Examples of com.opengamma.financial.analytics.volatility.surface.BloombergBondFutureOptionVolatilitySurfaceInstrumentProvider

      schemeName = ExternalSchemes.BLOOMBERG_TICKER_WEAK.getName();
    }
    final Double useCallAboveValue = message.getDouble(CALL_FIELD_NAME);
    if (message.hasField(EXCHANGE_ID_FIELD_NAME)) {
      final String exchangeId = message.getString(EXCHANGE_ID_FIELD_NAME);
      return new BloombergBondFutureOptionVolatilitySurfaceInstrumentProvider(futureOptionPrefix, postfix, dataFieldName, useCallAboveValue, exchangeId, schemeName);
    }
    return new BloombergBondFutureOptionVolatilitySurfaceInstrumentProvider(futureOptionPrefix, postfix, dataFieldName, useCallAboveValue, DEFAULT_EXCHANGE_ID, schemeName);
  }

      String underlyingOptChainTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
      final String name = BBG_SURFACE_PREFIX + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.BOND_FUTURE_OPTION;
      if (!_knownVolSpecNames.contains(name)) {
        s_logger.info("Creating VolatilitySurfaceSpecification \"{}\"", name);
        final BloombergFutureOptionVolatilitySurfaceInstrumentProvider surfaceInstrumentProvider =
            new BloombergBondFutureOptionVolatilitySurfaceInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(), FIELD_NAME_VOL, getSpot(underlyingOptChainTicker),
                security.getTradingExchange());
        createVolatilitySpecification(security.getCurrency().getUniqueId(), name, surfaceInstrumentProvider);
      }
      createvolatilityDefinition(underlyingOptChainTicker, name, security.getCurrency().getUniqueId());
      return null;

Examples of com.opengamma.financial.analytics.volatility.surface.BloombergBondFutureOptionVolatilitySurfaceInstrumentProvider

Related Classes of com.opengamma.financial.analytics.volatility.surface.BloombergBondFutureOptionVolatilitySurfaceInstrumentProvider