Package com.opengamma.financial.security.option

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

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  }

  private Collection<FinancialSecurity> getSwaptions() {
    final List<FinancialSecurity> securities = new ArrayList<FinancialSecurity>();
    final int year = TODAY.getYear();
    final EuropeanExerciseType europeanExerciseType = new EuropeanExerciseType();
    final SwapSecurity swap1 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(year + 1, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 1, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 11, 6, 1, 1, 0), ZoneOffset.UTC),
        "Cpty",
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        1000000,
        1000000,
        new Expiry(ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 1, 6, 11, 0), ZoneOffset.UTC)),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 1, 6, 11, 0), ZoneOffset.UTC),
        true,
        new EuropeanExerciseType());
    vanilla1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    vanilla1.setName("FX vanilla option, put USD 1000000, receive EUR 1000000, maturity=" + vanilla1.getSettlementDate().toLocalDate());
    final FXOptionSecurity vanilla2 = new FXOptionSecurity(Currency.EUR,
        Currency.USD,
        1500000,
        1000000,
        new Expiry(ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 2, 1, 6, 11, 0), ZoneOffset.UTC)),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 2, 1, 6, 11, 0), ZoneOffset.UTC),
        true,
        new EuropeanExerciseType());
    vanilla2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    vanilla2.setName("FX vanilla option, put EUR 1500000, receive USD 1000000, maturity=" + vanilla2.getSettlementDate().toLocalDate());
    final FXBarrierOptionSecurity barrier1 = new FXBarrierOptionSecurity(Currency.USD,
        Currency.EUR,
        1000000,
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    OptionType optionType = OptionType.CALL;
    double strike = 1100.0;
    Expiry expiry = new Expiry(DateUtils.getUTCDate(2010, 12, 18));
    ExternalId underlyingUniqueID = ExternalSchemes.bloombergBuidSecurityId("EI09SPX");
   
    final EquityIndexOptionSecurity security = new EquityIndexOptionSecurity(optionType, strike, USD, underlyingUniqueID, new EuropeanExerciseType(), expiry, 100.0, "US");

    Set<ExternalId> identifiers = new HashSet<>();
    identifiers.add(ExternalSchemes.bloombergBuidSecurityId("IX5801809-0-8980"));
    identifiers.add(ExternalSchemes.bloombergTickerSecurityId(SPX_INDEX_OPTION_TICKER));
    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
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    double strike = 100.0;
    Expiry expiry = new Expiry(DateUtils.getUTCDate(2013, 12, 20));
    ExternalId underlyingUniqueID = ExternalSchemes.bloombergBuidSecurityId("IX6817069-0");

    final EquityIndexDividendFutureOptionSecurity security = new EquityIndexDividendFutureOptionSecurity(
        "EUX", expiry, new EuropeanExerciseType(), underlyingUniqueID, 100.0, true, EUR, strike, optionType);

    Set<ExternalId> identifiers = ImmutableSet.of(
        ExternalSchemes.bloombergBuidSecurityId("IX10363934-0-8C80"),
        ExternalSchemes.bloombergTickerSecurityId("DEDZ3C 100.00 Index"));
    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
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    sb.append("/");
    sb.append(callCurrency);
    sb.append(" @ ");
    sb.append(FORMATTER.format(strike));
    final FXOptionSecurity fxOption = new FXOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, new Expiry(expiryDate), expiryDate.plusDays(2),
        random.nextBoolean(), new EuropeanExerciseType());
    fxOption.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    fxOption.setName(sb.toString());
    return fxOption;
  }
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  @Produces(MediaType.APPLICATION_JSON)
  public String getExerciseTypes() {
    ImmutableList<ExerciseType> exerciseTypes = ImmutableList.<ExerciseType>of(/*new AmericanExerciseType(),
                                                                 new AsianExerciseType(),
                                                                 new BermudanExerciseType(),*/
                                                                 new EuropeanExerciseType());
    return convertToJsonArray(ExerciseType.class, exerciseTypes.iterator());
  }
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Related Classes of com.opengamma.financial.security.option.EuropeanExerciseType$Meta

  • com.opengamma.bbg.loader.SecurityLoader
  • com.opengamma.bbg.util.BloombergSecurityUtils
  • com.opengamma.examples.bloomberg.loader.ExampleVanillaFxOptionPortfolioLoader
  • com.opengamma.examples.simulated.loader.ExampleMultiAssetPortfolioLoader
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.volatility.surface.VolatilitySurfaceSpecification
  • com.opengamma.financial.fudgemsg.VolatilitySurfaceSpecificationFudgeBuilder
  • com.opengamma.financial.generator.AbstractFXSecurityGenerator
  • com.opengamma.financial.generator.SwaptionSecurityGenerator
  • com.opengamma.web.analytics.blotter.BlotterLookupResource
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