Package com.opengamma.financial.analytics.ircurve.strips

Examples of com.opengamma.financial.analytics.ircurve.strips.RateFutureNode.accept()

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    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);
  }
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    marketValues.setDataPoint(marketDataId, rate);
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_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, 5, 13), 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.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
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    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 5, 13), 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.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 7, 15), 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.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
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    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 7, 15), 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.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 8, 19), 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.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
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    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 8, 19), 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.ONE_MONTH, Tenor.THREE_MONTHS, RATE_FUTURE_1M_ID, LIBOR_3M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2014, 9, 15), index, 1, 0.25, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
  }
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    final double accrual = 1. / 12;
    RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    final IborIndex index = new IborIndex(Currency.USD, Tenor.ONE_MONTH.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, "USD 1m 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, accrual, "", 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.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
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    InterestRateFutureTransactionDefinition future = (InterestRateFutureTransactionDefinition) definition;
    InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), index, 1, accrual, "", 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.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 9, 16), index, 1, accrual, "", 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.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
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    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2013, 9, 16), index, 1, accrual, "", 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.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2014, 3, 17), index, 1, accrual, "", 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.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
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    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2014, 3, 17), index, 1, accrual, "", 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.ONE_MONTH, RATE_FUTURE_3M_ID, LIBOR_1M_ID, "Mapper");
    definition = futureNode.accept(converter);
    future = (InterestRateFutureTransactionDefinition) definition;
    securityDefinition = new InterestRateFutureSecurityDefinition(DateUtils.getUTCDate(2015, 6, 15), index, 1, accrual, "", CALENDAR);
    expectedFuture = new InterestRateFutureTransactionDefinition(securityDefinition, now, rate, 1).withNewNotionalAndTransactionPrice(1, rate);
    assertEquals(expectedFuture, future);
  }
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    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.ONE_DAY, FED_FUND_FUTURE_ID, OVERNIGHT_ID, "Mapper");
    final IndexON index = new IndexON(OVERNIGHT_ID.getValue(), Currency.USD, ACT_360, 1);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    final InstrumentDefinition<?> definition = futureNode.accept(converter);
    final FederalFundsFutureTransactionDefinition future = (FederalFundsFutureTransactionDefinition) definition;
    final FederalFundsFutureSecurityDefinition securityDefinition = FederalFundsFutureSecurityDefinition.from(DateUtils.getUTCDate(2013, 5, 1), index, 1, 1. / 12, "", CALENDAR);
    final FederalFundsFutureTransactionDefinition expectedFuture = new FederalFundsFutureTransactionDefinition(securityDefinition, 1, now, rate);
    assertEquals(expectedFuture, future);
  }
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