Package com.opengamma.util.time

Examples of com.opengamma.util.time.Expiry

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      zdt = ZonedDateTime.ofInstant(Instant.ofEpochSecond(epochSeconds), ZoneOffset.UTC);
    } else {
      zdt = ZonedDateTime.ofInstant(Instant.ofEpochSecond(epochSeconds), ZoneId.of(zonedDateTimeBean.getZone()));
    }

    return new Expiry(zdt, bean.getAccuracy());
  }
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      return expiry.getExpiry().toString();
    }

    @Override
    public Expiry convertFromString(Class<? extends Expiry> cls, String str) {
      return new Expiry(ZonedDateTime.parse(str));
    }
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    Triple<String, UniqueId, LocalDate> object = Triple.of(null, UniqueId.of("A", "B"), LocalDate.of(2011, 6, 30));
    assertEncodeDecodeCycle(Triple.class, object);
  }

  public void test_TypeWithSecondaryTypeAndBuilderEncoding() {
    Triple<Tenor, Tenor, Expiry> object = Triple.of(Tenor.DAY, Tenor.TEN_MONTHS, new Expiry(ZonedDateTime.now(), ExpiryAccuracy.DAY_MONTH_YEAR));
    assertEncodeDecodeCycle(Triple.class, object);
  }
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      rate = getRate(underlying.getReceiveLeg());
      if (rate == null) {
        return null;
      }
    }
    final SwaptionSecurity security = new SwaptionSecurity(isPayer, getSecurityPersister().storeSecurity(underlying).iterator().next(), isLong, new Expiry(expiry), isCashSettled, currency, notional,
        new EuropeanExerciseType(), settlementDate);
    security.setName(createName(currency, optionLength, (int) MONTHS.between(underlying.getEffectiveDate(), underlying.getMaturityDate()), notional, rate));
    return security;
  }
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    final Collection<FinancialSecurity> securities = new ArrayList<>();
    final int[] amounts = new int[N_FUTURES];
    final double[] prices = new double[N_FUTURES];
    for (int i = 0; i < N_FUTURES; i++) {
      final int n = 1 + random.nextInt(5);
      final Expiry expiry = new Expiry(tradeDate.plusMonths(3 * n).with(THIRD_WED_ADJUSTER));
      final String letter = MONTHS.get(expiry.getExpiry().getMonth());
      final String year = Integer.toString(expiry.getExpiry().getYear() - 2010);
      final String code = "ER" + letter + year;
      final FutureSecurity security = new InterestRateFutureSecurity(expiry, "XLIF", "XLIF", CURRENCY, 2500, EURIBOR_3M, "Interest rate");
      security.setName(code);
      security.setExternalIdBundle(ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId(code)));
      security.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
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    ExternalIdBundle bundle1 = ExternalIdBundle.of(ExternalId.of("sch1", "123"), ExternalId.of("sch1", "234"));
    ExternalIdBundle bundle2 = ExternalIdBundle.of(ExternalId.of("sch1", "345"));
    List<BondFutureDeliverable> basket = Lists.newArrayList(
        new BondFutureDeliverable(bundle1, 111),
        new BondFutureDeliverable(bundle2, 222));
    BondFutureSecurity security = new BondFutureSecurity(new Expiry(expiryDate), "exch", "settExch", Currency.GBP, 1234,
                                                         basket, firstDeliveryDate, lastDeliveryDate, "category");
    security.setName("a bond future");

    // TODO this isn't converting ExternalIdBundle properly
    JsonDataSink sink = new JsonDataSink(BlotterUtils.getJsonBuildingConverters());
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  protected FXBarrierOptionSecurity createFXBarrierOptionSecurity(final Bundle bundle) {
    final Currency putCurrency = bundle._firstCurrency;
    final Currency callCurrency = bundle._secondCurrency;
    final double putAmount = putCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
    final ZonedDateTime settlementDate = nextWorkingDay(bundle._tradeDate.plusDays(bundle._daysOffset), bundle._firstCurrency, bundle._secondCurrency);
    final Expiry expiry = new Expiry(settlementDate, ExpiryAccuracy.DAY_MONTH_YEAR);
    final Double fxRate = getApproxFXRate(settlementDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
    if (fxRate == null) {
      return null;
    }
    final double callAmount = NOTIONAL * fxRate;
 
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    if (rate == null) {
      return null;
    }
    final double callAmount = rate * NOTIONAL;
    final ZonedDateTime settlementDate = nextWorkingDay(expiry.plusDays(2), putCurrency, callCurrency);
    final FXDigitalOptionSecurity security = new FXDigitalOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, paymentCurrency, new Expiry(expiry), settlementDate, bundle._long);
    final StringBuilder sb = new StringBuilder("Digital ");
    sb.append(bundle._long ? "Long" : "Short");
    sb.append(" put ").append(putCurrency).append(' ').append(NOTIONAL_FORMATTER.format(putAmount));
    sb.append(", call ").append(callCurrency).append(' ').append(NOTIONAL_FORMATTER.format(callAmount));
    sb.append(" on ").append(expiry.toString(DATE_FORMATTER));
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    final Double fxRate = getApproxFXRate(settlementDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
    if (fxRate == null) {
      return null;
    }
    final double callAmount = NOTIONAL * fxRate;
    final Expiry expiry = new Expiry(settlementDate, ExpiryAccuracy.DAY_MONTH_YEAR);
    final String dateString = settlementDate.toString(DATE_FORMATTER);
    final FXOptionSecurity fxOptionSecurity = new FXOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate, bundle._long, new EuropeanExerciseType());
    final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
    final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
    fxOptionSecurity.setName((bundle._long ? "Long " : "Short ") + "put " + putCurrency + " " + putAmountString + ", call " + callCurrency + " " + callAmountString + " on " + dateString);
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    final Double fxRate = getApproxFXRate(settlementDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
    if (fxRate == null) {
      return null;
    }
    final double callAmount = NOTIONAL * fxRate;
    final Expiry expiry = new Expiry(settlementDate, ExpiryAccuracy.DAY_MONTH_YEAR);
    final String dateString = settlementDate.toString(DATE_FORMATTER);
   
    final NonDeliverableFXOptionSecurity optionSecurity = new NonDeliverableFXOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate,
        getRandom(BOOLEAN_VALUES), new EuropeanExerciseType(), getRandom(BOOLEAN_VALUES));
   
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Related Classes of com.opengamma.util.time.Expiry

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  • com.opengamma.analytics.financial.model.option.definition.ExtremeSpreadOptionDefinitionTest
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  • com.opengamma.analytics.financial.model.option.pricing.montecarlo.MonteCarloOptionModelTest
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  • com.opengamma.bbg.util.BloombergSecurityUtils
  • com.opengamma.examples.simulated.generator.SwaptionParityPortfolioGeneratorTool
  • com.opengamma.examples.simulated.loader.ExampleMultiAssetPortfolioLoader
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
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