Examples of EquityVarianceSwapSecurity

com.opengamma.financial.security.equity.EquityVarianceSwapSecurity
A security for equity variance swaps.

Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

    Frequency observationFrequency = frequencyBeanToFrequency(bean.getObservationFrequency());
    ExternalId region = externalIdBeanToExternalId(bean.getRegion());
    ZonedDateTime settlementDate = zonedDateTimeBeanToDateTimeWithZone(bean.getSettlementDate());
    ExternalId spotUnderlingId = externalIdBeanToExternalId(bean.getSpotUnderlyingIdentifier());


    return new EquityVarianceSwapSecurity(spotUnderlingId, currency, bean.getStrike(), bean.getNotional(),
        bean.isParameterisedAsVariance(), bean.getAnnualizationFactor(), firstObservationDate, lastObservationDate, settlementDate, region, observationFrequency);
  }

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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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


  @Test
  public void testEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = ExposureFunctionTestHelper.getEquityVarianceSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EQUITY VARIANCE SWAP"), ids.get(0));
  }

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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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


  @Test
  public void testEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = ExposureFunctionTestHelper.getEquityVarianceSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EQUITY VARIANCE SWAP_USD"), ids.get(0));
  }

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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

    assertNull(ids);
  }


  @Test
  public void testEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = ExposureFunctionTestHelper.getEquityVarianceSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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


  @Test
  public void testEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = ExposureFunctionTestHelper.getEquityVarianceSwapSecurity();
    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.equity.EquityVarianceSwapSecurity

    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "98797"));
    return security;
  }


  public static EquityVarianceSwapSecurity getEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = new EquityVarianceSwapSecurity(ExternalSchemes.syntheticSecurityId("SPX"), USD, 130, 100000, false, 252, DateUtils.getUTCDate(2012, 1, 1),
        DateUtils.getUTCDate(2015, 1, 1), DateUtils.getUTCDate(2011, 1, 1), US, PeriodFrequency.DAILY);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "93867"));
    return security;
  }

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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

  @Override
  public ManageableSecurity[] extractSecurities() {
    ExternalId region = null;
    boolean parameterizedAsVariance = false; // distinguishes vega or variance strike/notional
    EquityVarianceSwapTrade trade = getTrade();
    EquityVarianceSwapSecurity security = new EquityVarianceSwapSecurity(
        trade.getUnderlying().toExternalId(),
        trade.getCurrency(),
        trade.getStrike().doubleValue(),
        trade.getVegaAmount().doubleValue(),
        parameterizedAsVariance,

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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

    final ZonedDateTime firstObservationDate = ZonedDateTime.now().minusMonths(6);
    final ZonedDateTime lastObservationDate = ZonedDateTime.now().plusMonths(6);
    final ZonedDateTime settlementDate = lastObservationDate;
    final ExternalId regionId = region();
    final Frequency observationFrequency = frequency();
    final EquityVarianceSwapSecurity security = new EquityVarianceSwapSecurity(spotUnderlyingId, currency, strike, notional, parameterizedAsVariance, annualizationFactor, firstObservationDate,
          lastObservationDate, settlementDate, regionId, observationFrequency);
    store(security);
    return security;
  }

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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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


  @Test
  public void testEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = ExposureFunctionTestHelper.getEquityVarianceSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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


  @Test
  public void testEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = ExposureFunctionTestHelper.getEquityVarianceSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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