@Override
/**
* Computes the Federal Funds future price using average of forward rates (not convexity
* adjustment).
*
* @param future The future security.
* @param curves The curves.
* @return The price.
*/
public double price(final FederalFundsFutureSecurity future, final YieldCurveBundle curves) {
Validate.notNull(future, "Future");
Validate.notNull(curves, "Curves");
int nbFixing = future.getFixingPeriodAccrualFactor().length;
YieldAndDiscountCurve ois = curves.getCurve(future.getOISCurveName());
double[] df = new double[nbFixing + 1];
for (int loopfix = 0; loopfix < nbFixing + 1; loopfix++) {
df[loopfix] = ois.getDiscountFactor(future.getFixingPeriodTime()[loopfix]);
}
double interest = future.getAccruedInterest();
for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
interest += df[loopfix] / df[loopfix + 1] - 1.0;
}
return 1.0 - interest / future.getFixingTotalAccrualFactor();
}
