Examples of IRFutureOptionSecurity

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

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    }
    if (vega == null) {
      throw new OpenGammaRuntimeException("Could not get vega for " + target);
    }
    // 2. Compute Weighted Vega
    final IRFutureOptionSecurity security = (IRFutureOptionSecurity) target.getTrade().getSecurity();
    final Expiry expiry = security.getExpiry();

    if (expiry.getAccuracy().equals(ExpiryAccuracy.MONTH_YEAR) || expiry.getAccuracy().equals(ExpiryAccuracy.YEAR)) {
      throw new OpenGammaRuntimeException("Security's Expiry is not accurate to the day, which is required: " + security.toString());
    }

    final long daysToExpiry = ChronoUnit.DAYS.between(LocalDate.now(executionContext.getValuationClock()), expiry.getExpiry().toLocalDate());
    final double weighting = Math.sqrt(s_baseDays / Math.max(daysToExpiry, 1.0));
    final double weightedVega = weighting * vega;
 
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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        } else {
          baseDays = DEFAULT_BASE_DAYS;
          resultConstraints.with(PROPERTY_BASE_DAYS, Double.toString(DEFAULT_BASE_DAYS));
        }
        final double positionVega = (Double) inputs.getValue(POSITION_VEGA);
        final IRFutureOptionSecurity security = (IRFutureOptionSecurity) target.getTrade().getSecurity();
        final Expiry expiry = security.getExpiry();
        if (expiry.getAccuracy().equals(ExpiryAccuracy.MONTH_YEAR) || expiry.getAccuracy().equals(ExpiryAccuracy.YEAR)) {
          throw new OpenGammaRuntimeException("Security's expiry is not accurate to the day, which is required: " + security.toString());
        }
        final long daysToExpiry = ChronoUnit.DAYS.between(LocalDate.now(executionContext.getValuationClock()), expiry.getExpiry().toLocalDate());
        final double weighting = Math.sqrt(baseDays / Math.max(daysToExpiry, 1.0));
        final double weightedVega = weighting * positionVega;
        final ValueSpecification valueSpecification = new ValueSpecification(POSITION_WEIGHTED_VEGA, target.toSpecification(), resultConstraints.get());
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    if (!(target.getTrade().getSecurity() instanceof IRFutureOptionSecurity)) {
      return false;
    }
    final IRFutureOptionSecurity irFutureOption = (IRFutureOptionSecurity) target.getTrade().getSecurity();
    final String currency = irFutureOption.getCurrency().getCode();
    return _currencyCurveConfigAndSurfaceNames.containsKey(currency);
  }
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    final Security security = target.getTrade().getSecurity();
    if (!(security instanceof IRFutureOptionSecurity)) {
      return false;
    }
    final IRFutureOptionSecurity irFutureOption = (IRFutureOptionSecurity) security;
    final String currency = FinancialSecurityUtils.getCurrency(irFutureOption).getCode();
    if (_curveConfigPerCurrency.keySet().contains(currency)) {
      return true;
    }
    return false;
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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    }
  }

  @Override
  protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
    final IRFutureOptionSecurity irFutureOption = (IRFutureOptionSecurity) target.getTrade().getSecurity();
    final String currency = FinancialSecurityUtils.getCurrency(irFutureOption).getCode();
    if (ValuePropertyNames.CURVE_CALCULATION_CONFIG.equals(propertyName)) {
      return Collections.singleton(_curveConfigPerCurrency.get(currency));
    }
    if (ValuePropertyNames.SURFACE.equals(propertyName)) {
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final Trade trade = target.getTrade();
    final IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    // To enable standard and midcurve options to share the same default name
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final Trade trade = target.getTrade();
    final IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final String surfaceNameWithPrefix = surfaceName + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target); // Done to enable standard and midcurve options to share the same default name
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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    double strike = 0.995;
    double pointValue = 2500;
    Expiry expiry = new Expiry(DateUtils.getUTCDate(2012, 12, 17));
    ExternalId underlyingID = ExternalSchemes.bloombergTickerSecurityId("EDZ2 Comdty");
    final String exchange = "CME";
    final IRFutureOptionSecurity security = new IRFutureOptionSecurity(exchange, expiry, new AmericanExerciseType(), underlyingID, pointValue, false, USD, strike, optionType);

    Set<ExternalId> identifiers = new HashSet<>();
    identifiers.add(ExternalSchemes.bloombergBuidSecurityId("IX11675985-0-8C70"));
    identifiers.add(ExternalSchemes.bloombergTickerSecurityId("EDZ2C 99.500 Comdty"));
    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    security.setUniqueId(BloombergSecurityProvider.createUniqueId("IX11675985-0-8C70"));
    security.setName("EDZ2C 2012-12-17 C 99.5");
    return security;
  }
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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    double strike = 0.91;
    double pointValue = 1250.0;
    Expiry expiry = new Expiry(DateUtils.getUTCDate(2011, 9, 21));
    ExternalId underlyingID = ExternalSchemes.bloombergTickerSecurityId("L U11 Comdty");
    final String exchange = "LIF";
    final IRFutureOptionSecurity security = new IRFutureOptionSecurity(exchange, expiry, new AmericanExerciseType(), underlyingID, pointValue, true, GBP, strike, optionType);

    Set<ExternalId> identifiers = new HashSet<>();
    identifiers.add(ExternalSchemes.bloombergBuidSecurityId("IX9494155-0-8B60"));
    identifiers.add(ExternalSchemes.bloombergTickerSecurityId("L U1C 91.000 Comdty"));
    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    security.setUniqueId(BloombergSecurityProvider.createUniqueId("IX9494155-0-8B60"));
    security.setName("L U1C 2011-09-21 C 91.0");
    return security;
  }
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Examples of com.opengamma.financial.security.option.IRFutureOptionSecurity

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    double strike = 0.92875;
    double pointValue = 2500;
    Expiry expiry = new Expiry(DateUtils.getUTCDate(2011, 9, 19));
    ExternalId underlyingID = ExternalSchemes.bloombergTickerSecurityId("FPU11 Comdty");
    final String exchange = "EUX";
    final IRFutureOptionSecurity security = new IRFutureOptionSecurity(
        exchange, expiry, new AmericanExerciseType(), underlyingID, pointValue, true, EUR, strike, optionType);

    Set<ExternalId> identifiers = new HashSet<>();
    identifiers.add(ExternalSchemes.bloombergBuidSecurityId("IX10090132-0-8B9C"));
    identifiers.add(ExternalSchemes.bloombergTickerSecurityId("FPU1C 92.875 Comdty"));
    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    security.setUniqueId(BloombergSecurityProvider.createUniqueId("IX10090132-0-8B9C"));
    security.setName("FPU1C 2011-09-19 C 92.875");
    return security;
  }
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