Examples of com.opengamma.examples.simulated.volatility.surface.ExampleEquityOptionVolatilitySurfaceInstrumentProvider

      
      
      final ZonedDateTime atInstant) {
    final Set<ValueRequirement> result = new HashSet<ValueRequirement>();


    final ExampleEquityOptionVolatilitySurfaceInstrumentProvider provider = (ExampleEquityOptionVolatilitySurfaceInstrumentProvider) specification.getSurfaceInstrumentProvider();
    for (final X x : definition.getXs()) {
      // don't care what these are
      for (final Y y : definition.getYs()) {
        provider.init(true); // generate puts
        final ExternalId putIdentifier = provider.getInstrument((LocalDate) x, (Double) y, atInstant.toLocalDate());
        result.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, putIdentifier));
        provider.init(false);
        final ExternalId callIdentifier = provider.getInstrument((LocalDate) x, (Double) y, atInstant.toLocalDate());
        result.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, callIdentifier));
      }
    }
    // add the underlying
    final ExternalId temp = ExternalId.of(ExternalSchemes.OG_SYNTHETIC_TICKER, definition.getTarget().getUniqueId().getValue());
    result.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, temp));

        //int numFound = 0;
        for (final Object x : _definition.getXs()) {
          for (final Object y : _definition.getYs()) {
            final double strike = (Double) y;
            final LocalDate expiry = (LocalDate) x;
            final ExampleEquityOptionVolatilitySurfaceInstrumentProvider provider = (ExampleEquityOptionVolatilitySurfaceInstrumentProvider) _specification.getSurfaceInstrumentProvider();
            if (strike < underlyingSpot) {
              provider.init(false); // generate identifiers for call options
            } else {
              provider.init(true); // generate identifiers for put options
            }
            final ExternalId identifier = provider.getInstrument(expiry, strike, now.toLocalDate());
            final ValueRequirement requirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier);
            if (inputs.getValue(requirement) != null) {
              final Double volatility = (Double) inputs.getValue(requirement);
              volatilityValues.put(Pair.of((Object) expiry, (Object) strike), volatility / 100);
            }
          }

Examples of com.opengamma.examples.simulated.volatility.surface.ExampleEquityOptionVolatilitySurfaceInstrumentProvider

Related Classes of com.opengamma.examples.simulated.volatility.surface.ExampleEquityOptionVolatilitySurfaceInstrumentProvider