Package com.opengamma.util.time

Examples of com.opengamma.util.time.Expiry

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    return security;
  }

  public static EquityOptionSecurity getEquityOptionSecurity() {
    final UniqueId underlyingId = getEquitySecurity().getUniqueId();
    final EquityOptionSecurity security = new EquityOptionSecurity(OptionType.CALL, 400, EUR, ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()), new AmericanExerciseType(), new Expiry(DateUtils.getUTCDate(2015, 1, 1)), 20, SETTLEMENT);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "574"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "23498"));
    return security;
  }

  public static FXBarrierOptionSecurity getFXBarrierOptionSecurity() {
    final FXBarrierOptionSecurity security = new FXBarrierOptionSecurity(EUR, USD, 10000, 12000, new Expiry(DateUtils.getUTCDate(2013, 7, 1)),
        DateUtils.getUTCDate(2013, 7, 3), BarrierType.DOWN, BarrierDirection.KNOCK_OUT, MonitoringType.CONTINUOUS, SamplingFrequency.CONTINUOUS, 1.1, false);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "321"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "321"));
    return security;
  }

  public static FXDigitalOptionSecurity getFXDigitalOptionSecurity() {
    final FXDigitalOptionSecurity security = new FXDigitalOptionSecurity(USD, EUR, 12000, 10000, EUR, new Expiry(DateUtils.getUTCDate(2014, 1, 1)), DateUtils.getUTCDate(2014, 1, 3), false);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "321"));
    return security;
  }
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    return security;
  }

  public static FxFutureOptionSecurity getFXFutureOptionSecurity() {
    final UniqueId underlyingId = getEnergyFutureSecurity().getUniqueId();
    final FxFutureOptionSecurity security = new FxFutureOptionSecurity(SETTLEMENT, TRADING, new Expiry(DateUtils.getUTCDate(2013, 1, 1)), new AmericanExerciseType(),
        ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()), 125, EUR, 120, OptionType.CALL);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "9595"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "9595"));
    return security;
  }

  public static FXFutureSecurity getFXFutureSecurity() {
    final FXFutureSecurity security = new FXFutureSecurity(new Expiry(DateUtils.getUTCDate(2013, 12, 1)), TRADING, SETTLEMENT, EUR, 100, USD, EUR, "Currency");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "987"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "987"));
    return security;
  }

  public static FXOptionSecurity getFXOptionSecurity() {
    final FXOptionSecurity security = new FXOptionSecurity(EUR, USD, 1200, 1000, new Expiry(DateUtils.getUTCDate(2015, 1, 1)), DateUtils.getUTCDate(2015, 1, 3), false, new AmericanExerciseType());
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "54"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "54"));
    return security;
  }

  public static GovernmentBondSecurity getGovernmentBondSecurity() {
    final GovernmentBondSecurity security = new GovernmentBondSecurity("US", "US", "US", "US", USD, SimpleYieldConvention.TRUE, new Expiry(DateUtils.getUTCDate(2020, 1, 1)),
        "Coupon", 0.01, PeriodFrequency.SEMI_ANNUAL,
        DC, DateUtils.getUTCDate(2010, 1, 1), DateUtils.getUTCDate(2010, 1, 1), DateUtils.getUTCDate(2010, 1, 1), 100., 300, 1, 1, 100, 1);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "78"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "78"));
    return security;
  }

  public static IndexFutureSecurity getIndexFutureSecurity() {
    final IndexFutureSecurity security = new IndexFutureSecurity(new Expiry(DateUtils.getUTCDate(2013, 12, 1)), TRADING, SETTLEMENT, EUR, 1000, "Equity Index");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "2345"));
    return security;
  }
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    return security;
  }

  public static IRFutureOptionSecurity getInterestRateFutureOptionSecurity() {
    final UniqueId underlyingId = getIndexFutureSecurity().getUniqueId();
    final IRFutureOptionSecurity security = new IRFutureOptionSecurity(TRADING, new Expiry(DateUtils.getUTCDate(2013, 11, 1)), new AmericanExerciseType(),
        ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()), 125, false, EUR, 97, OptionType.PUT);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "897"));
    return security;
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "897"));
    return security;
  }

  public static InterestRateFutureSecurity getInterestRateFutureSecurity() {
    final InterestRateFutureSecurity security = new InterestRateFutureSecurity(new Expiry(DateUtils.getUTCDate(2013, 9, 1)), TRADING, SETTLEMENT, USD, 12500,
        ExternalSchemes.syntheticSecurityId("USD 3m Libor"), "Financial");
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "4567"));
    return security;
  }
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Related Classes of com.opengamma.util.time.Expiry

  • com.opengamma.analytics.financial.model.option.definition.ComplexChooserOptionDefinitionTest
  • com.opengamma.analytics.financial.model.option.definition.ExtremeSpreadOptionDefinitionTest
  • com.opengamma.analytics.financial.model.option.definition.SimpleChooserOptionDefinitionTest
  • com.opengamma.analytics.financial.model.option.pricing.montecarlo.MonteCarloOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.tree.BinomialOptionModelTest
  • com.opengamma.analytics.financial.model.volatility.surface.BlackScholesMertonImpliedVolatilitySurfaceModelTest
  • com.opengamma.bbg.util.BloombergSecurityUtils
  • com.opengamma.examples.simulated.generator.SwaptionParityPortfolioGeneratorTool
  • com.opengamma.examples.simulated.loader.ExampleMultiAssetPortfolioLoader
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
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