Examples of IRFutureOptionSecurity

com.opengamma.financial.security.option.IRFutureOptionSecurity
A security for IR future options.

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

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


  @Test
  public void testInterestRateFutureOptionSecurity() {
    final IRFutureOptionSecurity security = ExposureFunctionTestHelper.getInterestRateFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "IRFUTURE_OPTION"), ids.get(0));
  }

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

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


  @Test
  public void testInterestRateFutureOptionSecurity() {
    final IRFutureOptionSecurity security = ExposureFunctionTestHelper.getInterestRateFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "IRFUTURE_OPTION_EUR"), ids.get(0));
  }

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

    assertNull(ids);
  }


  @Test
  public void testInterestRateFutureOptionSecurity() {
    final IRFutureOptionSecurity security = ExposureFunctionTestHelper.getInterestRateFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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

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


  @Test
  public void testInterestRateFutureOptionSecurity() {
    final IRFutureOptionSecurity security = ExposureFunctionTestHelper.getInterestRateFutureOptionSecurity();
    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.IRFutureOptionSecurity

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

    identifiers.add(ExternalSchemes.bloombergBuidSecurityId(bbgUniqueID));
    if (BloombergDataUtils.isValidField(secDes)) {
      identifiers.add(ExternalSchemes.bloombergTickerSecurityId(secDes));
    }
    
    final IRFutureOptionSecurity security = new IRFutureOptionSecurity(
        exchangeCode, 
        expiry, 
        getExerciseType(optionExerciseType), 
        buildUnderlyingTicker(underlingTicker), 
        pointValue, 
        getIsMargined(exchangeCode), 
        ogCurrency, 
        optionStrikePrice / 100, // Strike in percent //TODO: use normalization (like in BloombergRateClassifier)?
        optionType);
    security.setExternalIdBundle(ExternalIdBundle.of(identifiers));
    security.setUniqueId(BloombergSecurityProvider.createUniqueId(bbgUniqueID));
    //build option display name
    StringBuilder buf = new StringBuilder(rootTicker);
    buf.append(" ");
    buf.append(expiryDate);
    if (optionType == OptionType.CALL) {
      buf.append(" C ");
    } else {
      buf.append(" P ");
    }
    buf.append(optionStrikePrice);
    security.setName(buf.toString());
    return security;
  }

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

  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    if (!(target.getPositionOrTrade().getSecurity() instanceof IRFutureOptionSecurity)) {
      return false;
    }
    final IRFutureOptionSecurity irFutureOption = (IRFutureOptionSecurity) target.getPositionOrTrade().getSecurity();
    final String currency = irFutureOption.getCurrency().getCode();
    return _currencyCurveConfigAndSurfaceNames.containsKey(currency);
  }

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

      dailyValueMove *= optionSecurity.getPointValue();
    } else if (security instanceof EquityIndexFutureOptionSecurity) {
      final EquityIndexFutureOptionSecurity optionSecurity = (EquityIndexFutureOptionSecurity) security;
      dailyValueMove *= optionSecurity.getPointValue();
    } else if (security instanceof IRFutureOptionSecurity) {
      final IRFutureOptionSecurity optionSecurity = (IRFutureOptionSecurity) security;
      dailyValueMove *= optionSecurity.getPointValue();
    }
    // Multiply by the Trade's Quantity
    final Double dailyPnL = target.getTrade().getQuantity().doubleValue() * dailyValueMove;


    // 5. Return

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

    final double pointValue = 0;
    final boolean margined = bool();
    final Currency currency = Currency.USD; // currency(); // Only got a USD surface at the moment
    final double strike = 0;
    final OptionType optionType = optionType();
    final IRFutureOptionSecurity security = new IRFutureOptionSecurity(exchange, expiry, exerciseType, underlyingIdentifier, pointValue, margined, currency, strike, optionType);
    security.addExternalId(ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, "US0003M Index"));
    store(security);
    return security;
  }

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

    assertNull(ids);
  }


  @Test
  public void testInterestRateFutureOptionSecurity() {
    final IRFutureOptionSecurity security = ExposureFunctionTestHelper.getInterestRateFutureOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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