Package com.opengamma.util.time

Examples of com.opengamma.util.time.Expiry

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    final AnnuityDefinition<CouponFixedAccruedCompoundingDefinition> fixedLeg = underlyingSwap.getFixedLeg();
    _underlyingSwap = underlyingSwap;
    _currency = fixedLeg.getCurrency();
    _settlementDate = fixedLeg.getNthPayment(0).getAccrualStartDate();
    _isLong = isLong;
    _expiry = new Expiry(expiryDate);
  }
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    ArgumentChecker.notNull(expiryDate, "expiry date");
    ArgumentChecker.notNull(underlyingSwap, "underlying swap");
    ArgumentChecker.isTrue(isCall == underlyingSwap.getFixedLeg().isPayer(), "Call flag not in line with underlying");
    _underlyingSwap = underlyingSwap;
    _isLong = isLong;
    _expiry = new Expiry(expiryDate);
  }
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      underlying = ExternalSchemes.bloombergTickerSecurityId(underlyingTicker + " " + marketSector);
    }

    Currency currency = Currency.parse(currencyStr);

    Expiry expiry = decodeExpiry(expiryDate, futureTradingHours);
    if (expiry == null) {
      return null;
    }

    // FIXME: Case - treatment of Settlement Date
    s_logger.warn("Creating EquityFutureSecurity - settlementDate set equal to expiryDate. Missing lag.");
    ZonedDateTime settlementDate = expiry.getExpiry();

    EquityFutureSecurity security = new EquityFutureSecurity(expiry, micExchangeCode, micExchangeCode, currency, Double.valueOf(unitAmount), settlementDate, underlying, category);
    security.setName(name);
    // set identifiers
    parseIdentifiers(fieldData, security);
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          throw new OpenGammaRuntimeException(expiryStr + " returned from bloomberg not in format yyyy-mm-dd", e);
        }
        int year = expiryLocalDate.getYear();
        int month = expiryLocalDate.getMonthValue();
        int day = expiryLocalDate.getDayOfMonth();
        Expiry expiry = new Expiry(DateUtils.getUTCDate(year, month, day));

        if (expiry.getExpiry().toInstant().toEpochMilli() < (System.currentTimeMillis() + (25L * 60L * 60L * 1000L))) {
          s_logger.info("Option {} in future, so passing on it.", optionTickerStr);
          continue;
        }

        ExternalId optionTicker = ExternalSchemes.bloombergTickerSecurityId(optionTickerStr);
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      throw new OpenGammaRuntimeException(expiryDate + " returned from bloomberg not in format yyyy-mm-dd", e);
    }
    int year = expiryLocalDate.getYear();
    int month = expiryLocalDate.getMonthValue();
    int day = expiryLocalDate.getDayOfMonth();
    Expiry expiry = new Expiry(DateUtils.getUTCDate(year, month, day));

    Currency ogCurrency = Currency.parse(currency);

    Set<ExternalId> identifiers = new HashSet<ExternalId>();
    identifiers.add(ExternalSchemes.bloombergBuidSecurityId(bbgUniqueID));
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  private static final BusinessDayConvention BDC = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("None");
  private static final String SETTLEMENT = "X";
  private static final String TRADING = "Y";

  public static AgricultureForwardSecurity getAgricultureForwardSecurity() {
    final AgricultureForwardSecurity security = new AgricultureForwardSecurity("Cows", 100., new Expiry(DateUtils.getUTCDate(2013, 1, 1)), USD, 10000, "Commodity");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "7894"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "7894"));
    return security;
  }

  public static AgricultureFutureSecurity getAgricultureFutureSecurity() {
    final AgricultureFutureSecurity security = new AgricultureFutureSecurity(new Expiry(DateUtils.getUTCDate(2013, 4, 1)), TRADING, SETTLEMENT, USD, 1000, "Commodity");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "213"));
    return security;
  }
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    return security;
  }

  public static BondFutureOptionSecurity getBondFutureOptionSecurity() {
    final UniqueId underlyingId = getBondFutureSecurity().getUniqueId();
    final BondFutureOptionSecurity security = new BondFutureOptionSecurity(SETTLEMENT, TRADING, new Expiry(DateUtils.getUTCDate(2013, 1, 1)), new AmericanExerciseType(),
        ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()), 1000, EUR, 99, OptionType.CALL);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "3873"));
    return security;
  }
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    return security;
  }

  public static BondFutureSecurity getBondFutureSecurity() {
    final Collection<BondFutureDeliverable> basket = Collections.emptySet();
    final BondFutureSecurity security = new BondFutureSecurity(new Expiry(DateUtils.getUTCDate(2015, 1, 1)), TRADING, SETTLEMENT, EUR, 1200, basket, DateUtils.getUTCDate(2015, 1, 1),
        DateUtils.getUTCDate(2015, 2, 1), "Financial");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "12345"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "556"));
    return security;
  }

  public static CorporateBondSecurity getCorporateBondSecurity() {
    final CorporateBondSecurity security = new CorporateBondSecurity("OG", "Company", "US", "US", USD, SimpleYieldConvention.TRUE, new Expiry(DateUtils.getUTCDate(2020, 1, 1)),
        "Coupon", 0.01, PeriodFrequency.SEMI_ANNUAL,
        DC, DateUtils.getUTCDate(2010, 1, 1), DateUtils.getUTCDate(2010, 1, 1), DateUtils.getUTCDate(2010, 1, 1), 100., 300, 1, 1, 100, 1);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "94876"));
    return security;
  }
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Related Classes of com.opengamma.util.time.Expiry

  • com.opengamma.analytics.financial.model.option.definition.ComplexChooserOptionDefinitionTest
  • com.opengamma.analytics.financial.model.option.definition.ExtremeSpreadOptionDefinitionTest
  • com.opengamma.analytics.financial.model.option.definition.SimpleChooserOptionDefinitionTest
  • com.opengamma.analytics.financial.model.option.pricing.montecarlo.MonteCarloOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.tree.BinomialOptionModelTest
  • com.opengamma.analytics.financial.model.volatility.surface.BlackScholesMertonImpliedVolatilitySurfaceModelTest
  • 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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