Examples of FutureSecurity

Examples of com.opengamma.financial.security.future.FutureSecurity

70
71
72
73
74
75
76
77
78
79
80
81
  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Position position = target.getPosition();
    final FutureSecurity security = (FutureSecurity) position.getSecurity();
    final Currency currency = security.getCurrency();
    final Clock snapshotClock = executionContext.getValuationClock();
    final LocalDate now = ZonedDateTime.now(snapshotClock).toLocalDate();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Set<String> samplingPeriodName = desiredValue.getConstraints().getValues(ValuePropertyNames.SAMPLING_PERIOD);
    final Set<String> scheduleCalculatorName = desiredValue.getConstraints().getValues(ValuePropertyNames.SCHEDULE_CALCULATOR);
View Full Code Here

Examples of com.opengamma.financial.security.future.FutureSecurity

150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
    final Set<String> curveName = constraints.getValues(ValuePropertyNames.CURVE);
    if (curveName == null || curveName.isEmpty() || curveName.size() != 1) {
      return null;
    }
    final Position position = target.getPosition();
    final FutureSecurity future = (FutureSecurity) position.getSecurity();
    final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
    final ValueProperties pvProperties = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, future.getCurrency().getCode())
        .with(ValuePropertyNames.CURVE, curveName).get();
    requirements.add(new ValueRequirement(ValueRequirementNames.PRESENT_VALUE, ComputationTargetType.SECURITY, future.getUniqueId(), pvProperties));
    final HistoricalTimeSeriesResolutionResult timeSeries = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context).resolve(
        getUnderlyingIdentifier(future), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
View Full Code Here

Examples of com.opengamma.financial.security.future.FutureSecurity

111
112
113
114
115
116
117
118
119
120
121
122
    tradeDate = checkAvailableData(tradeDate, htsMarkToMarket, security, _mark2MarketField, _resolutionKey);
    final ValueSpecification valueSpecification = new ValueSpecification(getResultValueRequirementName(), target.toSpecification(), desiredValue.getConstraints());
    final double costOfCarry = getCostOfCarry(security, tradeDate, htsCostOfCarry);
    Double markToMarket = htsMarkToMarket.getTimeSeries().getValue(tradeDate);
    if (security instanceof FutureSecurity) {
      final FutureSecurity futureSecurity = (FutureSecurity) security;
      markToMarket = markToMarket * futureSecurity.getUnitAmount();
    }
    final BigDecimal dailyPnL = tradeValue.subtract(trade.getQuantity().multiply(BigDecimal.valueOf(markToMarket + costOfCarry)));
    s_logger.debug("{}  security: {} quantity: {} fairValue: {} markToMarket: {} costOfCarry: {} dailyPnL: {}",
          new Object[] {trade.getUniqueId(), trade.getSecurity().getExternalIdBundle(), trade.getQuantity(), tradeValue, markToMarket, costOfCarry, dailyPnL });
    final ComputedValue result = new ComputedValue(valueSpecification, MoneyCalculationUtils.rounded(dailyPnL).doubleValue());
View Full Code Here

Examples of com.opengamma.financial.security.future.FutureSecurity

49
50
51
52
53
54
55
56
57
58
59
60
    FixedIncomeStripWithSecurity strip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.CASH, Tenor.ONE_MONTH, "DEFAULT"), Tenor.ONE_MONTH, maturity, dummyId, cash);
    assertEquals(strip, cycleObject(FixedIncomeStripWithSecurity.class, strip));

    dummyId = ExternalSchemes.bloombergTickerSecurityId("EDZ2 Comdty");
    bundle = ExternalIdBundle.of(dummyId);
    final FutureSecurity future = new InterestRateFutureSecurity(new Expiry(ZonedDateTime.now()), "XCSE", "XCSE", Currency.USD, 0, dummyId, "Interest Rate");
    future.setExternalIdBundle(bundle);
    strip = new FixedIncomeStripWithSecurity(new FixedIncomeStrip(StripInstrumentType.FUTURE, Tenor.THREE_MONTHS, 2, "DEFAULT"), Tenor.THREE_MONTHS, DateUtils.getUTCDate(2011, 12, 1), dummyId, future);
    assertEquals(strip, cycleObject(FixedIncomeStripWithSecurity.class, strip));
   
    dummyId = ExternalSchemes.bloombergTickerSecurityId("USFR0BE Curncy");
    bundle = ExternalIdBundle.of(dummyId);
View Full Code Here

Examples of com.opengamma.financial.security.future.FutureSecurity

235
236
237
238
239
240
241
242
243
244
245
246
247
      final int n = 1 + RANDOM.nextInt(20);
      final Expiry expiry = new Expiry(tradeDate.plusMonths(3 * n).with(THIRD_WED_ADJUSTER));
      final String letter = MONTHS.get(expiry.getExpiry().getMonth());
      final String year = Integer.toString(expiry.getExpiry().getYear() - 2000);
      final String code = "ER" + letter + year;
      final FutureSecurity security = new InterestRateFutureSecurity(expiry, "EUREX", "EUREX", CURRENCY, 2500, EURIBOR_3M, "Interest rate");
      security.setName(code);
      security.setExternalIdBundle(ExternalIdBundle.of(ExternalSchemes.syntheticSecurityId(code)));
      securities[i] = security;
      amounts[i] = RANDOM.nextInt(100) - 50;
      prices[i] = 1 - (1e-5 + RANDOM.nextDouble() / 100.);
    }
    return new FutureSecurityGenerator<>(securities, amounts, prices, tradeDate, "Euribor futures");
View Full Code Here

Examples of com.opengamma.financial.security.future.FutureSecurity

78
79
80
81
82
83
84
85
86
87
88
89
90
    for (int i = 0; i < 40; i++) {
      final Expiry expiry = new Expiry(startDate.plusMonths(3 * i).with(THIRD_WED_ADJUSTER));
      final String letter = MONTHS.get(expiry.getExpiry().getMonth());
      final String year = Integer.toString(expiry.getExpiry().getYear() - 2000);
      final String code = "ER" + letter + year;
      final FutureSecurity security = new InterestRateFutureSecurity(expiry, "EUREX", "EUREX", CURRENCY, 2500, EURIBOR_3M, "Interest rate");
      security.setName(code);
      security.setExternalIdBundle(ExternalIdBundle.of(ExternalSchemes.syntheticSecurityId(code)));
      securities[i] = security;
      amounts[i] = 1;
      prices[i] = 1 - ((i + 1) * 0.001);     
    }
    return new FutureSecurityGenerator<>(securities, amounts, prices, tradeDate, "Euribor futures");
View Full Code Here

Examples of com.opengamma.financial.security.future.FutureSecurity

53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
  @Override
  public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
   
    // Get security price (market value)
    final Trade trade = target.getTrade();
    final FutureSecurity security = (FutureSecurity) trade.getSecurity();
    final double price = (Double) inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.SECURITY, security.getUniqueId()));
   
    // Get shift to price, if provided, and hence PNL
    final double pnl;
   
    ValueProperties constraints = desiredValues.iterator().next().getConstraints();
    String priceConstraint = constraints.getValues(s_priceShift).iterator().next();
    String priceShiftTypeConstraint = constraints.getValues(s_priceShiftType).iterator().next();
   
    if (priceConstraint.equals("")) {
      pnl = 0.0;
    } else {
     
      final Double priceShift = Double.valueOf(priceConstraint);
     
      if (priceShiftTypeConstraint.equals("Additive")) {
        // The shift is itself the pnl
        pnl = priceShift;
      } else if (priceShiftTypeConstraint.equals("Multiplicative")) {
        // The market value under shift, d = (1 + d ) * market_value, hence pnl = scenario_value - market_value = d * market_value
        pnl = priceShift * price;
      } else {
        s_logger.debug("Valid PriceShiftType's: Additive and Multiplicative. Found: " + priceShiftTypeConstraint + " Defaulting to Multiplicative.");
        pnl = priceShift * price;
      }
    }
    // Scale by unit notional of contract and trade size
    final Double scaledPnl = pnl * security.getUnitAmount() * trade.getQuantity().floatValue();
    // Return PNL with specification
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueSpecification valueSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), desiredValue.getConstraints());
    return Collections.singleton(new ComputedValue(valueSpec, scaledPnl));

View Full Code Here

Examples of com.opengamma.financial.security.future.FutureSecurity

106
107
108
109
110
111
112
113
114
115
116
           security instanceof IndexFutureSecurity;
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final FutureSecurity security = (FutureSecurity)  target.getTrade().getSecurity();
    final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
    // Spot
    final ValueRequirement refPriceReq = getReferencePriceRequirement(context, security);
    if (refPriceReq == null) {
      return null;
View Full Code Here

Examples of com.opengamma.financial.security.future.FutureSecurity

88
89
90
91
92
93
94
95
96
97
    if (requirements == null) {
      return null;
    }
    // Get Funding Curve Name and Configuration
    final String fundingCurveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final FutureSecurity security = (FutureSecurity)  target.getTrade().getSecurity();
    // Add Funding Curve Spec, to get labels correct in result
    requirements.add(getCurveSpecRequirement(FinancialSecurityUtils.getCurrency(security), fundingCurveName));
    return requirements;
  }
View Full Code Here

Examples of com.opengamma.financial.security.future.FutureSecurity

98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    // 1. Build the analytic derivative to be priced
    final Trade trade = target.getTrade();
    final FutureSecurity security = (FutureSecurity) trade.getSecurity();

    final HistoricalTimeSeriesBundle timeSeriesBundle = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    Double lastMarginPrice = null;
    try {
      lastMarginPrice = timeSeriesBundle.get(MarketDataRequirementNames.MARKET_VALUE, security.getExternalIdBundle()).getTimeSeries().getLatestValue();
    } catch (final NoSuchElementException e) {
      throw new OpenGammaRuntimeException("Time series for " + security.getExternalIdBundle() + " was empty");
    }
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final InstrumentDefinitionWithData<?, Double> definition = security.accept(_converter);
    final InstrumentDerivative derivative = definition.toDerivative(valuationTime, lastMarginPrice);

    // 2. Build up the market data bundle
    final SimpleFutureDataBundle market = getFutureDataBundle(security, inputs, timeSeriesBundle, desiredValues.iterator().next());
    final ValueRequirement desiredValue = desiredValues.iterator().next();
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. 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.