Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.ExchangeTradedInstrumentExpiryCalculator

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           getDataFieldName().equals(other.getDataFieldName());
  }

  @Override
  public ExchangeTradedInstrumentExpiryCalculator getExpiryRuleCalculator() {
    final ExchangeTradedInstrumentExpiryCalculator expiryRule = EXPIRY_RULES.get(getFuturePrefix());
    if (expiryRule == null) {
      throw new OpenGammaRuntimeException("No expiry rule has been setup for " + getFuturePrefix() + ". Determine week and day pattern and add to EXPIRY_RULES.");
    }
    return expiryRule;
  }
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        final Clock snapshotClock = executionContext.getValuationClock();
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final DoubleArrayList xList = new DoubleArrayList();
        final DoubleArrayList prices = new DoubleArrayList();
        final FuturePriceCurveInstrumentProvider<Number> futurePriceCurveProvider = (FuturePriceCurveInstrumentProvider<Number>) priceCurveSpecification.getCurveInstrumentProvider();
        final ExchangeTradedInstrumentExpiryCalculator expiryCalc = futurePriceCurveProvider.getExpiryRuleCalculator();
        final LocalDate valDate = now.toLocalDate();
        if (inputs.getAllValues().isEmpty()) {
          throw new OpenGammaRuntimeException("Could not get any data for future price curve called " + curveSpecificationName);
        }
        for (final Object x : priceCurveDefinition.getXs()) {
          final Number xNum = (Number) x;
          final ExternalId identifier = futurePriceCurveProvider.getInstrument(xNum, valDate);
          final ValueRequirement requirement = new ValueRequirement(futurePriceCurveProvider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier);
          Double futurePrice = null;
          if (inputs.getValue(requirement) != null) {
            futurePrice = (Double) inputs.getValue(requirement);
            if (futurePrice != null) {
              LocalDate expiry = expiryCalc.getExpiryDate(xNum.intValue(), valDate, calendar);
              final Double ttm = TimeCalculator.getTimeBetween(valDate, expiry);
              xList.add(ttm);
              prices.add(futurePrice);
            }
          }
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        final Clock snapshotClock = executionContext.getValuationClock();
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final DoubleArrayList xList = new DoubleArrayList();
        final DoubleArrayList prices = new DoubleArrayList();
        final FuturePriceCurveInstrumentProvider<Number> futurePriceCurveProvider = (FuturePriceCurveInstrumentProvider<Number>) priceCurveSpecification.getCurveInstrumentProvider();
        final ExchangeTradedInstrumentExpiryCalculator expiryCalc = futurePriceCurveProvider.getExpiryRuleCalculator();
        final LocalDate valDate = now.toLocalDate();
        if (inputs.getAllValues().isEmpty()) {
          throw new OpenGammaRuntimeException("Could not get any data for future price curve called " + curveSpecificationName);
        }
        for (final Object x : priceCurveDefinition.getXs()) {
          final Number xNum = (Number) x;
          final ExternalId identifier = futurePriceCurveProvider.getInstrument(xNum, valDate);
          final ValueRequirement requirement = new ValueRequirement(futurePriceCurveProvider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier);
          Double futurePrice = null;
          if (inputs.getValue(requirement) != null) {
            futurePrice = (Double) inputs.getValue(requirement);
            if (futurePrice != null) {
              LocalDate expiry = expiryCalc.getExpiryDate(xNum.intValue(), valDate, calendar);
              final Double ttm = TimeCalculator.getTimeBetween(valDate, expiry);
              xList.add(ttm);
              prices.add(futurePrice);
            }
          }
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  public ExternalId getInstrument(final Number futureNumber, final LocalDate curveDate) {
    ArgumentChecker.notNull(futureNumber, "futureOptionNumber");
    ArgumentChecker.notNull(curveDate, "curve date");
    final StringBuffer ticker = new StringBuffer();
    ticker.append(getFuturePrefix());
    final ExchangeTradedInstrumentExpiryCalculator expiryRule = getExpiryRuleCalculator();
    final LocalDate expiryDate = expiryRule.getExpiryDate(futureNumber.intValue(), curveDate, WEEKDAYS);
    final String expiryCode = BloombergFutureUtils.getShortExpiryCode(expiryDate);
    ticker.append(expiryCode);
    ticker.append(" ");
    if (getExchange() != null) {
      ticker.append(getExchange());
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    return ExternalId.of(getTickerScheme(), ticker.toString());
  }
 
  @Override
  public ExchangeTradedInstrumentExpiryCalculator getExpiryRuleCalculator() {
    ExchangeTradedInstrumentExpiryCalculator expiryRule = EXPIRY_RULES.get(getFuturePrefix());
    if (expiryRule == null) {
      expiryRule = EXPIRY_RULES.get("DEFAULT");
    }
    return expiryRule;
  }
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    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final DayCount dayCount = indexConvention.getDayCount();
    final boolean eom = indexConvention.isIsEOM();
    final int spotLag = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eom, indexConvention.getName());
    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();
    final ZoneId timeZone = startDate.getZone();
    final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), regionCalendar), time, timeZone);
    final InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(expiryDate, iborIndex, 1, paymentAccrualFactor, "", fixingCalendar);
    final InterestRateFutureTransactionDefinition transactionDefinition = new InterestRateFutureTransactionDefinition(securityDefinition, _valuationTime, price, 1);
    return transactionDefinition;
  }
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    final DayCount dayCount = indexConvention.getDayCount();
    final int publicationLag = indexConvention.getPublicationLag();
    final IndexON index = new IndexON(indexConvention.getName(), currency, dayCount, publicationLag);
    final double paymentAccrualFactor = 1 / 12.;
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();
    final ZoneId timeZone = startDate.getZone();
    final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), calendar), time, timeZone);
    final FederalFundsFutureSecurityDefinition securityDefinition = FederalFundsFutureSecurityDefinition.from(expiryDate,
        index, 1, paymentAccrualFactor, "", calendar);
    final FederalFundsFutureTransactionDefinition transactionDefinition = new FederalFundsFutureTransactionDefinition(securityDefinition, 1, _valuationTime, price);
    return transactionDefinition;
  }
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  • com.opengamma.financial.analytics.volatility.surface.BloombergEquityFuturePriceCurveInstrumentProvider
  • com.opengamma.financial.analytics.volatility.surface.CommodityOptionVolatilitySurfaceDataFunction
  • com.opengamma.financial.analytics.volatility.surface.IRFutureOptionVolatilitySurfaceDataFunction
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