Examples of EuropeanExerciseType

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

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      if (rate == null) {
        return null;
      }
    }
    final SwaptionSecurity security = new SwaptionSecurity(isPayer, getSecurityPersister().storeSecurity(underlying).iterator().next(), isLong, new Expiry(expiry), isCashSettled, currency, notional,
        new EuropeanExerciseType(), settlementDate);
    security.setName(createName(currency, optionLength, (int) MONTHS.between(underlying.getEffectiveDate(), underlying.getMaturityDate()), notional, rate));
    return security;
  }
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Examples of com.opengamma.financial.security.option.EuropeanExerciseType

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      return null;
    }
    final double callAmount = NOTIONAL * fxRate;
    final Expiry expiry = new Expiry(settlementDate, ExpiryAccuracy.DAY_MONTH_YEAR);
    final String dateString = settlementDate.toString(DATE_FORMATTER);
    final FXOptionSecurity fxOptionSecurity = new FXOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate, bundle._long, new EuropeanExerciseType());
    final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
    final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
    fxOptionSecurity.setName((bundle._long ? "Long " : "Short ") + "put " + putCurrency + " " + putAmountString + ", call " + callCurrency + " " + callAmountString + " on " + dateString);
    return fxOptionSecurity;
  }
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Examples of com.opengamma.financial.security.option.EuropeanExerciseType

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    final double callAmount = NOTIONAL * fxRate;
    final Expiry expiry = new Expiry(settlementDate, ExpiryAccuracy.DAY_MONTH_YEAR);
    final String dateString = settlementDate.toString(DATE_FORMATTER);
   
    final NonDeliverableFXOptionSecurity optionSecurity = new NonDeliverableFXOptionSecurity(putCurrency, callCurrency, putAmount, callAmount, expiry, settlementDate,
        getRandom(BOOLEAN_VALUES), new EuropeanExerciseType(), getRandom(BOOLEAN_VALUES));
   
    final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
    final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
    optionSecurity.setName((bundle._long ? "Long " : "Short ") + "put " + putCurrency + " " + putAmountString + ", call " + callCurrency + " " + callAmountString + " on " + dateString);
    return optionSecurity;
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Examples of com.opengamma.financial.security.option.EuropeanExerciseType

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    } else {
      quoteType = SurfaceAndCubeQuoteType.CALL_STRIKE;
    }
    final ExerciseType exerciseType;
    final ExerciseType american = new AmericanExerciseType();
    final ExerciseType european = new EuropeanExerciseType();
    if (message.hasField("exerciseType") && message.getString("exerciseType") != null) {
      final String exerciseTypeName = message.getString("exerciseType");
      exerciseType = exerciseTypeName.equalsIgnoreCase(american.getName()) ? american : european;
    } else {
      exerciseType = european;
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Examples of com.opengamma.financial.security.option.EuropeanExerciseType

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  }

  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.EuropeanExerciseType

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    return security;
  }

  public static EquityIndexDividendFutureOptionSecurity getEquityIndexDividendFutureOptionSecurity() {
    final UniqueId underlyingId = getEquityIndexDividendFutureSecurity().getUniqueId();
    final EquityIndexDividendFutureOptionSecurity security = new EquityIndexDividendFutureOptionSecurity(SETTLEMENT, new Expiry(DateUtils.getUTCDate(2013, 3, 1)), new EuropeanExerciseType(),
        ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()), 100, false, USD, 123, OptionType.CALL);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "6879"));
    return security;
  }
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Examples of com.opengamma.financial.security.option.EuropeanExerciseType

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    return security;
  }

  public static EquityIndexFutureOptionSecurity getEquityIndexFutureOptionSecurity() {
    final UniqueId underlyingId = getEquityFutureSecurity().getUniqueId();
    final EquityIndexFutureOptionSecurity security = new EquityIndexFutureOptionSecurity(SETTLEMENT, new Expiry(DateUtils.getUTCDate(2013, 3, 1)), new EuropeanExerciseType(),
        ExternalId.of(underlyingId.getScheme(), underlyingId.getValue()), 100, false, USD, 123, OptionType.CALL);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "3957"));
    return security;
  }
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Examples of com.opengamma.financial.security.option.EuropeanExerciseType

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  protected ExerciseType getExerciseType(String bbgExerciseType) {
    final ExerciseType result;
    if (bbgExerciseType.equalsIgnoreCase("American")) {
      result = new AmericanExerciseType();
    } else if (bbgExerciseType.equalsIgnoreCase("European")) {
      result = new EuropeanExerciseType();
    } else {
      // an option exercise type we don't support
      _logger.warn("option exercise type {} not currently supported", bbgExerciseType);
      throw new OpenGammaRuntimeException("option exercise type " + bbgExerciseType + " not currently supported");
    }
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Examples of com.opengamma.financial.security.option.EuropeanExerciseType

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  private final String _quoteUnits;
  private final UniqueIdentifiable _target;
  private final ExerciseType _exerciseType;

  public VolatilitySurfaceSpecification(final String name, final UniqueIdentifiable target, final String surfaceQuoteType, final SurfaceInstrumentProvider<?, ?> surfaceInstrumentProvider) {
    this(name, target, surfaceQuoteType, SurfaceAndCubePropertyNames.VOLATILITY_QUOTE, new EuropeanExerciseType(), surfaceInstrumentProvider);
  }
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Examples of com.opengamma.financial.security.option.EuropeanExerciseType

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    this(name, target, surfaceQuoteType, SurfaceAndCubePropertyNames.VOLATILITY_QUOTE, new EuropeanExerciseType(), surfaceInstrumentProvider);
  }

  public VolatilitySurfaceSpecification(final String name, final UniqueIdentifiable target, final String surfaceQuoteType, final String quoteUnits,
      final SurfaceInstrumentProvider<?, ?> surfaceInstrumentProvider) {
    this(name, target, surfaceQuoteType, quoteUnits, new EuropeanExerciseType(), surfaceInstrumentProvider);
  }
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