Package com.opengamma.financial.security.future

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

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    assertEquals(ExternalId.of(future.getUniqueId().getScheme(), future.getUniqueId().getValue()), ids.get(0));
  }

  @Test
  public void testInterestRateFutureSecurity() {
    final InterestRateFutureSecurity future = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(future.getUniqueId().getScheme(), future.getUniqueId().getValue()), ids.get(0));
  }
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    assertNull(ids);
  }

  @Test
  public void testInterestRateFutureSecurity() {
    final InterestRateFutureSecurity future = ExposureFunctionTestHelper.getInterestRateFutureSecurity();
    final List<ExternalId> ids = future.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Trade trade = target.getTrade();
    final InterestRateFutureSecurity security = (InterestRateFutureSecurity) trade.getSecurity();
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final YieldCurveBundle bundle = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final InterestRateFutureTransactionDefinition definition = _converter.convert(trade);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final String[] yieldCurveNames = curveNames.length == 1 ? new String[] {curveNames[0], curveNames[0] } : curveNames;
    final String[] curveNamesForSecurity = FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, yieldCurveNames[0], yieldCurveNames[1]);
    final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
    final LocalDate startDate = DateUtils.previousWeekDay(now.toLocalDate().minusMonths(1));
    final HistoricalTimeSeries ts = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
    if (ts == null) {
      throw new OpenGammaRuntimeException("Could not get price time series for " + security);
    }
    final int length = ts.getTimeSeries().size();
    if (length == 0) {
      throw new OpenGammaRuntimeException("Price time series for " + security.getExternalIdBundle() + " was empty between " + startDate + " and " + now.toLocalDate());
    }
    final double lastMarginPrice = ts.getTimeSeries().getLatestValue();
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
    final MultipleCurrencyAmount theta = calculator.getTheta(definition, now, curveNamesForSecurity, bundle, lastMarginPrice, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, currency, daysForward), theta));
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          }

          @Override
          public Void visitInterestRateFutureSecurity(InterestRateFutureSecurity security) {
            assertTrue(fromSecMaster instanceof InterestRateFutureSecurity);
            InterestRateFutureSecurity actual = (InterestRateFutureSecurity) fromSecMaster;
            assertEquals(security.getCurrency(), actual.getCurrency());
            assertEquals(security.getExpiry(), actual.getExpiry());
            assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
            assertEquals(security.getName(), actual.getName());
            assertEquals(security.getSecurityType(), actual.getSecurityType());
            assertEquals(security.getSettlementExchange(), actual.getSettlementExchange());
            assertEquals(security.getTradingExchange(), actual.getTradingExchange());
            assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());
            assertEquals(security.getUnitAmount(), actual.getUnitAmount());
            assertNotNull(actual.getUniqueId());
            return null;
          }

          @Override
          public Void visitMetalFutureSecurity(MetalFutureSecurity security) {
            assertSecurity();
            return null;
          }

          @Override
          public Void visitStockFutureSecurity(StockFutureSecurity security) {
            assertSecurity();
            return null;
          }
        });
        return null;
      }

      @Override
      public Void visitSwapSecurity(SwapSecurity security) {
        assertSecurity();
        return null;
      }

      @Override
      public Void visitEquityIndexOptionSecurity(EquityIndexOptionSecurity security) {
        assertTrue(fromSecMaster instanceof EquityIndexOptionSecurity);
        EquityIndexOptionSecurity actual = (EquityIndexOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getExchange(), actual.getExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());
        assertNotNull(actual.getUniqueId());
        return null;
      }

      @Override
      public Void visitEquityOptionSecurity(EquityOptionSecurity security) {
        assertTrue(fromSecMaster instanceof EquityOptionSecurity);
        EquityOptionSecurity actual = (EquityOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getExchange(), actual.getExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;
      }

      @Override
      public Void visitEquityBarrierOptionSecurity(EquityBarrierOptionSecurity security) {
        assertSecurity();
        return null;
      }
     
      @Override
      public Void visitFXOptionSecurity(FXOptionSecurity security) {
        assertSecurity();
        return null;
      }
     
      @Override
      public Void visitNonDeliverableFXOptionSecurity(NonDeliverableFXOptionSecurity security) {
        assertSecurity();
        return null;
      }

      @Override
      public Void visitSwaptionSecurity(SwaptionSecurity security) {
        assertSecurity();
        return null;
      }

      @Override
      public Void visitIRFutureOptionSecurity(IRFutureOptionSecurity security) {
        assertTrue(fromSecMaster instanceof IRFutureOptionSecurity);
        IRFutureOptionSecurity actual = (IRFutureOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getExchange(), actual.getExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.isMargined(), actual.isMargined());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());
       
        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;          
      }

      @Override
      public Void visitCommodityFutureOptionSecurity(CommodityFutureOptionSecurity security) {
        assertTrue(fromSecMaster instanceof CommodityFutureOptionSecurity);
        CommodityFutureOptionSecurity actual = (CommodityFutureOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getTradingExchange(), actual.getTradingExchange());
        assertEquals(security.getSettlementExchange(), actual.getSettlementExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());
       
        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;
      }

      @Override
      public Void visitFxFutureOptionSecurity(FxFutureOptionSecurity security) {
        assertTrue(fromSecMaster instanceof FxFutureOptionSecurity);
        FxFutureOptionSecurity actual = (FxFutureOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getTradingExchange(), actual.getTradingExchange());
        assertEquals(security.getSettlementExchange(), actual.getSettlementExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());

        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;
      }

      @Override
      public Void visitEquityIndexDividendFutureOptionSecurity(EquityIndexDividendFutureOptionSecurity security) {

        assertTrue(fromSecMaster instanceof EquityIndexDividendFutureOptionSecurity);
        EquityIndexDividendFutureOptionSecurity actual = (EquityIndexDividendFutureOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getExchange(), actual.getExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.isMargined(), actual.isMargined());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());

        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;
      }

      @Override
      public Void visitEquityIndexFutureOptionSecurity(final EquityIndexFutureOptionSecurity security) {

        assertTrue(fromSecMaster instanceof EquityIndexFutureOptionSecurity);
        EquityIndexFutureOptionSecurity actual = (EquityIndexFutureOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getExchange(), actual.getExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.isMargined(), actual.isMargined());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());

        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;
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  }

  public static InterestRateFutureSecurity makeInterestRateFuture() {
    Expiry expiry = new Expiry(ZonedDateTime.of(LocalDateTime.of(2010, Month.JUNE, 14, 20, 0),
        ZoneOffset.UTC), ExpiryAccuracy.MIN_HOUR_DAY_MONTH_YEAR);
    InterestRateFutureSecurity sec = new InterestRateFutureSecurity(expiry, "XCME", "XCME", USD, 2500.0, ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "US0003M Index"), "Interest Rate");
    sec.setName("90DAY EURO$ FUTR Jun10");
    Set<ExternalId> identifiers = new HashSet<>();
    identifiers.add(ExternalSchemes.bloombergBuidSecurityId("IX166549-0"));
    identifiers.add(ExternalSchemes.cusipSecurityId("EDM10"));
    identifiers.add(ExternalSchemes.bloombergTickerSecurityId("EDM10 Comdty"));
    sec.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    sec.setUniqueId(BloombergSecurityProvider.createUniqueId("IX166549-0"));
    return sec;
  }
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    final InterestRateFutureSecurityDefinition securityDefinition = new InterestRateFutureSecurityDefinition(expiryDate, iborIndex, 1, paymentAccrualFactor, "", fixingCalendar);
    final InterestRateFutureTransactionDefinition transactionDefinition = new InterestRateFutureTransactionDefinition(securityDefinition, _valuationTime, price, 1);
    //return transactionDefinition;

    final Expiry expiry = new Expiry(expiryDate);
    return new InterestRateFutureSecurity(expiry, "TRADING_EXCHANGE", "SETTLEMENT_EXCHANGE", currency, _amount, _identifier, "CATEGORY");

  }
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