Package com.opengamma.financial.security.option

Examples of com.opengamma.financial.security.option.EquityIndexFutureOptionSecurity$Meta

311
312
313
314
315
316
317
318
319
320
    assertEquals(ExternalId.of(SCHEME, "EQUITY_INDEX_DIVIDEND_FUTURE_OPTION"), ids.get(0));
  }

  @Test
  public void testEquityIndexFutureOptionSecurity() {
    final EquityIndexFutureOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EQUITY_INDEX_FUTURE_OPTION"), ids.get(0));
  }
View Full Code Here
313
314
315
316
317
318
319
320
321
322
    assertEquals(ExternalId.of(SCHEME, "EQUITY_INDEX_DIVIDEND_FUTURE_OPTION_USD"), ids.get(0));
  }

  @Test
  public void testEquityIndexFutureOptionSecurity() {
    final EquityIndexFutureOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EQUITY_INDEX_FUTURE_OPTION_USD"), ids.get(0));
  }
View Full Code Here
303
304
305
306
307
308
309
310
311
    assertNull(ids);
  }

  @Test
  public void testEquityIndexFutureOptionSecurity() {
    final EquityIndexFutureOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
View Full Code Here
317
318
319
320
321
322
323
324
325
326
    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }

  @Test
  public void testEquityIndexFutureOptionSecurity() {
    final EquityIndexFutureOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }
View Full Code Here
274
275
276
277
278
279
280
281
282
283
    return security;
  }

  public static EquityIndexFutureOptionSecurity getEquityIndexFutureOptionSecurity() {
    final UniqueId underlyingId = getEquityFutureSecurity().getUniqueId();
    final EquityIndexFutureOptionSecurity security = new EquityIndexFutureOptionSecurity(SETTLEMENT, new Expiry(DateUtils.getUTCDate(2013, 3, 1)), new EuropeanExerciseType(),
        ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()), 100, false, USD, 123, OptionType.CALL);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "3957"));
    return security;
  }
View Full Code Here
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
      if (exchangeMIC != null) {
        exchange = exchangeMIC;
      }
    }

    final EquityIndexFutureOptionSecurity security = new EquityIndexFutureOptionSecurity(
        exchange,
        expiry,
        exerciseType,
        ExternalSchemes.bloombergBuidSecurityId(underlyingUniqueID),
        pointValue,
        MARGIN_RESOLVER.isMargined(exchange),
        ogCurrency,
        optionStrikePrice,
        optionType);

    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    security.setUniqueId(BloombergSecurityProvider.createUniqueId(bbgUniqueID));
    //build option display name
    StringBuilder buf = new StringBuilder(rootTicker)
        .append(" ")
        .append(expiryDate)
        .append(optionType == OptionType.CALL ? " C " : " P ")
        .append(optionStrikePrice);
    security.setName(buf.toString());
    return security;
  }
View Full Code Here
47
48
49
50
51
52
53
54
55
56
57
    OptionType optionType = defn.getOptionType();
    ExerciseType exerciseType = defn.getExerciseType().convert();

    switch (defn.getListedFutureOptionType()) {
      case EQUITY_INDEX_FUTURE_OPTION:
        return new EquityIndexFutureOptionSecurity(exchange, expiry, exerciseType, underlyingId, pointValue,
                                                   isMargined, currency, strike, optionType);
      case EQUITY_DIVIDEND_FUTURE_OPTION:
        return new EquityIndexDividendFutureOptionSecurity(exchange,  expiry, exerciseType, underlyingId, pointValue,
                                                           isMargined, currency, strike, optionType);
      default:
View Full Code Here
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
      dailyValueMove *= optionSecurity.getPointValue();
    } else if (security instanceof EquityIndexOptionSecurity) {
      final EquityIndexOptionSecurity optionSecurity = (EquityIndexOptionSecurity) security;
      dailyValueMove *= optionSecurity.getPointValue();
    } else if (security instanceof EquityIndexFutureOptionSecurity) {
      final EquityIndexFutureOptionSecurity optionSecurity = (EquityIndexFutureOptionSecurity) security;
      dailyValueMove *= optionSecurity.getPointValue();
    } else if (security instanceof IRFutureOptionSecurity) {
      final IRFutureOptionSecurity optionSecurity = (IRFutureOptionSecurity) security;
      dailyValueMove *= optionSecurity.getPointValue();
    }
    // Multiply by the Trade's Quantity
    final Double dailyPnL = target.getTrade().getQuantity().doubleValue() * dailyValueMove;

    // 5. Return
View Full Code Here
300
301
302
303
304
305
306
307
308
309
    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "EQUITY_INDEX_DIVIDEND_FUTURE_OPTION_X"), ids.get(0));
  }

  @Test
  public void testEquityIndexFutureOptionSecurity() {
    final EquityIndexFutureOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "EQUITY_INDEX_FUTURE_OPTION_X"), ids.get(0));
  }
View Full Code Here
221
222
223
224
225
226
227
228
229
230
231
232
233
234
      final EquityIndexOptionSecurity option = (EquityIndexOptionSecurity) security;
      strike = option.getStrike();
      expiry = option.getExpiry();
      isCall = option.getOptionType().equals(OptionType.CALL);
    } else if (security instanceof EquityIndexFutureOptionSecurity) {
      final EquityIndexFutureOptionSecurity option = (EquityIndexFutureOptionSecurity) security;
      strike = option.getStrike();
      expiry = option.getExpiry();
      isCall = option.getOptionType().equals(OptionType.CALL);
    } else {
      throw new OpenGammaRuntimeException("Security type not handled," + security.getName());
    }
    if (expiry.getAccuracy().equals(ExpiryAccuracy.MONTH_YEAR) || expiry.getAccuracy().equals(ExpiryAccuracy.YEAR)) {
      throw new OpenGammaRuntimeException("There is ambiguity in the expiry date of the target security.");
View Full Code Here
TOP

Related Classes of com.opengamma.financial.security.option.EquityIndexFutureOptionSecurity$Meta

  • com.opengamma.bbg.loader.BloombergSecurityLoaderTest
  • com.opengamma.bbg.loader.EquityIndexFutureOptionLoader
  • com.opengamma.bbg.util.BloombergSecurityUtils
  • 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
    • 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.