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

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

65
66
67
68
69
70
71
72
73
      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 BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider(futureOptionPrefix, postfix, dataFieldName, useCallAboveValue, exchangeId, schemeName);
    }
    return new BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider(futureOptionPrefix, postfix, dataFieldName, useCallAboveValue, DEFAULT_EXCHANGE_ID, schemeName);
  }
View Full Code Here
313
314
315
316
317
318
319
320
321
322
323
324
      //      final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
      String underlyingTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
      final String name = BBG_SURFACE_PREFIX + PRICE + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.IR_FUTURE_OPTION;
      if (!_knownVolSpecNames.contains(name)) {
        s_logger.info("Creating VolatilitySurfaceSpecification \"{}\"", name);
        final BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider surfaceInstrumentProvider =
            new BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(), FIELD_NAME_PRICE, getSpot(underlyingTicker), security.getExchange());
        createVolatilitySpecification(security.getCurrency().getUniqueId(), name, surfaceInstrumentProvider, SurfaceAndCubePropertyNames.PRICE_QUOTE);
      }
      createvolatilityDefinition(underlyingTicker, name, security.getCurrency().getUniqueId());
      return null;
    }
View Full Code Here
27
28
29
30
31
32
33
34
35
36
37
38
  private static final String EXCHANGE = "EUX";
  private static final String SCHEME = ExternalSchemes.BLOOMBERG_BUID.getName();

  @Test
  public void testCycle() {
    BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider provider = new BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider(FUTURE_OPTION_PREFIX, POSTFIX,
        DATA_FIELD_NAME, CALL_ABOVE_STRIKE, EXCHANGE);
    assertEquals(provider, cycleObject(BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider.class, provider));
    provider = new BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider(FUTURE_OPTION_PREFIX, POSTFIX,
        DATA_FIELD_NAME, CALL_ABOVE_STRIKE, EXCHANGE, SCHEME);
    assertEquals(provider, cycleObject(BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider.class, provider));
  }
View Full Code Here
TOP

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

  • com.opengamma.financial.fudgemsg.BloombergIRFutureOptionVolatilitySurfaceInstrumentProviderBuilderFudgeEncodingTest
  • com.opengamma.financial.fudgemsg.BloombergIRFutureOptionVolatilitySurfaceInstrumentProviderFudgeBuilder
  • com.opengamma.integration.tool.config.VolatilitySurfaceCreator$VolSurfaceCreatorVisitor
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.