Package com.opengamma.analytics.financial.instrument.future

Examples of com.opengamma.analytics.financial.instrument.future.BondFutureDefinition

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        throw new OpenGammaRuntimeException("No security found with identifiers " + deliverable.getIdentifiers() + " in bond future deliverable basket");
      }
      deliverables[i] = (BondFixedSecurityDefinition) bondSecurity.accept(_bondConverter);
      conversionFactor[i] = deliverable.getConversionFactor();
    }
    return new BondFutureDefinition(tradingLastDate, noticeFirstDate, noticeLastDate, notional, deliverables, conversionFactor);
  }
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   */
  // TODO Consider extending the function arguments to allow dynamic treatment of the reference price of the future.
  public BondFutureDefinition convert(final Trade trade) {
    ArgumentChecker.notNull(trade, "trade");
    ArgumentChecker.isTrue(trade.getSecurity() instanceof BondFutureSecurity, "Can only handle trades with security type BondFutureSecurity");
    final BondFutureDefinition underlyingFuture = (BondFutureDefinition) ((BondFutureSecurity) trade.getSecurity()).accept(_securityConverter);
    return underlyingFuture;
  }
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    final ExternalId underlyingIdentifier = security.getUnderlyingId();
    final BondFutureSecurity underlyingSecurity = ((BondFutureSecurity) _securitySource.getSingle(ExternalIdBundle.of(underlyingIdentifier)));
    if (underlyingSecurity == null) {
      throw new OpenGammaRuntimeException("Underlying security " + underlyingIdentifier + " was not found in database");
    }
    final BondFutureDefinition underlyingFuture = _underlyingConverter.visitBondFutureSecurity(underlyingSecurity);
    final ZonedDateTime expirationDate = security.getExpiry().getExpiry();
    final double strike = security.getStrike();
    final boolean isCall = security.getOptionType() == OptionType.CALL ? true : false;
    return new BondFutureOptionPremiumSecurityDefinition(underlyingFuture, expirationDate, strike, isCall);
  }
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ZonedDateTime date = ZonedDateTime.now(executionContext.getValuationClock());
    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final BondFutureSecurity security = (BondFutureSecurity) target.getSecurity();
    final BondFutureDefinition definition = (BondFutureDefinition) security.accept(_visitor);
    final Double referencePrice = 0.0; // TODO Futures Refactor
    final String[] curveNames = getCurveNames(desiredValue);
    final BondFuture bondFuture = definition.toDerivative(date, referencePrice, curveNames);
    return calculate(security, bondFuture, getData(desiredValue, inputs, target), target);
  }
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Related Classes of com.opengamma.analytics.financial.instrument.future.BondFutureDefinition

  • com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture
  • com.opengamma.financial.analytics.conversion.BondFutureOptionSecurityConverter
  • com.opengamma.financial.analytics.conversion.BondFutureSecurityConverter
  • com.opengamma.financial.analytics.conversion.BondFutureTradeConverter
  • com.opengamma.financial.analytics.model.future.BondFutureFunction
  • com.opengamma.financial.convention.calendar.Calendar
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