/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.future;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.datasets.CalendarTarget;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventions;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCounts;
import com.opengamma.financial.convention.yield.YieldConvention;
import com.opengamma.financial.convention.yield.YieldConventionFactory;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
/**
* Examples of bond futures to be used in tests.
*/
public class BondFuturesDataSets {
// Bond futures: Bobl June 14
private static final Currency EUR = Currency.EUR;
private static final Period PAYMENT_TENOR_EUR = Period.ofYears(1);
private static final Calendar TARGET = new CalendarTarget("TARGET");
private static final DayCount DAY_COUNT_EUR = DayCounts.ACT_ACT_ICMA;
private static final BusinessDayConvention BUSINESS_DAY_EUR = BusinessDayConventions.FOLLOWING;
private static final boolean IS_EOM_EUR = false;
private static final int SETTLEMENT_DAYS_EUR = 3;
private static final YieldConvention YIELD_CONVENTION_EUR = YieldConventionFactory.INSTANCE.getYieldConvention("GERMAN BONDS");
private static final int NB_BOND_EUR = 3;
private static final Period[] BOND_TENOR_EUR = new Period[] {Period.ofYears(6), Period.ofYears(6), Period.ofYears(6) };
private static final ZonedDateTime[] START_ACCRUAL_DATE_EUR = new ZonedDateTime[] {DateUtils.getUTCDate(2013, 1, 4),
DateUtils.getUTCDate(2013, 7, 4), DateUtils.getUTCDate(2013, 2, 22) };
private static final double[] RATE_EUR = new double[] {0.0375, 0.0350, 0.0100 };
private static final double[] CONVERSION_FACTOR_EUR = new double[] {0.912067, 0.893437, 0.800111 };
private static final String DE_GOVT = "GERMANY GOVT";
private static final ZonedDateTime[] MATURITY_DATE_EUR = new ZonedDateTime[NB_BOND_EUR];
private static final BondFixedSecurityDefinition[] BASKET_DEFINITION_EUR = new BondFixedSecurityDefinition[NB_BOND_EUR];
static {
for (int loopbasket = 0; loopbasket < NB_BOND_EUR; loopbasket++) {
MATURITY_DATE_EUR[loopbasket] = START_ACCRUAL_DATE_EUR[loopbasket].plus(BOND_TENOR_EUR[loopbasket]);
BASKET_DEFINITION_EUR[loopbasket] = BondFixedSecurityDefinition.from(EUR, MATURITY_DATE_EUR[loopbasket], START_ACCRUAL_DATE_EUR[loopbasket],
PAYMENT_TENOR_EUR, RATE_EUR[loopbasket], SETTLEMENT_DAYS_EUR, TARGET, DAY_COUNT_EUR, BUSINESS_DAY_EUR, YIELD_CONVENTION_EUR, IS_EOM_EUR, DE_GOVT);
}
}
private static final ZonedDateTime LAST_TRADING_DATE_EUR = DateUtils.getUTCDate(2014, 6, 6);
private static final ZonedDateTime FIRST_NOTICE_DATE_EUR = DateUtils.getUTCDate(2014, 6, 6);
private static final ZonedDateTime LAST_NOTICE_DATE_EUR = DateUtils.getUTCDate(2014, 6, 6);
private static final double NOTIONAL_EUR = 100000;
private static final BondFuturesSecurityDefinition BOBLM4_DEFINITION = new BondFuturesSecurityDefinition(LAST_TRADING_DATE_EUR, FIRST_NOTICE_DATE_EUR,
LAST_NOTICE_DATE_EUR, NOTIONAL_EUR, BASKET_DEFINITION_EUR, CONVERSION_FACTOR_EUR);
/**
* Returns the definition of the June 14 Bobl bond futures.
* @return The bond futures.
*/
public static BondFuturesSecurityDefinition boblM4Definition() {
return BOBLM4_DEFINITION;
}
// 5-Year U.S. Treasury Note Futures: FVU1
private static final Currency USD = Currency.USD;
private static final Period PAYMENT_TENOR_USD = Period.ofMonths(6);
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT = DayCounts.ACT_ACT_ISDA;
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.FOLLOWING;
private static final boolean IS_EOM = false;
private static final int SETTLEMENT_DAYS = 1;
private static final YieldConvention YIELD_CONVENTION = YieldConventionFactory.INSTANCE.getYieldConvention("STREET CONVENTION");
private static final int NB_BOND = 7;
private static final Period[] BOND_TENOR = new Period[] {Period.ofYears(5), Period.ofYears(5), Period.ofYears(5), Period.ofYears(8), Period.ofYears(5), Period.ofYears(5), Period.ofYears(5) };
private static final ZonedDateTime[] START_ACCRUAL_DATE = new ZonedDateTime[] {DateUtils.getUTCDate(2010, 11, 30), DateUtils.getUTCDate(2010, 12, 31), DateUtils.getUTCDate(2011, 1, 31),
DateUtils.getUTCDate(2008, 2, 29), DateUtils.getUTCDate(2011, 3, 31), DateUtils.getUTCDate(2011, 4, 30), DateUtils.getUTCDate(2011, 5, 31) };
private static final double[] RATE = new double[] {0.01375, 0.02125, 0.0200, 0.02125, 0.0225, 0.0200, 0.0175 };
private static final double[] CONVERSION_FACTOR = new double[] {.8317, .8565, .8493, .8516, .8540, .8417, .8292 };
private static final String US_GOVT = "US GOVT";
private static final ZonedDateTime[] MATURITY_DATE = new ZonedDateTime[NB_BOND];
private static final BondFixedSecurityDefinition[] BASKET_DEFINITION = new BondFixedSecurityDefinition[NB_BOND];
static {
for (int loopbasket = 0; loopbasket < NB_BOND; loopbasket++) {
MATURITY_DATE[loopbasket] = START_ACCRUAL_DATE[loopbasket].plus(BOND_TENOR[loopbasket]);
BASKET_DEFINITION[loopbasket] = BondFixedSecurityDefinition.from(USD, MATURITY_DATE[loopbasket], START_ACCRUAL_DATE[loopbasket], PAYMENT_TENOR_USD, RATE[loopbasket], SETTLEMENT_DAYS, CALENDAR,
DAY_COUNT, BUSINESS_DAY, YIELD_CONVENTION, IS_EOM, US_GOVT);
}
}
private static final ZonedDateTime LAST_TRADING_DATE = DateUtils.getUTCDate(2011, 9, 21);
private static final ZonedDateTime FIRST_NOTICE_DATE = DateUtils.getUTCDate(2011, 8, 31);
private static final ZonedDateTime LAST_NOTICE_DATE = DateUtils.getUTCDate(2011, 9, 29);
private static final double NOTIONAL = 100000;
private static final BondFuturesSecurityDefinition FVU1_DEFINITION = new BondFuturesSecurityDefinition(LAST_TRADING_DATE, FIRST_NOTICE_DATE, LAST_NOTICE_DATE, NOTIONAL, BASKET_DEFINITION,
CONVERSION_FACTOR);
/**
* Returns the definition of the September 11 US 5Y-note futures.
* @return The bond futures.
*/
public static BondFuturesSecurityDefinition FVU1Definition() {
return FVU1_DEFINITION;
}
/* JPY */
private static final Currency JPY = Currency.JPY;
private static final Period PAYMENT_TENOR_JPY = Period.ofMonths(6);
private static final Calendar CALENDAR_JP = new MondayToFridayCalendar("A");
private static final DayCount DAY_COUNT_JP = DayCounts.ACT_ACT_ISDA;
private static final BusinessDayConvention BUSINESS_DAY_JP = BusinessDayConventions.FOLLOWING;
private static final boolean IS_EOM_JP = false;
private static final int SETTLEMENT_DAYS_JP = 1;
private static final YieldConvention YIELD_CONVENTION_JP = YieldConventionFactory.INSTANCE.getYieldConvention("STREET CONVENTION");
private static final String JP_GOVT = "JP GOVT";
private static final double NOTIONAL_JGB = 100000000;
//10 JGB - JBM5
private static final int NB_BOND_M_JP = 1;
private static final Period[] BOND_TENOR_M_JP = new Period[] {Period.ofYears(10)};
private static final ZonedDateTime[] START_ACCRUAL_DATE_M_JP = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 6, 20) };
private static final double[] RATE_M_JP = new double[] {0.0090};
private static final double[] CONVERSION_FACTOR_M_JP = new double[] {0.71195};
private static final ZonedDateTime[] MATURITY_DATE_M_JP = new ZonedDateTime[NB_BOND_M_JP];
private static final BondFixedSecurityDefinition[] BASKET_DEFINITION_M_JP = new BondFixedSecurityDefinition[NB_BOND_M_JP];
static {
for (int loopbasket = 0; loopbasket < NB_BOND_M_JP; loopbasket++) {
MATURITY_DATE_M_JP[loopbasket] = START_ACCRUAL_DATE_M_JP[loopbasket].plus(BOND_TENOR_M_JP[loopbasket]);
BASKET_DEFINITION_M_JP[loopbasket] = BondFixedSecurityDefinition.from(JPY, MATURITY_DATE_M_JP[loopbasket],
START_ACCRUAL_DATE_M_JP[loopbasket], PAYMENT_TENOR_JPY, RATE_M_JP[loopbasket], SETTLEMENT_DAYS_JP, CALENDAR_JP,
DAY_COUNT_JP, BUSINESS_DAY_JP, YIELD_CONVENTION_JP, IS_EOM_JP, JP_GOVT);
}
}
private static final ZonedDateTime LAST_TRADING_DATE_M_JGB = DateUtils.getUTCDate(2015, 6, 11);
private static final ZonedDateTime FIRST_NOTICE_DATE_M_JGB = DateUtils.getUTCDate(2015, 6, 11);
private static final ZonedDateTime LAST_NOTICE_DATE_M_JGB = DateUtils.getUTCDate(2015, 6, 11);
private static final ZonedDateTime FIRST_DELIVERY_DATE_M_JGB = DateUtils.getUTCDate(2015, 6, 20);
private static final ZonedDateTime LAST_DELIVERY_DATE_M_JGB = DateUtils.getUTCDate(2015, 6, 20);
public static final BondFuturesSecurityDefinition JBM5_DEFINITION =
new BondFuturesSecurityDefinition(LAST_TRADING_DATE_M_JGB, FIRST_NOTICE_DATE_M_JGB, LAST_NOTICE_DATE_M_JGB,
FIRST_DELIVERY_DATE_M_JGB, LAST_DELIVERY_DATE_M_JGB, NOTIONAL_JGB, BASKET_DEFINITION_M_JP, CONVERSION_FACTOR_M_JP);
//10 JGB - JBU5
private static final int NB_BOND_U_JP = 1;
private static final Period[] BOND_TENOR_U_JP = new Period[] {Period.ofYears(10)};
private static final ZonedDateTime[] START_ACCRUAL_DATE_U_JP = new ZonedDateTime[] {DateUtils.getUTCDate(2012, 9, 20) };
private static final double[] RATE_U_JP = new double[] {0.0080};
private static final double[] CONVERSION_FACTOR_U_JP = new double[] {0.706302};
private static final ZonedDateTime[] MATURITY_DATE_U_JP = new ZonedDateTime[NB_BOND_U_JP];
private static final BondFixedSecurityDefinition[] BASKET_DEFINITION_U_JP = new BondFixedSecurityDefinition[NB_BOND_U_JP];
static {
for (int loopbasket = 0; loopbasket < NB_BOND_U_JP; loopbasket++) {
MATURITY_DATE_U_JP[loopbasket] = START_ACCRUAL_DATE_U_JP[loopbasket].plus(BOND_TENOR_U_JP[loopbasket]);
BASKET_DEFINITION_U_JP[loopbasket] = BondFixedSecurityDefinition.from(JPY, MATURITY_DATE_U_JP[loopbasket],
START_ACCRUAL_DATE_U_JP[loopbasket], PAYMENT_TENOR_JPY, RATE_U_JP[loopbasket], SETTLEMENT_DAYS_JP, CALENDAR_JP,
DAY_COUNT_JP, BUSINESS_DAY_JP, YIELD_CONVENTION_JP, IS_EOM_JP, JP_GOVT);
}
}
private static final ZonedDateTime LAST_TRADING_DATE_U_JGB = DateUtils.getUTCDate(2015, 9, 9);
private static final ZonedDateTime FIRST_NOTICE_DATE_U_JGB = DateUtils.getUTCDate(2015, 9, 9);
private static final ZonedDateTime LAST_NOTICE_DATE_U_JGB = DateUtils.getUTCDate(2015, 9, 9);
private static final ZonedDateTime FIRST_DELIVERY_DATE_U_JGB = DateUtils.getUTCDate(2015, 9, 18);
private static final ZonedDateTime LAST_DELIVERY_DATE_U_JGB = DateUtils.getUTCDate(2015, 9, 18);
public static final BondFuturesSecurityDefinition JBU5_DEFINITION =
new BondFuturesSecurityDefinition(LAST_TRADING_DATE_U_JGB, FIRST_NOTICE_DATE_U_JGB, LAST_NOTICE_DATE_U_JGB,
FIRST_DELIVERY_DATE_U_JGB, LAST_DELIVERY_DATE_U_JGB, NOTIONAL_JGB, BASKET_DEFINITION_U_JP, CONVERSION_FACTOR_U_JP);
}