/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.integration.tool.portfolio.xml.v1_0.conversion;
import org.threeten.bp.ZoneOffset;
import com.opengamma.financial.security.option.EquityIndexOptionSecurity;
import com.opengamma.financial.security.option.ExerciseType;
import com.opengamma.id.ExternalId;
import com.opengamma.integration.tool.portfolio.xml.v1_0.jaxb.OptionSecurityDefinition;
import com.opengamma.master.security.ManageableSecurity;
import com.opengamma.util.time.Expiry;
import com.opengamma.util.time.ExpiryAccuracy;
/**
* Extractor for option securities.
*/
public class ListedOptionSecurityExtractor extends AbstractListedSecurityExtractor<OptionSecurityDefinition> {
/**
* Creates an instance.
*
* @param securityDefinition the definition, not null
*/
public ListedOptionSecurityExtractor(OptionSecurityDefinition securityDefinition) {
super(securityDefinition);
}
//-------------------------------------------------------------------------
@Override
protected ManageableSecurity createSecurity() {
OptionSecurityDefinition defn = getSecurityDefinition();
switch (defn.getListedOptionType()) {
case EQUITY_DIVIDEND_OPTION:
throw new PortfolioParsingException("EquityIndexDividendOption is not yet supported");
case EQUITY_INDEX_OPTION:
ExternalId underlyingId = defn.getUnderlyingId().toExternalId();
ExerciseType exerciseType = defn.getExerciseType().convert();
// 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,
defn.getPointValue(),
defn.getExchange());
default:
// Should be prevented by XML parsing
throw new PortfolioParsingException("Unrecognised listed option type: " + defn.getListedOptionType());
}
}
}