Package com.opengamma.financial.security.option

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

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    final double callAmount = NOTIONAL * fxRate;
    final String dateString = settlementDate.toString(DATE_FORMATTER);
    final BarrierType barrierType = bundle._up ? BarrierType.UP : BarrierType.DOWN;
    final BarrierDirection barrierDirection = BarrierDirection.KNOCK_IN;
    final MonitoringType monitoringType = MonitoringType.CONTINUOUS;
    final SamplingFrequency samplingFrequency = SamplingFrequency.DAILY_CLOSE;
    final boolean invertBarrierLevel = !CurrencyPair.of(putCurrency, callCurrency).equals(getCurrencyPair(putCurrency, callCurrency));
    // so if UP and ccy convention order, multiple, if UP and inverted ccy order, divide, if DOWN and ccy convention order multiply, if DOWN and inverted ccy order, divide.
    final double barrierLevel = bundle._up ^ invertBarrierLevel ? fxRate * 1.5 : fxRate / 1.5;
    final FXBarrierOptionSecurity fxBarrierOptionSecurity = new FXBarrierOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate, barrierType, barrierDirection,
        monitoringType, samplingFrequency, barrierLevel, bundle._long);
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    final double pointValue = 0;
    final String exchange = exchange();
    final BarrierType barrierType = barrierType();
    final BarrierDirection barrierDirection = barrierDirection();
    final MonitoringType monitoringType = monitoringType();
    final SamplingFrequency samplingFrequency = samplingFrequency();
    final double barrierLevel = 0;
    final EquityBarrierOptionSecurity security = new EquityBarrierOptionSecurity(optionType, strike, currency, underlyingId, exerciseType, expiry, pointValue, exchange, barrierType,
          barrierDirection, monitoringType, samplingFrequency, barrierLevel);
    store(security);
    return security;
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    final Expiry expiry = expiry();
    final ZonedDateTime settlementDate = expiry.getExpiry();
    final BarrierType barrierType = barrierType();
    final BarrierDirection barrierDirection = barrierDirection();
    final MonitoringType monitoringType = monitoringType();
    final SamplingFrequency samplingFrequency = samplingFrequency();
    final double barrierLevel = 0;
    final boolean isLong = bool();
    final FXBarrierOptionSecurity security = new FXBarrierOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate, barrierType, barrierDirection, monitoringType,
          samplingFrequency, barrierLevel, isLong);
    store(security);
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Related Classes of com.opengamma.financial.security.option.SamplingFrequency

  • com.opengamma.financial.generator.AbstractFXSecurityGenerator
  • com.opengamma.integration.viewer.status.impl.BloombergReferencePortfolioMaker
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