Package com.opengamma.util.time

Examples of com.opengamma.util.time.Expiry

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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "4567"));
    return security;
  }

  public static FederalFundsFutureSecurity getFederalFundsFutureSecurity() {
    final FederalFundsFutureSecurity security = new FederalFundsFutureSecurity(new Expiry(DateUtils.getUTCDate(2013, 9, 1)), TRADING, SETTLEMENT, USD, 12500,
        ExternalSchemes.syntheticSecurityId("Fed Funds"), "Financial");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "867"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "1216"));
    return security;
  }

  public static MetalForwardSecurity getMetalForwardSecurity() {
    final MetalForwardSecurity security = new MetalForwardSecurity("Troy oz", 100., new Expiry(DateUtils.getUTCDate(2013, 1, 1)), USD, 10000, "Commodity");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "841351"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "841351"));
    return security;
  }

  public static MetalFutureSecurity getMetalFutureSecurity() {
    final MetalFutureSecurity security = new MetalFutureSecurity(new Expiry(DateUtils.getUTCDate(2013, 4, 1)), TRADING, SETTLEMENT, USD, 100, "Commodity");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23456"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23456"));
    return security;
  }

  public static MunicipalBondSecurity getMunicipalBondSecurity() {
    final MunicipalBondSecurity security = new MunicipalBondSecurity("NY", "NY", "NY", "NY", 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(), "65465"));
    return security;
  }
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    return security;
  }

  public static NonDeliverableFXDigitalOptionSecurity getNonDeliverableFXDigitalOptionSecurity() {
    final NonDeliverableFXDigitalOptionSecurity security = new NonDeliverableFXDigitalOptionSecurity(USD, EUR, 12000, 10000, EUR,
        new Expiry(DateUtils.getUTCDate(2014, 1, 1)), DateUtils.getUTCDate(2014, 1, 3), false, false);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "321"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "34"));
    return security;
  }

  public static NonDeliverableFXOptionSecurity getNonDeliverableFXOptionSecurity() {
    final NonDeliverableFXOptionSecurity security = new NonDeliverableFXOptionSecurity(EUR, USD, 1200, 1000, new Expiry(DateUtils.getUTCDate(2015, 1, 1)), DateUtils.getUTCDate(2015, 1, 3), false, new AmericanExerciseType(), true);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "5654"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "1216"));
    return security;
  }

  public static StockFutureSecurity getStockFutureSecurity() {
    final StockFutureSecurity security = new StockFutureSecurity(new Expiry(DateUtils.getUTCDate(2014, 1, 1)), TRADING, SETTLEMENT, USD, 10000, "Equity");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "234"));
    return security;
  }
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    return security;
  }

  public static SwaptionSecurity getPaySwaptionSecurity() {
    final UniqueId underlying = getPayFixedFloatSwapSecurity().getUniqueId();
    final SwaptionSecurity security = new SwaptionSecurity(false, ExternalId.of(underlying.getScheme(), underlying.getValue()), true, new Expiry(DateUtils.getUTCDate(2012, 1, 1)), false, EUR);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "5417"));
    return security;
  }
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    return security;
  }

  public static SwaptionSecurity getReceiveSwaptionSecurity() {
    final UniqueId underlying = getReceiveFixedFloatSwapSecurity().getUniqueId();
    final SwaptionSecurity security = new SwaptionSecurity(false, ExternalId.of(underlying.getScheme(), underlying.getValue()), true, new Expiry(DateUtils.getUTCDate(2012, 1, 1)), false, EUR);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "5417"));
    return security;
  }
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  private String exchange() {
    return select("XLON", "XNYS");
  }

  private Expiry expiry() {
    return new Expiry(ZonedDateTime.now().plusMonths(14));
  }
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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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