Examples of EquityIndexFutureOptionSecurity

com.opengamma.financial.security.option.EquityIndexFutureOptionSecurity
A security for equity index future options.

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

    assertEquals(ExternalId.of(SCHEME, "EQUITY_INDEX_DIVIDEND_FUTURE_OPTION"), ids.get(0));
  }


  @Test
  public void testEquityIndexFutureOptionSecurity() {
    final EquityIndexFutureOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EQUITY_INDEX_FUTURE_OPTION"), ids.get(0));
  }

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

    assertEquals(ExternalId.of(SCHEME, "EQUITY_INDEX_DIVIDEND_FUTURE_OPTION_USD"), ids.get(0));
  }


  @Test
  public void testEquityIndexFutureOptionSecurity() {
    final EquityIndexFutureOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EQUITY_INDEX_FUTURE_OPTION_USD"), ids.get(0));
  }

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

    assertNull(ids);
  }


  @Test
  public void testEquityIndexFutureOptionSecurity() {
    final EquityIndexFutureOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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

    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }


  @Test
  public void testEquityIndexFutureOptionSecurity() {
    final EquityIndexFutureOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }

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

    return security;
  }


  public static EquityIndexFutureOptionSecurity getEquityIndexFutureOptionSecurity() {
    final UniqueId underlyingId = getEquityFutureSecurity().getUniqueId();
    final EquityIndexFutureOptionSecurity security = new EquityIndexFutureOptionSecurity(SETTLEMENT, new Expiry(DateUtils.getUTCDate(2013, 3, 1)), new EuropeanExerciseType(),
        ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()), 100, false, USD, 123, OptionType.CALL);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "3957"));
    return security;
  }

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

      if (exchangeMIC != null) {
        exchange = exchangeMIC;
      }
    }


    final EquityIndexFutureOptionSecurity security = new EquityIndexFutureOptionSecurity(
        exchange,
        expiry,
        exerciseType,
        ExternalSchemes.bloombergBuidSecurityId(underlyingUniqueID),
        pointValue,
        MARGIN_RESOLVER.isMargined(exchange),
        ogCurrency,
        optionStrikePrice,
        optionType);


    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    security.setUniqueId(BloombergSecurityProvider.createUniqueId(bbgUniqueID));
    //build option display name
    StringBuilder buf = new StringBuilder(rootTicker)
        .append(" ")
        .append(expiryDate)
        .append(optionType == OptionType.CALL ? " C " : " P ")
        .append(optionStrikePrice);
    security.setName(buf.toString());
    return security;
  }

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

    OptionType optionType = defn.getOptionType();
    ExerciseType exerciseType = defn.getExerciseType().convert();


    switch (defn.getListedFutureOptionType()) {
      case EQUITY_INDEX_FUTURE_OPTION:
        return new EquityIndexFutureOptionSecurity(exchange, expiry, exerciseType, underlyingId, pointValue,
                                                   isMargined, currency, strike, optionType);
      case EQUITY_DIVIDEND_FUTURE_OPTION:
        return new EquityIndexDividendFutureOptionSecurity(exchange,  expiry, exerciseType, underlyingId, pointValue,
                                                           isMargined, currency, strike, optionType);
      default:

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

      dailyValueMove *= optionSecurity.getPointValue();
    } else if (security instanceof EquityIndexOptionSecurity) {
      final EquityIndexOptionSecurity optionSecurity = (EquityIndexOptionSecurity) security;
      dailyValueMove *= optionSecurity.getPointValue();
    } else if (security instanceof EquityIndexFutureOptionSecurity) {
      final EquityIndexFutureOptionSecurity optionSecurity = (EquityIndexFutureOptionSecurity) security;
      dailyValueMove *= optionSecurity.getPointValue();
    } else if (security instanceof IRFutureOptionSecurity) {
      final IRFutureOptionSecurity optionSecurity = (IRFutureOptionSecurity) security;
      dailyValueMove *= optionSecurity.getPointValue();
    }
    // Multiply by the Trade's Quantity
    final Double dailyPnL = target.getTrade().getQuantity().doubleValue() * dailyValueMove;


    // 5. Return

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

    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "EQUITY_INDEX_DIVIDEND_FUTURE_OPTION_X"), ids.get(0));
  }


  @Test
  public void testEquityIndexFutureOptionSecurity() {
    final EquityIndexFutureOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "EQUITY_INDEX_FUTURE_OPTION_X"), ids.get(0));
  }

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

      final EquityIndexOptionSecurity option = (EquityIndexOptionSecurity) security;
      strike = option.getStrike();
      expiry = option.getExpiry();
      isCall = option.getOptionType().equals(OptionType.CALL);
    } else if (security instanceof EquityIndexFutureOptionSecurity) {
      final EquityIndexFutureOptionSecurity option = (EquityIndexFutureOptionSecurity) security;
      strike = option.getStrike();
      expiry = option.getExpiry();
      isCall = option.getOptionType().equals(OptionType.CALL);
    } else {
      throw new OpenGammaRuntimeException("Security type not handled," + security.getName());
    }
    if (expiry.getAccuracy().equals(ExpiryAccuracy.MONTH_YEAR) || expiry.getAccuracy().equals(ExpiryAccuracy.YEAR)) {
      throw new OpenGammaRuntimeException("There is ambiguity in the expiry date of the target security.");

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