Examples of FXBarrierOptionSecurity

com.opengamma.financial.security.option.FXBarrierOptionSecurity
A security for FX barrier options.

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

    final MonitoringType monitoringType = MonitoringType.CONTINUOUS;
    final SamplingFrequency samplingFrequency = SamplingFrequency.DAILY_CLOSE;
    final boolean invertBarrierLevel = !CurrencyPair.of(putCurrency, callCurrency).equals(getCurrencyPair(putCurrency, callCurrency));
    // so if UP and ccy convention order, multiple, if UP and inverted ccy order, divide, if DOWN and ccy convention order multiply, if DOWN and inverted ccy order, divide.
    final double barrierLevel = bundle._up ^ invertBarrierLevel ? fxRate * 1.5 : fxRate / 1.5;
    final FXBarrierOptionSecurity fxBarrierOptionSecurity = new FXBarrierOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate, barrierType, barrierDirection,
        monitoringType, samplingFrequency, barrierLevel, bundle._long);
    final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
    final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
    final String barrierLevelString = RATE_FORMATTER.format(barrierLevel);
    final String barrierUnitString = callCurrency + "/" + putCurrency;
    fxBarrierOptionSecurity.setName((bundle._long ? "Long " : "Short ") + (bundle._up ? "up" : "down") + " knock-in at " + barrierLevelString + " " + barrierUnitString + ", put " + putCurrency +
        " " +
        putAmountString + ", call " + callCurrency + " " + callAmountString + " on " + dateString);
    return fxBarrierOptionSecurity;
  }

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

    optionSecurity.setName((bundle._long ? "Long " : "Short ") + "put " + putCurrency + " " + putAmountString + ", call " + callCurrency + " " + callAmountString + " on " + dateString);
    return optionSecurity;
  }


  protected ManageableTrade createFXBarrierOptionSecurityTrade(final Bundle bundle, final BigDecimal quantity, final SecurityPersister persister, final NameGenerator counterPartyGenerator) {
    final FXBarrierOptionSecurity security = createFXBarrierOptionSecurity(bundle);
    if (security == null) {
      return null;
    }
    ManageableTrade trade = new ManageableTrade(quantity, persister.storeSecurity(security), bundle._tradeDate.toLocalDate(), bundle._tradeDate.toOffsetDateTime().toOffsetTime(), 
        ExternalId.of(Counterparty.DEFAULT_SCHEME, counterPartyGenerator.createName()));
    trade.setPremium(security.getCallAmount());
    trade.setPremiumCurrency(security.getCallCurrency());
    return trade;
  }

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

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


  @Test
  public void testFXBarrierOptionSecurity() {
    final FXBarrierOptionSecurity security = ExposureFunctionTestHelper.getFXBarrierOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "FX_BARRIER_OPTION"), ids.get(0));
  }

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

    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "SWAP_USD"), ExternalId.of(SCHEME, "SWAP_EUR"))));
  }


  @Test
  public void testFXBarrierOptionSecurity() {
    final FXBarrierOptionSecurity security = ExposureFunctionTestHelper.getFXBarrierOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "FX_BARRIER_OPTION_USD"), ExternalId.of(SCHEME, "FX_BARRIER_OPTION_EUR"))));
  }

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

    assertTrue(ids.containsAll(Arrays.asList(ExternalSchemes.syntheticSecurityId("6m Euribor"), ExternalSchemes.syntheticSecurityId("3m USD Libor"))));
  }


  @Test
  public void testFXBarrierOptionSecurity() {
    final FXBarrierOptionSecurity security = ExposureFunctionTestHelper.getFXBarrierOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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

    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "USD"), ExternalId.of(SCHEME, "EUR"))));
  }


  @Test
  public void testFXBarrierOptionSecurity() {
    final FXBarrierOptionSecurity security = ExposureFunctionTestHelper.getFXBarrierOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "USD"), ExternalId.of(SCHEME, "EUR"))));
  }

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

    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
    return security;
  }


  public static FXBarrierOptionSecurity getFXBarrierOptionSecurity() {
    final FXBarrierOptionSecurity security = new FXBarrierOptionSecurity(EUR, USD, 10000, 12000, new Expiry(DateUtils.getUTCDate(2013, 7, 1)),
        DateUtils.getUTCDate(2013, 7, 3), BarrierType.DOWN, BarrierDirection.KNOCK_OUT, MonitoringType.CONTINUOUS, SamplingFrequency.CONTINUOUS, 1.1, false);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "321"));
    return security;
  }

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

  public FXBarrierOptionSecurity createSecurity(OperationContext context, FXBarrierOptionSecurityBean bean) {
    Currency putCurrency = currencyBeanToCurrency(bean.getPutCurrency());
    Currency callCurrency = currencyBeanToCurrency(bean.getCallCurrency());
    Expiry expiry = expiryBeanToExpiry(bean.getExpiry());
    ZonedDateTime settlementDate = Converters.zonedDateTimeBeanToDateTimeWithZone(bean.getSettlementDate());
    FXBarrierOptionSecurity sec = new FXBarrierOptionSecurity(putCurrency, 
        callCurrency, 
        bean.getPutAmount(), 
        bean.getCallAmount(), 
        expiry, 
        settlementDate,

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

    final BarrierDirection barrierDirection = barrierDirection();
    final MonitoringType monitoringType = monitoringType();
    final SamplingFrequency samplingFrequency = samplingFrequency();
    final double barrierLevel = 0;
    final boolean isLong = bool();
    final FXBarrierOptionSecurity security = new FXBarrierOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate, barrierType, barrierDirection, monitoringType,
          samplingFrequency, barrierLevel, isLong);
    store(security);
    return security;
  }

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

    assertNull(ids);
  }


  @Test
  public void testFXBarrierOptionSecurity() {
    final FXBarrierOptionSecurity security = ExposureFunctionTestHelper.getFXBarrierOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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