Examples of BloombergSwaptionVolatilitySurfaceInstrumentProvider


  @Override
  public BloombergSwaptionVolatilitySurfaceInstrumentProvider buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
    String dataFieldName = getDataFieldName(message);
    if (dataFieldName == null) {
      return new BloombergSwaptionVolatilitySurfaceInstrumentProvider(getCountryPrefix(message), message.getString("type"),
                   message.getBoolean("zeroPadFirstTenor"), message.getBoolean("zeroPadSecondTenor"), getPostFix(message));
    }
    return new BloombergSwaptionVolatilitySurfaceInstrumentProvider(getCountryPrefix(message), message.getString("type"),
        message.getBoolean("zeroPadFirstTenor"), message.getBoolean("zeroPadSecondTenor"), getPostFix(message), dataFieldName);
  }

@Test(groups = TestGroup.UNIT)
public class VolatilitySurfaceSpecificationFudgeEncodingTest extends FinancialTestBase {


  @Test
  public void testSwaptionCycle() {
    BloombergSwaptionVolatilitySurfaceInstrumentProvider instrumentProvider = new BloombergSwaptionVolatilitySurfaceInstrumentProvider("US", "SV", true, false, " Curncy");
    VolatilitySurfaceSpecification spec = new VolatilitySurfaceSpecification("DEFAULT", Currency.USD, SurfaceAndCubeQuoteType.PAY_RECEIVE_DELTA, instrumentProvider);
    AssertJUnit.assertEquals(spec, cycleObject(VolatilitySurfaceSpecification.class, spec));
    instrumentProvider = new BloombergSwaptionVolatilitySurfaceInstrumentProvider("US", "SV", true, false, " Curncy", MarketDataRequirementNames.MARKET_VALUE);
    spec = new VolatilitySurfaceSpecification("DEFAULT", Currency.USD, SurfaceAndCubeQuoteType.PAY_RECEIVE_DELTA, instrumentProvider);
    AssertJUnit.assertEquals(spec, cycleObject(VolatilitySurfaceSpecification.class, spec));
    instrumentProvider = new BloombergSwaptionVolatilitySurfaceInstrumentProvider("US", "SV", true, false, " Curncy", MarketDataRequirementNames.IMPLIED_VOLATILITY);
    spec = new VolatilitySurfaceSpecification("DEFAULT", Currency.USD, SurfaceAndCubeQuoteType.PAY_RECEIVE_DELTA, instrumentProvider);
    AssertJUnit.assertEquals(spec, cycleObject(VolatilitySurfaceSpecification.class, spec));
    AssertJUnit.assertFalse(spec.equals(
        cycleObject(VolatilitySurfaceSpecification.class,
            new VolatilitySurfaceSpecification("DEFAULT",
                Currency.USD,
                SurfaceAndCubeQuoteType.PAY_RECEIVE_DELTA,
                new BloombergSwaptionVolatilitySurfaceInstrumentProvider("US", "SV", true, false, " Curncy")))));
  }

Examples of BloombergSwaptionVolatilitySurfaceInstrumentProvider

Examples of com.opengamma.financial.analytics.volatility.surface.BloombergSwaptionVolatilitySurfaceInstrumentProvider

Examples of com.opengamma.financial.analytics.volatility.surface.BloombergSwaptionVolatilitySurfaceInstrumentProvider