Package com.opengamma.financial.security.option

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

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  @Override
  public String classifyPosition(Position position) {
    Security security = resolveSecurity(position);
    if (security instanceof CreditDefaultSwapOptionSecurity) {
      CreditDefaultSwapOptionSecurity cdsOption = (CreditDefaultSwapOptionSecurity) security;
      T extracted = _extractor.extract(cdsOption);
      if (extracted != null) {
        return handleExtractedData(extracted);
      } else {
        return NOT_APPLICABLE;
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    assertEquals(ExternalId.of(SCHEME, "CDS_INDEX"), ids.get(0));
  }

  @Test
  public void testCreditDefaultSwapOptionSecurity() {
    final CreditDefaultSwapOptionSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "CREDIT_DEFAULT_SWAP_OPTION"), ids.get(0));
  }
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    assertEquals(ExternalId.of(SCHEME, "CDS_INDEX_EUR"), ids.get(0));
  }

  @Test
  public void testCreditDefaultSwapOptionSecurity() {
    final CreditDefaultSwapOptionSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "CREDIT_DEFAULT_SWAP_OPTION_USD"), ids.get(0));
  }
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    assertNull(ids);
  }

  @Test
  public void testCreditDefaultSwapOptionSecurity() {
    final CreditDefaultSwapOptionSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertEquals(ExternalId.of(SCHEME, "EUR"), ids.get(0));
  }

  @Test
  public void testCreditDefaultSwapOptionSecurity() {
    final CreditDefaultSwapOptionSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "USD"), ids.get(0));
  }
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    return security;
  }

  public static CreditDefaultSwapOptionSecurity getCreditDefaultSwapOptionSecurity() {
    final UniqueId underlyingId = getStandardVanillaCDSSecurity().getUniqueId();
    final CreditDefaultSwapOptionSecurity security = new CreditDefaultSwapOptionSecurity(false, ExternalId.of("Test", "A"), ExternalId.of("Test", "B"), DateUtils.getUTCDate(2012, 1, 1),
        DateUtils.getUTCDate(2012, 12, 1), USD, 100., 100., false, false, new AmericanExerciseType(), ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()));
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "981"));
    return security;
  }
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        ssr.addExternalIds(link.getExternalIds());
        SecuritySearchResult securitySearchResult = getToolContext().getSecurityMaster().search(ssr);
        Security security = securitySearchResult.getFirstSecurity();
        //Security security = position.getSecurity();
        if (security != null && security instanceof CreditDefaultSwapOptionSecurity) {
          CreditDefaultSwapOptionSecurity cdsOption = (CreditDefaultSwapOptionSecurity) security;
          CreditDefaultSwapSecurity cds = (CreditDefaultSwapSecurity) this.getToolContext().getSecuritySource().getSingle(
              cdsOption.getUnderlyingId().toBundle());

          String curveDefinitionID = "SAMEDAY_" + cds.getReferenceEntity().getValue() + "_" + cds.getNotional().getCurrency() + "_" +
              cds.getDebtSeniority().toString() + "_" + cds.getRestructuringClause();

          ConfigSearchRequest<CurveDefinition> curveDefinitionConfigSearchRequest = new ConfigSearchRequest<CurveDefinition>(CurveDefinition.class);
          curveDefinitionConfigSearchRequest.setName(curveDefinitionID);
          CurveDefinition curveDefinition = getToolContext().getConfigMaster().search(
              curveDefinitionConfigSearchRequest).getFirstValue().getValue();
        /*final CurveDefinition curveDefinition = configSource.getSingle(CurveDefinition.class,
                                                                       curveName,
                                                                       VersionCorrection.LATEST);

        if (curveDefinition == null) {
          throw new OpenGammaRuntimeException("No curve definition for " + curveName);
        }

        //Map<Tenor, CurveNode> curveNodesByTenors = new HashMap<Tenor, CurveNode>();
        //for (CurveNode curveNode : curveDefinition.getNodes()) {
        //  curveNodesByTenors.put(curveNode.getResolvedMaturity(), curveNode);
        //}
        Map<Tenor, CurveNode> curveNodesByTenors = functional(curveDefinition.getNodes()).groupBy(new Function1<CurveNode, Tenor>() {
          @Override
          public Tenor execute(CurveNode curveNode) {
            return curveNode.getResolvedMaturity();
          }
        });*/

          ZonedDateTime start = cds.getStartDate();
          ZonedDateTime maturity = cds.getMaturityDate();
          Period period = Period.between(start.toLocalDate(), maturity.toLocalDate());
          Tenor tenor = Tenor.of(period);


          final CurveNodeIdMapper curveNodeIdMapper = configSource.getSingle(CurveNodeIdMapper.class,
                                                                             curveDefinitionID,
                                                                             VersionCorrection.LATEST);


          try {
            tenor = Tenor.of(Period.ofYears(5));
            ExternalId timeSeriesId = curveNodeIdMapper.getCreditSpreadNodeId(null /* magic null - ask Elaine */, tenor);

           
            Object strikeObj = snapshot.getGlobalValues().getValue(timeSeriesId, "PX_LAST").getMarketValue();
            if ((strikeObj instanceof Double)) {
              cdsOption.setStrike((Double) strikeObj);
            } else {
              throw new OpenGammaRuntimeException(format("Double expected for strike but '%s' found instead.", String.valueOf(strikeObj)));
            }
            //else throw?
            //snapshot.getGlobalValues().getValue()
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  @Override
  public String classifyPosition(final Position position) {
    final Security security = resolveSecurity(position);
    if (security instanceof CreditDefaultSwapOptionSecurity) {
      final CreditDefaultSwapOptionSecurity cdsOption = (CreditDefaultSwapOptionSecurity) security;
      final ExternalId underlyingId = cdsOption.getUnderlyingId();
      final Security underlying = _securitySource.getSingle(underlyingId.toBundle());
      final String redCode = ((CreditDefaultSwapSecurity) underlying).getReferenceEntity().getValue();
      final Organization organisation = _organizationSource.getOrganizationByRedCode(redCode);
      return organisation.getObligor().getObligorShortName();
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    assertNull(ids);
  }

  @Test
  public void testCreditDefaultSwapOptionSecurity() {
    final CreditDefaultSwapOptionSecurity security = ExposureFunctionTestHelper.getCreditDefaultSwapOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    final Currency currency = currencyBeanToCurrency(bean.getCurrency());
    final ExerciseType exerciseType = bean.getExerciseType().accept(new ExerciseTypeVisitorImpl());
    final ExternalId underlying = externalIdBeanToExternalId(bean.getUnderlying());
   
   
    final CreditDefaultSwapOptionSecurity security = new CreditDefaultSwapOptionSecurity(buy, protectionBuyer, protectionSeller,
        startDate, maturityDate, currency, bean.getNotional(), bean.getStrike(), bean.getKnockOut(), bean.getPayer(), exerciseType, underlying);
    return security;
  }
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Related Classes of com.opengamma.financial.security.option.CreditDefaultSwapOptionSecurity

  • com.opengamma.financial.aggregation.AbstractCdsOptionAggregationFunction
  • com.opengamma.financial.aggregation.EntityNameAggregationFunction
  • com.opengamma.financial.aggregation.SeniorityAggregationFunction
  • com.opengamma.financial.analytics.curve.exposure.ContractCategoryExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.CurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.curve.exposure.RegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndCurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndRegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndSettlementExchangeExposureFunctionTest
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