Examples of EquityIndexOptionSecurity

com.opengamma.financial.security.option.EquityIndexOptionSecurity
A security for equity index options.

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

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


  @Test
  public void testEquityIndexOptionSecurity() {
    final EquityIndexOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EQUITY_INDEX_OPTION"), ids.get(0));
  }

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

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


  @Test
  public void testEquityIndexOptionSecurity() {
    final EquityIndexOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EQUITY_INDEX_OPTION_EUR"), ids.get(0));
  }

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

    assertNull(ids);
  }


  @Test
  public void testEquityIndexOptionSecurity() {
    final EquityIndexOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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

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


  @Test
  public void testEquityIndexOptionSecurity() {
    final EquityIndexOptionSecurity security = ExposureFunctionTestHelper.getEquityIndexOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }

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

    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "3957"));
    return security;
  }


  public static EquityIndexOptionSecurity getEquityIndexOptionSecurity() {
    final EquityIndexOptionSecurity security = new EquityIndexOptionSecurity(OptionType.CALL, 400, EUR, ExternalSchemes.syntheticSecurityId("DJX"), new AmericanExerciseType(), new Expiry(DateUtils.getUTCDate(2015, 1, 1)), 20, SETTLEMENT);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "346"));
    return security;
  }

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

      identifiers.add(ExternalSchemes.bloombergTickerSecurityId(secDes + " " + marketSector));
    }
    
    final ExerciseType exerciseType = getExerciseType(optionExerciseType);


    final EquityIndexOptionSecurity security = new EquityIndexOptionSecurity(
        optionType, 
        optionStrikePrice, 
        ogCurrency, 
        ExternalSchemes.bloombergBuidSecurityId(underlyingUniqueID), 
        exerciseType, 
        expiry, 
        pointValue, 
        exchange);
    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    security.setUniqueId(BloombergSecurityProvider.createUniqueId(bbgUniqueID));
    //build option display name
    StringBuilder buf = new StringBuilder(rootTicker);
    buf.append(" ");
    buf.append(expiryDate);
    if (optionType == OptionType.CALL) {
      buf.append(" C ");
    } else {
      buf.append(" P ");
    }
    buf.append(optionStrikePrice);
    security.setName(buf.toString());
    return security;
  }

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

        // We are only give month/year (e.g. MAR13) so arbitrarily use the first day of
        // the month but set the accuracy to reflect that
        Expiry expiry = new Expiry(defn.getOptionExpiry().atDay(1).atStartOfDay(ZoneOffset.UTC),
                                   ExpiryAccuracy.MONTH_YEAR);


        return new EquityIndexOptionSecurity(defn.getOptionType(),
                                             defn.getStrike().doubleValue(),
                                             defn.getCurrency(),
                                             underlyingId,
                                             exerciseType,
                                             expiry,

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


  //-------------------------------------------------------------------------
  @Override
  public ManageableSecurity[] extractSecurities() {
    OtcEquityIndexOptionTrade trade = getTrade();
    EquityIndexOptionSecurity security = new EquityIndexOptionSecurity(
        trade.getOptionType(),
        trade.getStrike().doubleValue(),
        trade.getNotionalCurrency(),
        trade.getUnderlyingId().toExternalId(),
        trade.getExerciseType().convert(),

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

      dailyValueMove *= futureSecurity.getUnitAmount();
    } else if (security instanceof EquityOptionSecurity) {
      final EquityOptionSecurity optionSecurity = (EquityOptionSecurity) security;
      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.EquityIndexOptionSecurity

    final ExternalId underlyingId = ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "AAPL US Equity");
    final ExerciseType exerciseType = exerciseType();
    final Expiry expiry = expiry();
    final double pointValue = 0;
    final String exchange = exchange();
    final EquityIndexOptionSecurity security = new EquityIndexOptionSecurity(optionType, strike, currency, underlyingId, exerciseType, expiry, pointValue, exchange);
    security.addExternalId(ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "AAPL US 10/22/11 C365 Equity"));
    store(security);
    return security;
  }

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