Examples of FXDigitalOptionSecurity

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

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    if (rate == null) {
      return null;
    }
    final double callAmount = rate * NOTIONAL;
    final ZonedDateTime settlementDate = nextWorkingDay(expiry.plusDays(2), putCurrency, callCurrency);
    final FXDigitalOptionSecurity security = new FXDigitalOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, paymentCurrency, new Expiry(expiry), settlementDate, bundle._long);
    final StringBuilder sb = new StringBuilder("Digital ");
    sb.append(bundle._long ? "Long" : "Short");
    sb.append(" put ").append(putCurrency).append(' ').append(NOTIONAL_FORMATTER.format(putAmount));
    sb.append(", call ").append(callCurrency).append(' ').append(NOTIONAL_FORMATTER.format(callAmount));
    sb.append(" on ").append(expiry.toString(DATE_FORMATTER));
    security.setName(sb.toString());
    return security;
  }
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Examples of com.opengamma.financial.security.option.FXDigitalOptionSecurity

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    trade.setPremiumCurrency(security.getCallCurrency());
    return trade;
  }

  protected ManageableTrade createFXDigitalOptionSecurityTrade(final Bundle bundle, final BigDecimal quantity, final SecurityPersister persister, final NameGenerator counterPartyGenerator) {
    final FXDigitalOptionSecurity security = createFXDigitalOptionSecurity(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.FXDigitalOptionSecurity

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

  @Test
  public void testFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = ExposureFunctionTestHelper.getFXDigitalOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "FX_DIGITAL_OPTION"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.option.FXDigitalOptionSecurity

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    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "FX_BARRIER_OPTION_USD"), ExternalId.of(SCHEME, "FX_BARRIER_OPTION_EUR"))));
  }

  @Test
  public void testFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = ExposureFunctionTestHelper.getFXDigitalOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "FX_DIGITAL_OPTION_USD"), ExternalId.of(SCHEME, "FX_DIGITAL_OPTION_EUR"))));
  }
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Examples of com.opengamma.financial.security.option.FXDigitalOptionSecurity

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    assertNull(ids);
  }

  @Test
  public void testFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = ExposureFunctionTestHelper.getFXDigitalOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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Examples of com.opengamma.financial.security.option.FXDigitalOptionSecurity

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

  @Test
  public void testFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = ExposureFunctionTestHelper.getFXDigitalOptionSecurity();
    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.FXDigitalOptionSecurity

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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "321"));
    return security;
  }

  public static FXDigitalOptionSecurity getFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = new FXDigitalOptionSecurity(USD, EUR, 12000, 10000, EUR, new Expiry(DateUtils.getUTCDate(2014, 1, 1)), DateUtils.getUTCDate(2014, 1, 3), false);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "321"));
    return security;
  }
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Examples of com.opengamma.financial.security.option.FXDigitalOptionSecurity

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  public ManageableSecurity[] extractSecurities() {
    FxDigitalOptionTrade trade = getTrade();
    Currency payoutCurrency = trade.getPayoutCurrency();
    FxOptionCalculator calculator = new FxOptionCalculator(trade, trade.getPayout(), payoutCurrency);

    ManageableSecurity security = new FXDigitalOptionSecurity(
        calculator.getPutCurrency(),
        calculator.getCallCurrency(),
        calculator.getPutAmount(),
        calculator.getCallAmount(),
        payoutCurrency,
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Examples of com.opengamma.financial.security.option.FXDigitalOptionSecurity

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

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    assertNull(ids);
  }

  @Test
  public void testFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = ExposureFunctionTestHelper.getFXDigitalOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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