@Test
 public void priceAfterFixing() {
   final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 3, 7);
   final ZonedDateTime[] dateFixing =
       new ZonedDateTime[] {
         DateUtils.getUTCDate(2012, 3, 1),
         DateUtils.getUTCDate(2012, 3, 2),
         DateUtils.getUTCDate(2012, 3, 5),
         DateUtils.getUTCDate(2012, 3, 6),
         DateUtils.getUTCDate(2012, 3, 7)
       };
   final double[] rateFixing = new double[] {0.0010, 0.0011, 0.0012, 0.0013, 0.0014};
   final DoubleTimeSeries<ZonedDateTime> fixingTS =
       ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(dateFixing, rateFixing);
   final FederalFundsFutureSecurity futureSecurity =
       FUTURE_SECURITY_DEFINITION.toDerivative(referenceDate, fixingTS, CURVE_NAMES);
   double interest = futureSecurity.getAccruedInterest();
   final YieldAndDiscountCurve oisCurve = CURVES.getCurve(CURVE_NAMES[0]);
   final double[] ratePeriod = new double[futureSecurity.getFixingPeriodAccrualFactor().length];
   for (int loopfix = 0;
       loopfix < futureSecurity.getFixingPeriodAccrualFactor().length;
       loopfix++) {
     ratePeriod[loopfix] =
         (oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix])
                     / oisCurve.getDiscountFactor(
                         futureSecurity.getFixingPeriodTime()[loopfix + 1])
                 - 1.0)
             / futureSecurity.getFixingPeriodAccrualFactor()[loopfix];
     interest +=
         (oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix])
                 / oisCurve.getDiscountFactor(futureSecurity.getFixingPeriodTime()[loopfix + 1])
             - 1.0);
   }
   final double rate = interest / FUTURE_SECURITY_DEFINITION.getFixingTotalAccrualFactor();
   final double priceExpected = 1.0 - rate;
   final double priceComputed = METHOD_SECURITY.price(futureSecurity, CURVES);
   assertEquals(
       "Federal Funds Future Security: price", priceExpected, priceComputed, TOLERANCE_PRICE);
 }
 @Override
 public MulticurveSensitivity visitFederalFundsFutureSecurity(
     final FederalFundsFutureSecurity futures, final ParameterProviderInterface multicurve) {
   ArgChecker.notNull(futures, "Futures");
   ArgChecker.notNull(multicurve, "Multi-curves provider");
   final IndexON index = futures.getIndex();
   final int nbFixing = futures.getFixingPeriodAccrualFactor().length;
   final double[] rates = new double[nbFixing];
   for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
     rates[loopfix] =
         multicurve
             .getMulticurveProvider()
             .getSimplyCompoundForwardRate(
                 index,
                 futures.getFixingPeriodTime()[loopfix],
                 futures.getFixingPeriodTime()[loopfix + 1],
                 futures.getFixingPeriodAccrualFactor()[loopfix]);
   }
   // Backward sweep
   final double priceBar = 1.0;
   final double interestBar = -1.0 / futures.getFixingTotalAccrualFactor() * priceBar;
   final double[] ratesBar = new double[nbFixing];
   for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
     ratesBar[loopfix] = futures.getFixingPeriodAccrualFactor()[loopfix] * interestBar;
   }
   final Map<String, List<ForwardSensitivity>> resultMap = new HashMap<>();
   final List<ForwardSensitivity> listON = new ArrayList<>();
   for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
     listON.add(
         new SimplyCompoundedForwardSensitivity(
             futures.getFixingPeriodTime()[loopfix],
             futures.getFixingPeriodTime()[loopfix + 1],
             futures.getFixingPeriodAccrualFactor()[loopfix],
             ratesBar[loopfix]));
   }
   resultMap.put(multicurve.getMulticurveProvider().getName(index), listON);
   return MulticurveSensitivity.ofForward(resultMap);
 }