Examples of IRFutureOptionSecurity

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

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      }

      @Override
      public Void visitIRFutureOptionSecurity(IRFutureOptionSecurity security) {
        assertTrue(fromSecMaster instanceof IRFutureOptionSecurity);
        IRFutureOptionSecurity actual = (IRFutureOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getExchange(), actual.getExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.isMargined(), actual.isMargined());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());
       
        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;          
      }

      @Override
      public Void visitCommodityFutureOptionSecurity(CommodityFutureOptionSecurity security) {
        assertTrue(fromSecMaster instanceof CommodityFutureOptionSecurity);
        CommodityFutureOptionSecurity actual = (CommodityFutureOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getTradingExchange(), actual.getTradingExchange());
        assertEquals(security.getSettlementExchange(), actual.getSettlementExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());
       
        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;
      }

      @Override
      public Void visitFxFutureOptionSecurity(FxFutureOptionSecurity security) {
        assertTrue(fromSecMaster instanceof FxFutureOptionSecurity);
        FxFutureOptionSecurity actual = (FxFutureOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getTradingExchange(), actual.getTradingExchange());
        assertEquals(security.getSettlementExchange(), actual.getSettlementExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());

        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;
      }

      @Override
      public Void visitEquityIndexDividendFutureOptionSecurity(EquityIndexDividendFutureOptionSecurity security) {

        assertTrue(fromSecMaster instanceof EquityIndexDividendFutureOptionSecurity);
        EquityIndexDividendFutureOptionSecurity actual = (EquityIndexDividendFutureOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getExchange(), actual.getExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.isMargined(), actual.isMargined());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());

        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;
      }

      @Override
      public Void visitEquityIndexFutureOptionSecurity(final EquityIndexFutureOptionSecurity security) {

        assertTrue(fromSecMaster instanceof EquityIndexFutureOptionSecurity);
        EquityIndexFutureOptionSecurity actual = (EquityIndexFutureOptionSecurity) fromSecMaster;

        assertEquals(security.getCurrency(), actual.getCurrency());

        assertEquals(security.getExchange(), actual.getExchange());
        assertEquals(security.getExerciseType(), actual.getExerciseType());
        assertEquals(security.getExpiry(), actual.getExpiry());
        assertEquals(security.getOptionType(), actual.getOptionType());
        assertEquals(security.getPointValue(), actual.getPointValue());
        assertEquals(security.getStrike(), actual.getStrike());
        assertEquals(security.isMargined(), actual.isMargined());
        assertEquals(security.getUnderlyingId(), actual.getUnderlyingId());

        assertEquals(security.getExternalIdBundle(), actual.getExternalIdBundle());
        assertEquals(security.getName(), actual.getName());
        assertEquals(security.getSecurityType(), actual.getSecurityType());
        assertNotNull(actual.getUniqueId());

        //test underlying is loaded as well
        ExternalId underlyingIdentifier = security.getUnderlyingId();
        assertUnderlyingIsLoaded(underlyingIdentifier);
        return null;
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    // Build output specification.
    // TODO This is going to be a copy of the spec of the delta!!!
    final IRFutureOptionSecurity security = (IRFutureOptionSecurity) target.getTrade().getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_DELTA, target.toSpecification(), desiredValue.getConstraints());

    // Get inputs and compute output
    final Object deltaObject = inputs.getValue(ValueRequirementNames.POSITION_DELTA);
    if (deltaObject == null) {
      throw new OpenGammaRuntimeException("Could not get PositionDelta for " + security.getUnderlyingId());
    }
    final Double positionDelta = (Double) deltaObject;

    final Object futureObject = inputs.getValue(ValueRequirementNames.FORWARD);
    if (futureObject == null) {
      throw new OpenGammaRuntimeException("Could not get Forward for " + security.getUnderlyingId());
    }
    final Double futurePrice = (Double) futureObject;

    final Double valueDelta = futurePrice * positionDelta;
    return Collections.singleton(new ComputedValue(spec, valueDelta));
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final LocalDate localNow = now.toLocalDate();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final Trade trade = target.getTrade();
    final IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String fullCurveName = curveName + "_" + currency.getCode();
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
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