@Test
public void toDerivativeTradeInPast() {
InterestRateFutureOptionMarginSecurity securityConverted =
OPTION_ERU2.toDerivative(REFERENCE_DATE, CURVES_NAMES);
double lastMarginPrice = 0.99;
InterestRateFutureOptionMarginTransaction transactionConverted =
OPTION_TRANSACTION.toDerivative(REFERENCE_DATE, lastMarginPrice, CURVES_NAMES);
InterestRateFutureOptionMarginTransaction transaction =
new InterestRateFutureOptionMarginTransaction(securityConverted, QUANTITY, lastMarginPrice);
assertTrue("Conversion with trade date in the past", transactionConverted.equals(transaction));
}
@Test
public void toDerivativeTradeToday() {
ZonedDateTime referenceDate = TRADE_DATE;
InterestRateFutureOptionMarginSecurity securityConverted =
OPTION_ERU2.toDerivative(referenceDate, CURVES_NAMES);
double lastMarginPrice = 0.99;
InterestRateFutureOptionMarginTransaction transactionConverted =
OPTION_TRANSACTION.toDerivative(referenceDate, lastMarginPrice, CURVES_NAMES);
InterestRateFutureOptionMarginTransaction transaction =
new InterestRateFutureOptionMarginTransaction(securityConverted, QUANTITY, TRADE_PRICE);
assertTrue("Conversion with trade date in the past", transactionConverted.equals(transaction));
}
