Package com.opengamma.financial.security.future

Examples of com.opengamma.financial.security.future.BondFutureSecurity

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    ExternalIdBundle bundle1 = ExternalIdBundle.of(ExternalId.of("sch1", "123"), ExternalId.of("sch1", "234"));
    ExternalIdBundle bundle2 = ExternalIdBundle.of(ExternalId.of("sch1", "345"));
    List<BondFutureDeliverable> basket = Lists.newArrayList(
        new BondFutureDeliverable(bundle1, 111),
        new BondFutureDeliverable(bundle2, 222));
    BondFutureSecurity security = new BondFutureSecurity(new Expiry(expiryDate), "exch", "settExch", Currency.GBP, 1234,
                                                         basket, firstDeliveryDate, lastDeliveryDate, "category");
    security.setName("a bond future");

    // TODO this isn't converting ExternalIdBundle properly
    JsonDataSink sink = new JsonDataSink(BlotterUtils.getJsonBuildingConverters());
    BeanTraverser traverser = new BeanTraverser(s_propertyFilter);
    BeanVisitor<JSONObject> writingVisitor = new BuildingBeanVisitor<>(security, sink);
    JSONObject json = (JSONObject) traverser.traverse(BondFutureSecurity.meta(), writingVisitor);
    assertNotNull(json);
//    System.out.println(json);

    JsonBeanDataSource dataSource = new JsonBeanDataSource(new JSONObject(json.toString()));
    MetaBeanFactory metaBeanFactory = new MapMetaBeanFactory(ImmutableSet.<MetaBean>of(
        BondFutureSecurity.meta(),
        BondFutureDeliverable.meta()));
    BeanVisitor<BeanBuilder<BondFutureSecurity>> readingVisitor =
        new BeanBuildingVisitor<>(dataSource, metaBeanFactory, BlotterUtils.getBeanBuildingConverters());
    BeanBuilder<BondFutureSecurity> beanBuilder =
        (BeanBuilder<BondFutureSecurity>) traverser.traverse(BondFutureSecurity.meta(), readingVisitor);
    BondFutureSecurity security2 = beanBuilder.build();
    assertEquals(security, security2);
  }
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    basket.add(new BondFutureDeliverable(ExternalIdBundle.of(
        ExternalSchemes.bloombergBuidSecurityId("GV912810EW4")), 1.0));
    basket.add(new BondFutureDeliverable(ExternalIdBundle.of(
        ExternalSchemes.bloombergBuidSecurityId("GV912810FA1")), 1.0396));
   
    BondFutureSecurity sec = new BondFutureSecurity(expiry, "XCBT", "XCBT", Currency.USD, 1000, basket,
                                                    LocalDate.of(2010, 6, 01).atStartOfDay(ZoneOffset.UTC),
                                                    LocalDate.of(2010, 6, 01).atStartOfDay(ZoneOffset.UTC),
                                                    "Bond");
    sec.setName("US LONG BOND(CBT) Jun10");
    Set<ExternalId> identifiers = new HashSet<ExternalId>();
    identifiers.add(ExternalSchemes.bloombergBuidSecurityId("IX8530684-0"));
    identifiers.add(ExternalSchemes.cusipSecurityId("USM10"));
    identifiers.add(ExternalSchemes.bloombergTickerSecurityId("USM10 Comdty"));
    sec.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    return sec;
  }
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    assertEquals(ExternalId.of(SCHEME, "FUTURE"), ids.get(0));
  }

  @Test
  public void testBondFutureSecurity() {
    final BondFutureSecurity future = ExposureFunctionTestHelper.getBondFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "FUTURE"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "FUTURE_USD"), ids.get(0));
  }

  @Test
  public void testBondFutureSecurity() {
    final BondFutureSecurity future = ExposureFunctionTestHelper.getBondFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "FUTURE_EUR"), ids.get(0));
  }
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    assertNull(ids);
  }

  @Test
  public void testBondFutureOptionSecurity() {
    final BondFutureSecurity future = ExposureFunctionTestHelper.getBondFutureSecurity();
    final SecuritySource securitySource = ExposureFunctionTestHelper.getSecuritySource(future);
    final ExposureFunction exposureFunction = new UnderlyingExposureFunction(securitySource);
    final BondFutureOptionSecurity security = ExposureFunctionTestHelper.getBondFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(exposureFunction);
    assertNull(ids);
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    assertNull(ids);
  }

  @Test
  public void testBondFutureSecurity() {
    final BondFutureSecurity future = ExposureFunctionTestHelper.getBondFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }

  @Test
  public void testBondFutureSecurity() {
    final BondFutureSecurity future = ExposureFunctionTestHelper.getBondFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }
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    return security;
  }

  public static BondFutureSecurity getBondFutureSecurity() {
    final Collection<BondFutureDeliverable> basket = Collections.emptySet();
    final BondFutureSecurity security = new BondFutureSecurity(new Expiry(DateUtils.getUTCDate(2015, 1, 1)), TRADING, SETTLEMENT, EUR, 1200, basket, DateUtils.getUTCDate(2015, 1, 1),
        DateUtils.getUTCDate(2015, 2, 1), "Financial");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "12345"));
    return security;
  }
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  @Override
  public InstrumentDefinition<?> visitBondFutureOptionSecurity(final BondFutureOptionSecurity security) {
    ArgumentChecker.notNull(security, "security");
    final ExternalId underlyingIdentifier = security.getUnderlyingId();
    final BondFutureSecurity underlyingSecurity = ((BondFutureSecurity) _securitySource.getSingle(ExternalIdBundle.of(underlyingIdentifier)));
    if (underlyingSecurity == null) {
      throw new OpenGammaRuntimeException("Underlying security " + underlyingIdentifier + " was not found in database");
    }
    final BondFutureDefinition underlyingFuture = _underlyingConverter.visitBondFutureSecurity(underlyingSecurity);
    final ZonedDateTime expirationDate = security.getExpiry().getExpiry();
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    Currency currency = Currency.parse(currencyStr);

    ZonedDateTime firstDeliverDate = decodeDeliveryDate(firstDeliveryDateStr);
    ZonedDateTime lastDeliverDate = decodeDeliveryDate(lastDeliveryDateStr);
    Set<BondFutureDeliverable> basket = createBondDeliverables(fieldData);
    BondFutureSecurity security = new BondFutureSecurity(expiry, micExchangeCode, micExchangeCode, currency, unitAmount, basket,
                                                         firstDeliverDate, lastDeliverDate, category);

    // set identifiers
    parseIdentifiers(fieldData, security);
    security.setName(name);
    return security;
  }
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Related Classes of com.opengamma.financial.security.future.BondFutureSecurity

  • com.opengamma.bbg.loader.BloombergSecurityLoaderTest
  • com.opengamma.bbg.loader.BondFutureLoader
  • com.opengamma.bbg.security.BloombergSecurityProviderTest
  • com.opengamma.bbg.util.BloombergSecurityUtils
  • com.opengamma.financial.analytics.conversion.BondFutureOptionSecurityConverter
  • com.opengamma.financial.analytics.curve.exposure.ContractCategoryExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.CurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.curve.exposure.RegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndCurrencyExposureFunctionTest
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