Examples of BondFutureOptionSecurity

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

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

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

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

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

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  @Test
  public void testBondFutureOptionSecurity() {
    final BondFutureSecurity future = ExposureFunctionTestHelper.getBondFutureSecurity();
    final SecuritySource securitySource = ExposureFunctionTestHelper.getSecuritySource(future);
    final ExposureFunction exposureFunction = new UnderlyingExposureFunction(securitySource);
    final BondFutureOptionSecurity security = ExposureFunctionTestHelper.getBondFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(exposureFunction);
    assertNull(ids);
  }
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Examples of com.opengamma.financial.security.option.BondFutureOptionSecurity

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

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

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    return security;
  }

  public static BondFutureOptionSecurity getBondFutureOptionSecurity() {
    final UniqueId underlyingId = getBondFutureSecurity().getUniqueId();
    final BondFutureOptionSecurity security = new BondFutureOptionSecurity(SETTLEMENT, TRADING, new Expiry(DateUtils.getUTCDate(2013, 1, 1)), new AmericanExerciseType(),
        ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()), 1000, EUR, 99, OptionType.CALL);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "3873"));
    return security;
  }
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Examples of com.opengamma.financial.security.option.BondFutureOptionSecurity

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    identifiers.add(ExternalSchemes.bloombergBuidSecurityId(bbgUniqueID));
    if (BloombergDataUtils.isValidField(secDes)) {
      identifiers.add(ExternalSchemes.bloombergTickerSecurityId(secDes));
    }

    final BondFutureOptionSecurity security = new BondFutureOptionSecurity(
      exchangeCode,
      exchangeCode,
      expiry,
      getExerciseType(optionExerciseType),
      buildUnderlyingTicker(underlingTicker),
      pointValue,
      ogCurrency,
      optionStrikePrice / 100, // Strike in percent //TODO: use normalization (like in BloombergRateClassifier)?
      optionType);
    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    security.setUniqueId(BloombergSecurityProvider.createUniqueId(bbgUniqueID));
    //build option display name
    StringBuilder buf = new StringBuilder(rootTicker);
    buf.append(" ");
    buf.append(expiryDate);
    if (optionType == OptionType.CALL) {
      buf.append(" C ");
    } else {
      buf.append(" P ");
    }
    buf.append(optionStrikePrice);
    security.setName(buf.toString());
    return security;
  }
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Examples of com.opengamma.financial.security.option.BondFutureOptionSecurity

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    final ExternalId underlyingIdentifier = createBondFutureSecurity().getExternalIdBundle().getExternalId(_security);
    final double pointValue = 1000;
    final Currency currency = currency();
    final double strike = 1.25;
    final OptionType optionType = optionType();
    final BondFutureOptionSecurity security = new BondFutureOptionSecurity(tradingExchange, settlementExchange, expiry, exerciseType, underlyingIdentifier, pointValue, currency, strike, optionType);
    store(security);
    return security;
  }
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Examples of com.opengamma.financial.security.option.BondFutureOptionSecurity

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    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "FUTURE_X"), ids.get(0));
  }

  @Test
  public void testBondFutureOptionSecurity() {
    final BondFutureOptionSecurity security = ExposureFunctionTestHelper.getBondFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(ExposureFunction.SECURITY_IDENTIFIER, "BONDFUTURE_OPTION_Y"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.option.BondFutureOptionSecurity

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  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    if (!(target.getPositionOrTrade().getSecurity() instanceof BondFutureOptionSecurity)) {
      return false;
    }
    final BondFutureOptionSecurity bondFutureOption = (BondFutureOptionSecurity) target.getPositionOrTrade().getSecurity();
    final String currency = bondFutureOption.getCurrency().getCode();
    return _currencyCurveConfigAndSurfaceNames.containsKey(currency);
  }
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Examples of com.opengamma.financial.security.option.BondFutureOptionSecurity

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  @Override
  public BondFutureOptionSecurity createSecurity(OperationContext context, BondFutureOptionSecurityBean bean) {
    final ExerciseType exerciseType = bean.getOptionExerciseType().accept(new ExerciseTypeVisitorImpl());

    BondFutureOptionSecurity sec = new BondFutureOptionSecurity(
      bean.getTradingExchange().getName(),
      bean.getSettlementExchange().getName(),
      expiryBeanToExpiry(bean.getExpiry()),
      exerciseType,
      externalIdBeanToExternalId(bean.getUnderlying()),
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