Package com.opengamma.util.time

Examples of com.opengamma.util.time.Expiry

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    }
    return createNode(InterestRateFutureSecurity.SECURITY_TYPE, securities);
  }

  private StockFutureSecurity createStockFutureSecurity() {
    final Expiry expiry = expiry();
    final String tradingExchange = exchange();
    final String settlementExchange = exchange();
    final Currency currency = currency();
    final double unitAmount = 0;
    final String category = "category";
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  private FXBarrierOptionSecurity createFXBarrierOptionSecurity() {
    final Currency putCurrency = currency();
    final Currency callCurrency = differentCurrency(putCurrency);
    final double putAmount = 0;
    final double callAmount = 0;
    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;
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    final Currency putCurrency = currency();
    final Currency callCurrency = differentCurrency(putCurrency);
    final double putAmount = 0;
    final double callAmount = 0;
    final Currency paymentCurrency = currency();
    final Expiry expiry = expiry();
    final ZonedDateTime settlementDate = expiry.getExpiry();
    final boolean isLong = bool();
    final FXDigitalOptionSecurity security = new FXDigitalOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, paymentCurrency, expiry, settlementDate, isLong);
    store(security);
    return security;
  }
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  private FXOptionSecurity createFXOptionSecurity() {
    final Currency putCurrency = currency();
    final Currency callCurrency = differentCurrency(putCurrency);
    final double putAmount = 0;
    final double callAmount = 0;
    final Expiry expiry = expiry();
    final ZonedDateTime settlementDate = expiry.getExpiry();
    final boolean isLong = bool();
    final ExerciseType exerciseType = exerciseType();
    final FXOptionSecurity security = new FXOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate, isLong, exerciseType);
    store(security);
    return security;
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    return createNode(FXOptionSecurity.SECURITY_TYPE, securities);
  }

  private IRFutureOptionSecurity createIRFutureOptionSecurity() {
    final String exchange = exchange();
    final Expiry expiry = expiry();
    final ExerciseType exerciseType = exerciseType();
    final ExternalId underlyingIdentifier = createInterestRateFutureSecurity().getExternalIdBundle().getExternalId(_security);
    final double pointValue = 0;
    final boolean margined = bool();
    final Currency currency = Currency.USD; // currency(); // Only got a USD surface at the moment
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    final Currency putCurrency = currency();
    final Currency callCurrency = differentCurrency(putCurrency);
    final double putAmount = 0;
    final double callAmount = 0;
    final Currency paymentCurrency = currency();
    final Expiry expiry = expiry();
    final ZonedDateTime settlementDate = expiry.getExpiry();
    final boolean isLong = bool();
    final boolean deliverInCallCurrency = bool();
    final NonDeliverableFXDigitalOptionSecurity security = new NonDeliverableFXDigitalOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, paymentCurrency, expiry, settlementDate, isLong,
        deliverInCallCurrency);
    store(security);
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  private NonDeliverableFXOptionSecurity createNonDeliverableFXOptionSecurity() {
    final Currency putCurrency = currency();
    final Currency callCurrency = differentCurrency(putCurrency);
    final double putAmount = 0;
    final double callAmount = 0;
    final Expiry expiry = expiry();
    final ZonedDateTime settlementDate = expiry.getExpiry();
    final boolean isLong = bool();
    final ExerciseType exerciseType = exerciseType();
    final boolean deliveryInCallCurrency = bool();
    final NonDeliverableFXOptionSecurity security = new NonDeliverableFXOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate, isLong, exerciseType,
        deliveryInCallCurrency);
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  private SwaptionSecurity createSwaptionSecurity() {
    final boolean payer = bool();
    final ExternalId underlyingIdentifier = createSwapSecurity().getExternalIdBundle().getExternalId(_security);
    final boolean isLong = bool();
    final Expiry expiry = expiry();
    final boolean cashSettled = bool();
    final Currency currency = currency();
    final SwaptionSecurity security = new SwaptionSecurity(payer, underlyingIdentifier, isLong, expiry, cashSettled, currency);
    store(security);
    return security;
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      } catch (NumberFormatException ex) {
        _logger.warn("Cannot parse futureTrading hours - {}", futureTradingHours);
      }
    }
    ZonedDateTime utcDate = DateUtils.getUTCDate(expiryInLocalDate.getYear(), expiryInLocalDate.getMonthValue(), expiryInLocalDate.getDayOfMonth(), closeHr, closeMins);
    return new Expiry(utcDate, ExpiryAccuracy.MIN_HOUR_DAY_MONTH_YEAR);
  }
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    }
  }

  public void testAmericanPrice(final ConvectionDiffusionPDESolver solver, final int timeSteps, final int priceSteps, final double lowerMoneyness, final double upperMoneyness, final boolean print) {

    final AmericanVanillaOptionDefinition option = new AmericanVanillaOptionDefinition(FORWARD, new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, T)), false);
    final BjerksundStenslandModel model = new BjerksundStenslandModel();
    final Function1D<StandardOptionDataBundle, Double> pFunc = model.getPricingFunction(option);

    final PDEGrid1D grid = new PDEGrid1D(timeSteps + 1, priceSteps + 1, T, LOWER.getLevel(), UPPER.getLevel());
    final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db = new PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients>(DATA, PAYOFF, LOWER, UPPER, EARLY_EXCISE, grid);
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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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