) {
            if (strip.getInstrumentType() == StripInstrumentType.FUTURE) {
              final InterestRateFutureSecurityDefinition securityDefinition = (InterestRateFutureSecurityDefinition) definition;
              InterestRateFutureTransactionDefinition unitNotional = new InterestRateFutureTransactionDefinition(securityDefinition, now, marketValue, 1);
              unitNotional = unitNotional.withNewNotionalAndTransactionPrice(1, marketValue);
              InstrumentDerivative unitNotionalDerivative = _definitionConverter.convert(security, unitNotional, now, curveNamesForSecurity, timeSeries);
              unitNotionalDerivative = unitNotionalDerivative.accept(RateReplacingInterestRateDerivativeVisitor.getInstance(), marketValue);
              derivatives.add(unitNotionalDerivative);
View Full Code Here
167
168
169
170
171
172
173
174
175
176
177
        final InstrumentDerivative derivative = _definitionConverter.convert(security, definition, now, curveNamesForSecurity, timeSeries);
        if (derivative != null) {
          if (strip.getInstrumentType() == StripInstrumentType.FUTURE) {
            InstrumentDefinition<?> unitNotional;
            if (definition instanceof InterestRateFutureSecurityDefinition) {
              final InterestRateFutureSecurityDefinition securityDefinition = (InterestRateFutureSecurityDefinition) definition;
              unitNotional = new InterestRateFutureTransactionDefinition(securityDefinition, now, marketValue, 1);
            } else {
              unitNotional = ((InterestRateFutureTransactionDefinition) definition).withNewNotionalAndTransactionPrice(1, marketValue);
              // Implementation note: to have the same notional for OTC and futures (and thus not near-singular Jacobian)
            }
View Full Code Here
161
162
163
164
165
166
167
168
169
170
171
        final String[] curveNamesForSecurity = curveCalculationConfig.getCurveExposureForInstrument(curveName, strip.getInstrumentType());
        final InstrumentDefinition<?> definition = _securityConverter.visit(security);
        final InstrumentDerivative derivative = _definitionConverter.convert(security, definition, now, curveNamesForSecurity, timeSeries);
        if (derivative != null) {
          if (strip.getInstrumentType() == StripInstrumentType.FUTURE) {
            final InterestRateFutureSecurityDefinition securityDefinition = (InterestRateFutureSecurityDefinition) definition;
            InterestRateFutureTransactionDefinition unitNotional = new InterestRateFutureTransactionDefinition(securityDefinition, now, marketValue, 1);
            unitNotional = unitNotional.withNewNotionalAndTransactionPrice(1, marketValue);
            final InstrumentDerivative unitNotionalDerivative = _definitionConverter.convert(security, unitNotional, now, curveNamesForSecurity, timeSeries);
            derivatives.add(unitNotionalDerivative);
            initialRatesGuess.add(1 - marketValue);
View Full Code Here
129
130
131
132
133
134
135
136
137
    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();
    final ZoneId timeZone = startDate.getZone();
    final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), regionCalendar), time, timeZone);
    final InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(expiryDate, iborIndex, 1, paymentAccrualFactor, "", fixingCalendar);
    final InterestRateFutureTransactionDefinition transactionDefinition = new InterestRateFutureTransactionDefinition(securityDefinition, _valuationTime, price, 1);
    return transactionDefinition;
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.instrument.future.InterestRateFutureSecurityDefinition

  • com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureSecurity
  • com.opengamma.analytics.financial.model.interestrate.HullWhiteOneFactorPiecewiseConstantInterestRateModelTest
  • com.opengamma.financial.analytics.conversion.InterestRateFutureOptionSecurityConverter
  • com.opengamma.financial.analytics.conversion.InterestRateFutureOptionSecurityConverterDeprecated
  • com.opengamma.financial.analytics.conversion.InterestRateFutureSecurityConverter
  • com.opengamma.financial.analytics.conversion.InterestRateFutureSecurityConverterDeprecated
  • com.opengamma.financial.analytics.conversion.InterestRateFutureTradeConverter
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.curve.RateFutureNodeConverter
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodFunction
    • Copyright © 2018 www.massapicom. All rights reserved.
    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.