Package com.opengamma.bbg.util

Examples of com.opengamma.bbg.util.BloombergTickerParserFutureOption

225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
    public Object visitBondFutureOptionSecurity(final BondFutureOptionSecurity security) {
      if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
        return null;
      }
      final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
      final BloombergTickerParserFutureOption tickerParser = new BloombergTickerParserBondFutureOption(ticker);
      //final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
      String underlyingOptChainTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
      final String name = BBG_SURFACE_PREFIX + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.BOND_FUTURE_OPTION;
      if (!_knownVolSpecNames.contains(name)) {
        s_logger.info("Creating VolatilitySurfaceSpecification \"{}\"", name);
        final BloombergFutureOptionVolatilitySurfaceInstrumentProvider surfaceInstrumentProvider =
            new BloombergBondFutureOptionVolatilitySurfaceInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(), FIELD_NAME_VOL, getSpot(underlyingOptChainTicker),
                security.getTradingExchange());
        createVolatilitySpecification(security.getCurrency().getUniqueId(), name, surfaceInstrumentProvider);
      }
      createvolatilityDefinition(underlyingOptChainTicker, name, security.getCurrency().getUniqueId());
      return null;
View Full Code Here
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
    public Object visitCommodityFutureOptionSecurity(final CommodityFutureOptionSecurity security) {
      if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
        return null;
      }
      final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
      final BloombergTickerParserFutureOption tickerParser = new BloombergTickerParserCommodityFutureOption(ticker);
      //      final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
      String underlyingOptChainTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
      final String name = BBG_SURFACE_PREFIX + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.COMMODITY_FUTURE_OPTION;
      if (!_knownVolSpecNames.contains(name)) {
        s_logger.info("Creating VolatilitySurfaceSpecification \"{}\"", name);
        final BloombergCommodityFutureOptionVolatilitySurfaceInstrumentProvider surfaceInstrumentProvider =
            new BloombergCommodityFutureOptionVolatilitySurfaceInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(), FIELD_NAME_VOL, getSpot(underlyingOptChainTicker),
                security.getTradingExchange());
        createVolatilitySpecification(security.getCurrency().getUniqueId(), name, surfaceInstrumentProvider);
      }
      createvolatilityDefinition(underlyingOptChainTicker, name, security.getCurrency().getUniqueId());
      return null;
View Full Code Here
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
    public Object visitIRFutureOptionSecurity(final IRFutureOptionSecurity security) {
      if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
        return null;
      }
      final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
      final BloombergTickerParserFutureOption tickerParser = new BloombergTickerParserIRFutureOption(ticker);
      //      final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
      String underlyingTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
      final String name = BBG_SURFACE_PREFIX + PRICE + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.IR_FUTURE_OPTION;
      if (!_knownVolSpecNames.contains(name)) {
        s_logger.info("Creating VolatilitySurfaceSpecification \"{}\"", name);
        final BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider surfaceInstrumentProvider =
            new BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(), FIELD_NAME_PRICE, getSpot(underlyingTicker), security.getExchange());
        createVolatilitySpecification(security.getCurrency().getUniqueId(), name, surfaceInstrumentProvider, SurfaceAndCubePropertyNames.PRICE_QUOTE);
      }
      createvolatilityDefinition(underlyingTicker, name, security.getCurrency().getUniqueId());
      return null;
    }
View Full Code Here
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
    public Object visitBondFutureOptionSecurity(final BondFutureOptionSecurity security) {
      if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
        return null;
      }
      final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
      final BloombergTickerParserFutureOption tickerParser = new BloombergTickerParserBondFutureOption(ticker);
      //final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
      String underlyingOptChainTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
      final String name = BBG_PREFIX + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.BOND_FUTURE_PRICE;
      if (!_knownCurveSpecNames.contains(name)) {
        s_logger.info("Creating FuturePriceCurveSpecification \"{}\"", name);
        final BloombergBondFuturePriceCurveInstrumentProvider curveInstrumentProvider =
            new BloombergBondFuturePriceCurveInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(), FIELD_NAME_PRICE);
        createFuturePriceCurveSpecification(security.getCurrency(), name, curveInstrumentProvider);
      }
      createFuturePriceCurveDefinition(underlyingOptChainTicker, name, security.getCurrency());
      return null;
    }
View Full Code Here
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
    public Object visitCommodityFutureOptionSecurity(final CommodityFutureOptionSecurity security) {
      if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
        return null;
      }
      final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
      final BloombergTickerParserFutureOption tickerParser = new BloombergTickerParserCommodityFutureOption(ticker);
      //      final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
      String underlyingOptChainTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
      final String name = BBG_PREFIX + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.COMMODITY_FUTURE_PRICE;
      if (!_knownCurveSpecNames.contains(name)) {
        s_logger.info("Creating FuturePriceCurveSpecification \"{}\"", name);
        final BloombergCommodityFuturePriceCurveInstrumentProvider curveInstrumentProvider =
            new BloombergCommodityFuturePriceCurveInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(), FIELD_NAME_PRICE, ExternalSchemes.BLOOMBERG_TICKER_WEAK.getName());
        createFuturePriceCurveSpecification(security.getCurrency(), name, curveInstrumentProvider);
      }
      createFuturePriceCurveDefinition(underlyingOptChainTicker, name, security.getCurrency());
      return null;
    }
View Full Code Here
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
    public Object visitIRFutureOptionSecurity(final IRFutureOptionSecurity security) {
      if (TimeCalculator.getTimeBetween(ZonedDateTime.now(OpenGammaClock.getInstance()), security.getExpiry().getExpiry()) < 0) {
        return null;
      }
      final String ticker = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
      final BloombergTickerParserFutureOption tickerParser = new BloombergTickerParserIRFutureOption(ticker);
      //      final String postfix = BloombergDataUtils.splitTickerAtMarketSector(ticker).getSecond();
      String underlyingTicker = getUnderlyingTicker(ticker, security.getUnderlyingId(), tickerParser.getTypeName());
      final String name = BBG_PREFIX + PRICE + tickerParser.getSymbol() + "_" + security.getCurrency().getCode() + "_" + InstrumentTypeProperties.IR_FUTURE_PRICE;
      if (!_knownCurveSpecNames.contains(name)) {
        s_logger.info("Creating FuturePriceCurveSpecification \"{}\"", name);
        final BloombergIRFuturePriceCurveInstrumentProvider curveInstrumentProvider = new BloombergIRFuturePriceCurveInstrumentProvider(tickerParser.getSymbol(), tickerParser.getTypeName(),
            FIELD_NAME_PRICE);
        createFuturePriceCurveSpecification(security.getCurrency(), name, curveInstrumentProvider);
      }
      createFuturePriceCurveDefinition(underlyingTicker, name, security.getCurrency());
      return null;
View Full Code Here
TOP

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

  • com.opengamma.integration.tool.config.FuturePriceCurveCreator$FuturePriceCurveCreatorVisitor
  • com.opengamma.integration.tool.config.VolatilitySurfaceCreator$VolSurfaceCreatorVisitor
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.