Package com.opengamma.financial.security.option

Examples of com.opengamma.financial.security.option.FXDigitalOptionSecurity

52
53
54
55
56
57
58
59
    Currency putCurrency = currencyBeanToCurrency(bean.getPutCurrency());
    Currency callCurrency = currencyBeanToCurrency(bean.getCallCurrency());
    Currency paymentCurrency = currencyBeanToCurrency(bean.getPaymentCurrency());
    Expiry expiry = expiryBeanToExpiry(bean.getExpiry());
    ZonedDateTime settlementDate = Converters.zonedDateTimeBeanToDateTimeWithZone(bean.getSettlementDate());
    FXDigitalOptionSecurity sec = new FXDigitalOptionSecurity(putCurrency, callCurrency, bean.getPutAmount(), bean.getCallAmount(), paymentCurrency, expiry, settlementDate, bean.getIsLong());
    return sec;
  }
View Full Code Here
390
391
392
393
394
395
396
397
398
399
    assertEquals(ExternalId.of(security.getUniqueId().getScheme(), security.getUniqueId().getValue()), ids.get(0));
  }

  @Test
  public void testFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = ExposureFunctionTestHelper.getFXDigitalOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(security.getUniqueId().getScheme(), security.getUniqueId().getValue()), ids.get(0));
  }
View Full Code Here
362
363
364
365
366
367
368
369
370
    assertNull(ids);
  }

  @Test
  public void testFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = ExposureFunctionTestHelper.getFXDigitalOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
View Full Code Here
373
374
375
376
377
378
379
380
381
    assertNull(ids);
  }

  @Test
  public void testFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = ExposureFunctionTestHelper.getFXDigitalOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
View Full Code Here
333
334
335
336
337
338
339
340
341
    assertNull(ids);
  }

  @Test
  public void testFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = ExposureFunctionTestHelper.getFXDigitalOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
View Full Code Here
367
368
369
370
371
372
373
374
375
    assertNull(ids);
  }

  @Test
  public void testFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = ExposureFunctionTestHelper.getFXDigitalOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
View Full Code Here
39
40
41
42
43
44
45
46
47
48
49
50
  protected ValueRequirement getMarketDataRequirement(FinancialSecurity security) {
    if (security instanceof FXBarrierOptionSecurity) {
      final FXBarrierOptionSecurity barrierOption = (FXBarrierOptionSecurity) security;
      return ConventionBasedFXRateFunction.getSpotRateRequirement(barrierOption.getCallCurrency(), barrierOption.getPutCurrency());
    } else if (security instanceof FXDigitalOptionSecurity) {
      final FXDigitalOptionSecurity digitalOption = (FXDigitalOptionSecurity) security;
      return ConventionBasedFXRateFunction.getSpotRateRequirement(digitalOption.getCallCurrency(), digitalOption.getPutCurrency());
    } else {
      throw new OpenGammaRuntimeException("Got unexpected security type " + security);
    }

  }
View Full Code Here
62
63
64
65
66
67
68
69
70
71
72
  public double getBarrierLevel(FinancialSecurity security) {
    // yes this should be a visitor
    if (security instanceof FXBarrierOptionSecurity) {
      return ((FXBarrierOptionSecurity) security).getBarrierLevel();
    } else if (security instanceof FXDigitalOptionSecurity) {
      final FXDigitalOptionSecurity digitalSecurity = (FXDigitalOptionSecurity) security;
      return digitalSecurity.getCallAmount() / digitalSecurity.getPutAmount();
    } else {
      throw new OpenGammaRuntimeException("Got unexpected security type " + security);
    }
  }
View Full Code Here
TOP

Related Classes of com.opengamma.financial.security.option.FXDigitalOptionSecurity

  • 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
    • 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.