Examples of com.opengamma.bbg.util.BloombergTickerParserEQOption


    final TreeMap<LocalDate, Set<BloombergTickerParserEQOption>> optionsByExpiry = new TreeMap<LocalDate, Set<BloombergTickerParserEQOption>>();
    for (final ExternalId optionTicker : optionChain) {
      s_logger.debug("Got option {}", optionTicker);


      final BloombergTickerParserEQOption optionInfo = BloombergTickerParserEQOption.getOptionParser(optionTicker);
      s_logger.debug("Got option info {}", optionInfo);


      final LocalDate key = optionInfo.getExpiry();
      Set<BloombergTickerParserEQOption> set = optionsByExpiry.get(key);
      if (set == null) {
        set = new HashSet<BloombergTickerParserEQOption>();
        optionsByExpiry.put(key, set);
      }


    final Collection<BloombergTickerParserEQOption> chosen = new ArrayList<BloombergTickerParserEQOption>();


    int remaining = targetNumber;
    for (final Pair<BloombergTickerParserEQOption, BloombergTickerParserEQOption> pair : options) {
      BloombergTickerParserEQOption option;
      if (type == OptionType.PUT) {
        option = pair.getSecond();
      } else {
        option = pair.getFirst();
      }


      //TODO [LAPANA-29] Should be able to do this for index options too
      if (includeUnderlying) {
        try {
          final HistoricalTimeSeriesInfoDocument loadedTs = getOrLoadTimeSeries(option.getIdentifier());
          final HistoricalTimeSeries ts = getToolContext().getHistoricalTimeSeriesSource().getHistoricalTimeSeries(loadedTs.getUniqueId(), LocalDate.now().minusWeeks(1), true, LocalDate.now(), true);
          if (ts.getTimeSeries().isEmpty()) {
            s_logger.info("No recent time series points for " + option.getIdentifier());
            //   leave in for now
            //          continue; //This option is not liquid enough for us
          }
        } catch (final Exception ex) {
          s_logger.info("Failed to get time series for " + option.getIdentifier(), ex);
          //TODO: stop refetching this series each time
          continue; //This option is not liquid enough for us
        }
      }
      chosen.add(option);
      remaining--;
      if (remaining == 0) {
        break;
      }
    }


    if (chosen.size() == 0) {
      s_logger.warn("Couldn't find any liquid " + type + " options from " + options);
      return; //TODO: should we try another expiry?
    }
    for (final BloombergTickerParserEQOption option : chosen) {
      tickersToLoad.add(option.getIdentifier());
      addPosition(bucketNode, BigDecimal.valueOf(scale).multiply(_numContracts), option.getIdentifier());
    }
  }

Examples of com.opengamma.bbg.util.BloombergTickerParserEQOption

Related Classes of com.opengamma.bbg.util.BloombergTickerParserEQOption