Package com.opengamma.financial.analytics.volatility.surface

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

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    String dataField = message.getString(DATA_FIELD_NAME);
    //backward compatibility
    if (dataField == null) {
      dataField = message.getString("dataFieldName");
    }
    return new BloombergEquityOptionVolatilitySurfaceInstrumentProvider(prefix, postfix, dataField);
  }
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                new BloombergSwaptionVolatilitySurfaceInstrumentProvider("US", "SV", true, false, " Curncy")))));
  }

  @Test
  public void testEOCycle() {
    final BloombergEquityOptionVolatilitySurfaceInstrumentProvider instrumentProvider = new BloombergEquityOptionVolatilitySurfaceInstrumentProvider("DJX", "Index", MarketDataRequirementNames.IMPLIED_VOLATILITY);
    final VolatilitySurfaceSpecification spec = new VolatilitySurfaceSpecification("DEFAULT", UniqueId.of(ExternalSchemes.BLOOMBERG_TICKER_WEAK.getName(), "DJX Index"),
        SurfaceAndCubeQuoteType.CALL_AND_PUT_STRIKE, instrumentProvider);
    AssertJUnit.assertEquals(spec, cycleObject(VolatilitySurfaceSpecification.class, spec));
    AssertJUnit.assertFalse(spec.equals(
        cycleObject(VolatilitySurfaceSpecification.class,
            new VolatilitySurfaceSpecification("DEFAULT", UniqueId.of(ExternalSchemes.BLOOMBERG_TICKER.getName(), "DJX Index"),
                SurfaceAndCubeQuoteType.CALL_AND_PUT_STRIKE,
                new BloombergEquityOptionVolatilitySurfaceInstrumentProvider("DJX", "Index", MarketDataRequirementNames.MID_IMPLIED_VOLATILITY)))));
  }
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  private static final String EQUITY_OPTION_PREFIX = "DJX";
  private static final String POSTFIX = "Index";

  @Test
  public void testCycle() {
    final BloombergEquityOptionVolatilitySurfaceInstrumentProvider provider = new BloombergEquityOptionVolatilitySurfaceInstrumentProvider(EQUITY_OPTION_PREFIX, POSTFIX,
        DATA_FIELD_NAME);
    assertEquals(provider, cycleObject(BloombergEquityOptionVolatilitySurfaceInstrumentProvider.class, provider));
  }
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Related Classes of com.opengamma.financial.analytics.volatility.surface.BloombergEquityOptionVolatilitySurfaceInstrumentProvider

  • com.opengamma.financial.fudgemsg.BloombergEquityOptionVolatilitySurfaceInstrumentProviderBuilderFudgeEncodingDeprecatedTest
  • com.opengamma.financial.fudgemsg.BloombergEquityOptionVolatilitySurfaceInstrumentProviderFudgeBuilderDeprecated
  • com.opengamma.financial.fudgemsg.VolatilitySurfaceSpecificationFudgeEncodingTest
  • com.opengamma.OpenGammaRuntimeException
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