Examples of BarrierDirection

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

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      return null;
    }
    final double callAmount = NOTIONAL * fxRate;
    final String dateString = settlementDate.toString(DATE_FORMATTER);
    final BarrierType barrierType = bundle._up ? BarrierType.UP : BarrierType.DOWN;
    final BarrierDirection barrierDirection = BarrierDirection.KNOCK_IN;
    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;
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Examples of com.opengamma.financial.security.option.BarrierDirection

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    final ExerciseType exerciseType = exerciseType();
    final Expiry expiry = expiry();
    final double pointValue = 0;
    final String exchange = exchange();
    final BarrierType barrierType = barrierType();
    final BarrierDirection barrierDirection = barrierDirection();
    final MonitoringType monitoringType = monitoringType();
    final SamplingFrequency samplingFrequency = samplingFrequency();
    final double barrierLevel = 0;
    final EquityBarrierOptionSecurity security = new EquityBarrierOptionSecurity(optionType, strike, currency, underlyingId, exerciseType, expiry, pointValue, exchange, barrierType,
          barrierDirection, monitoringType, samplingFrequency, barrierLevel);
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Examples of com.opengamma.financial.security.option.BarrierDirection

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    final double putAmount = 0;
    final double callAmount = 0;
    final Expiry expiry = expiry();
    final ZonedDateTime settlementDate = expiry.getExpiry();
    final BarrierType barrierType = barrierType();
    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,
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Examples of com.opengamma.financial.security.option.BarrierDirection

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  private Set<EquityIndexOption> vanillaDecomposition(final ZonedDateTime valuation, final EquityBarrierOptionSecurity barrierOption,
      final double smoothingFullWidth, final double overhedge) {

    final Set<EquityIndexOption> vanillas = new HashSet<>();
    // Unpack the barrier security
    final BarrierDirection bInOut = barrierOption.getBarrierDirection(); //   KNOCK_IN, KNOCK_OUT,
    final BarrierType bUpDown = barrierOption.getBarrierType(); //   UP, DOWN, DOUBLE
    final double strike = barrierOption.getStrike();
    final double barrier = barrierOption.getBarrierLevel();
    final ZonedDateTime expiry = barrierOption.getExpiry().getExpiry();
    final double ttm = TimeCalculator.getTimeBetween(valuation, expiry);
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Examples of com.opengamma.financial.security.option.BarrierDirection

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    final boolean isLong = barrierSec.getLongShort().isLong();
    final ZonedDateTime expiry = barrierSec.getExpiry().getExpiry();
    final ZonedDateTime settlement = barrierSec.getSettlementDate();

    // The barrier has four types
    final BarrierDirection bInOut = barrierSec.getBarrierDirection(); //   KNOCK_IN, KNOCK_OUT,
    final BarrierType bUpDown = barrierSec.getBarrierType(); //   UP, DOWN, DOUBLE
    final double barrier = barrierSec.getBarrierLevel();

    // Put and Call Amounts, along with market convention for quote/base ccy define the strike, notional, and call/put interpretation
    final ValueRequirement desiredValue = desiredValues.iterator().next();
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