Examples of EquityBarrierOptionSecurity


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

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

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

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

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

    assertNull(ids);
  }

  @Test
  public void testEquityBarrierOptionSecurity() {
    final EquityBarrierOptionSecurity security = ExposureFunctionTestHelper.getEquityBarrierOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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Examples of com.opengamma.financial.security.option.EquityBarrierOptionSecurity

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

  @Test
  public void testEquityBarrierOptionSecurity() {
    final EquityBarrierOptionSecurity security = ExposureFunctionTestHelper.getEquityBarrierOptionSecurity();
    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.EquityBarrierOptionSecurity

    return security;
  }

  public static EquityBarrierOptionSecurity getEquityBarrierOptionSecurity() {
    final UniqueId underlyingId = getEquitySecurity().getUniqueId();
    final EquityBarrierOptionSecurity security = new EquityBarrierOptionSecurity(OptionType.PUT, 100, EUR, ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()),
        new EuropeanExerciseType(), new Expiry(DateUtils.getUTCDate(2013, 4, 1)), 150, SETTLEMENT, BarrierType.DOWN, BarrierDirection.KNOCK_IN, MonitoringType.CONTINUOUS,
        SamplingFrequency.CONTINUOUS, 110);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "989"));
    return security;
  }
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Examples of com.opengamma.financial.security.option.EquityBarrierOptionSecurity

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

    EquityBarrierOptionSecurity sec = new EquityBarrierOptionSecurity(bean.getOptionType(),
        bean.getStrike(),
        currencyBeanToCurrency(bean.getCurrency()),
        externalIdBeanToExternalId(bean.getUnderlying()),
        exerciseType,
        expiryBeanToExpiry(bean.getExpiry()),
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Examples of com.opengamma.financial.security.option.EquityBarrierOptionSecurity

    final BarrierType barrierType = barrierType();
    final BarrierDirection barrierDirection = barrierDirection();
    final MonitoringType monitoringType = monitoringType();
    final SamplingFrequency samplingFrequency = samplingFrequency();
    final double barrierLevel = 0;
    final EquityBarrierOptionSecurity security = new EquityBarrierOptionSecurity(optionType, strike, currency, underlyingId, exerciseType, expiry, pointValue, exchange, barrierType,
          barrierDirection, monitoringType, samplingFrequency, barrierLevel);
    store(security);
    return security;
  }
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Examples of com.opengamma.financial.security.option.EquityBarrierOptionSecurity

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

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

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues)
    throws AsynchronousExecution {

    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final EquityBarrierOptionSecurity barrierSec = (EquityBarrierOptionSecurity) target.getSecurity();
    final ExternalId underlyingId = barrierSec.getUnderlyingId();
    final ValueRequirement desiredValue = desiredValues.iterator().next();

    // 1. Get parameters for the smoothing of binary payoffs into put spreads
    final String strOH = desiredValue.getConstraint(ValuePropertyNames.BINARY_OVERHEDGE);
    if (strOH == null) {
      throw new OpenGammaRuntimeException("Could not find: " + ValuePropertyNames.BINARY_OVERHEDGE);
    }
    final Double overhedge = Double.parseDouble(strOH);

    final String strSmooth = desiredValue.getConstraint(ValuePropertyNames.BINARY_SMOOTHING_FULLWIDTH);
    if (strSmooth == null) {
      throw new OpenGammaRuntimeException("Could not find: " + ValuePropertyNames.BINARY_SMOOTHING_FULLWIDTH);
    }
    final Double smoothing = Double.parseDouble(strSmooth);

    // 2. Break the barrier security into it's vanilla analytic derivatives
    final Set<EquityIndexOption> vanillas = vanillaDecomposition(now, barrierSec, smoothing, overhedge);
    if (vanillas.iterator().next().getTimeToSettlement() < 0.0) {
      throw new OpenGammaRuntimeException("EquityBarrierOptionSecurity with expiry, " + barrierSec.getExpiry().getExpiry().toString() + ", has already settled.");
    }
    // 3. Build up the market data bundle
    final StaticReplicationDataBundle market = buildMarketBundle(underlyingId, executionContext, inputs, target, desiredValues);

    // 4. Properties of what's required of this function
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Examples of com.opengamma.financial.security.option.EquityBarrierOptionSecurity

    assertNull(ids);
  }

  @Test
  public void testEquityBarrierOptionSecurity() {
    final EquityBarrierOptionSecurity security = ExposureFunctionTestHelper.getEquityBarrierOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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