Examples of BondFutureOptionExpiryCalculator

    return requirements;
  }


  private static VolatilitySurfaceData<Double, Double> getSurfaceFromVolatilityQuote(final VolatilitySurfaceData<Number, Double> optionVolatilities, final ZonedDateTime now,
      final Calendar calendar) {
    final BondFutureOptionExpiryCalculator expiryCalculator = BondFutureOptionExpiryCalculator.getInstance();
    final Map<Pair<Double, Double>, Double> volatilityValues = new HashMap<Pair<Double, Double>, Double>();
    final DoubleArrayList tList = new DoubleArrayList();
    final DoubleArrayList kList = new DoubleArrayList();
    final LocalDate today = now.toLocalDate();
    for (final Number x : optionVolatilities.getXs()) {
      final Double t = TimeCalculator.getTimeBetween(today, expiryCalculator.getExpiryDate(x.intValue(), today, calendar));
      for (final Double y : optionVolatilities.getYs()) {
        final Double volatility = optionVolatilities.getVolatility(x, y);
        if (volatility != null) {
          tList.add(t);
          kList.add(y / 100.);

  }


  private static VolatilitySurfaceData<Double, Double> getSurfaceFromPriceQuote(final VolatilitySurfaceSpecification specification,
      final VolatilitySurfaceData<Number, Double> optionPrices, final NodalDoublesCurve futurePrices, final ZonedDateTime now, final String surfaceQuoteType,
      final Calendar calendar) {
    final BondFutureOptionExpiryCalculator expiryCalculator = BondFutureOptionExpiryCalculator.getInstance();
    double callAboveStrike = 0;
    if (specification.getSurfaceInstrumentProvider() instanceof CallPutSurfaceInstrumentProvider) {
      callAboveStrike = ((CallPutSurfaceInstrumentProvider<?, ?>) specification.getSurfaceInstrumentProvider()).useCallAboveStrike();
    }
    final Map<Pair<Double, Double>, Double> volatilityValues = new HashMap<Pair<Double, Double>, Double>();
    final DoubleArrayList txList = new DoubleArrayList();
    final DoubleArrayList kList = new DoubleArrayList();
    final LocalDate today = now.toLocalDate();
    final Double[] futureExpiries = futurePrices.getXData();
    final int nFutures = futureExpiries.length;
    if (nFutures == 0) {
      throw new OpenGammaRuntimeException("No future prices found for surface : " + specification.getName());
    }
    for (final Number x : optionPrices.getXs()) {
      // Loop over option expiries
      final int nFutureOption = x.intValue();
      final LocalDate futureOptionExpiryDate = expiryCalculator.getExpiryDate(nFutureOption, today, calendar);
      final Double optionExpiry = TimeCalculator.getTimeBetween(today, futureOptionExpiryDate);
      int nFuture = 0;
      while (optionExpiry > futureExpiries[nFuture]) {
        nFuture++;
      }

Examples of BondFutureOptionExpiryCalculator

Examples of com.opengamma.financial.convention.BondFutureOptionExpiryCalculator

Examples of com.opengamma.financial.convention.BondFutureOptionExpiryCalculator