Package com.opengamma.financial.security.fx

Examples of com.opengamma.financial.security.fx.NonDeliverableFXForwardSecurity

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    Currency payCurrency = currencyBeanToCurrency(bean.getPayCurrency());
    double payAmount = bean.getPayAmount();
    Currency receiveCurrency = currencyBeanToCurrency(bean.getReceiveCurrency());
    double receiveAmount = bean.getReceiveAmount();
    boolean deliverInReceiveCurrency = bean.isDeliverInReceiveCurrency();
    return new NonDeliverableFXForwardSecurity(payCurrency, payAmount, receiveCurrency, receiveAmount, forwardDate, region, deliverInReceiveCurrency);
  }
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    }
    final double callAmount = NOTIONAL * fxRate;
    final Currency payCurrency = bundle._long ? bundle._secondCurrency : bundle._firstCurrency;
    final Currency receiveCurrency = bundle._long ? bundle._firstCurrency : bundle._secondCurrency;
    final String dateString = forwardDate.toString(DATE_FORMATTER);
    final NonDeliverableFXForwardSecurity security = new NonDeliverableFXForwardSecurity(payCurrency, callAmount, receiveCurrency, putAmount, forwardDate,
        REGION, getRandom(BOOLEAN_VALUES));
   
    final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
    final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
    security.setName("Pay " + payCurrency + " " + callAmountString + ", receive " + receiveCurrency + " " + putAmountString + " on " + dateString);
    return security;
  }
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    return trade;
   
  }
 
  protected ManageableTrade createNDFXForwardSecurityTrade(final Bundle bundle, final BigDecimal quantity, final SecurityPersister persister, final NameGenerator counterPartyGenerator) {
    final NonDeliverableFXForwardSecurity security = createNDFXForwardSecurity(bundle);
    if (security == null) {
      return null;
    }
    ManageableTrade trade = new ManageableTrade(quantity, persister.storeSecurity(security), bundle._tradeDate.toLocalDate(), bundle._tradeDate.toOffsetDateTime().toOffsetTime(),
        ExternalId.of(Counterparty.DEFAULT_SCHEME, counterPartyGenerator.createName()));
    trade.setPremium(security.getPayAmount());
    trade.setPremiumCurrency(security.getPayCurrency());
    return trade;
  }
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    assertEquals(ExternalId.of(SCHEME, "NONDELIVERABLE_FX_DIGITAL_OPTION"), ids.get(0));
  }

  @Test
  public void testNonDeliverableFXForwardSecurity() {
    final NonDeliverableFXForwardSecurity security = ExposureFunctionTestHelper.getNonDeliverableFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "NONDELIVERABLE_FX_FORWARD"), ids.get(0));
  }
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    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "NONDELIVERABLE_FX_DIGITAL_OPTION_USD"), ExternalId.of(SCHEME, "NONDELIVERABLE_FX_DIGITAL_OPTION_EUR"))));
  }

  @Test
  public void testNonDeliverableFXForwardSecurity() {
    final NonDeliverableFXForwardSecurity security = ExposureFunctionTestHelper.getNonDeliverableFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "NONDELIVERABLE_FX_FORWARD_USD"), ExternalId.of(SCHEME, "NONDELIVERABLE_FX_FORWARD_EUR"))));
  }
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    assertNull(ids);
  }

  @Test
  public void testNonDeliverableFXForwardSecurity() {
    final NonDeliverableFXForwardSecurity security = ExposureFunctionTestHelper.getNonDeliverableFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "USD"), ExternalId.of(SCHEME, "EUR"))));
  }

  @Test
  public void testNonDeliverableFXForwardSecurity() {
    final NonDeliverableFXForwardSecurity security = ExposureFunctionTestHelper.getNonDeliverableFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "USD"), ExternalId.of(SCHEME, "EUR"))));
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "321"));
    return security;
  }

  public static NonDeliverableFXForwardSecurity getNonDeliverableFXForwardSecurity() {
    final NonDeliverableFXForwardSecurity security = new NonDeliverableFXForwardSecurity(EUR, 10000, USD, 12000, DateUtils.getUTCDate(2014, 1, 1), DE, true);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "34"));
    return security;
  }
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    double receiveAmount = trade.getReceiveAmount().doubleValue();
    ZonedDateTime forwardDate = convertLocalDate(trade.getMaturityDate());

    ManageableSecurity security = nonDeliverable ?
        // todo - expiry should be used in construction of NonDeliverableFXForwardSecurity
        new NonDeliverableFXForwardSecurity(payCurrency, payAmount, receiveCurrency, receiveAmount, forwardDate,
                                            region, trade.getSettlementCurrency().equals(trade.getReceiveCurrency())) :
        new FXForwardSecurity(payCurrency, payAmount, receiveCurrency, receiveAmount, forwardDate, region);

    return securityArray(addIdentifier(security));
  }
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    final Currency receiveCurrency = differentCurrency(payCurrency);
    final double receiveAmount = 0;
    final ZonedDateTime forwardDate = ZonedDateTime.now().plusMonths(7);
    final ExternalId region = region();
    final boolean deliverInReceiveCurrency = bool();
    final NonDeliverableFXForwardSecurity security = new NonDeliverableFXForwardSecurity(payCurrency, payAmount, receiveCurrency, receiveAmount, forwardDate, region, deliverInReceiveCurrency);
    store(security);
    return security;
  }
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Related Classes of com.opengamma.financial.security.fx.NonDeliverableFXForwardSecurity

  • 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
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndRegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndSettlementExchangeExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndTradingExchangeExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityTypeExposureFunctionTest
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