Examples of SwaptionSecurity

com.opengamma.financial.security.option.SwaptionSecurity
A security for equity options.

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

    return security;
  }


  public static SwaptionSecurity getReceiveSwaptionSecurity() {
    final UniqueId underlying = getReceiveFixedFloatSwapSecurity().getUniqueId();
    final SwaptionSecurity security = new SwaptionSecurity(false, ExternalId.of(underlying.getScheme(), underlying.getValue()), true, new Expiry(DateUtils.getUTCDate(2012, 1, 1)), false, EUR);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "5417"));
    return security;
  }

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

    return bean;
  }


  @Override
  public SwaptionSecurity createSecurity(OperationContext context, SwaptionSecurityBean bean) {
    SwaptionSecurity swaptionSecurity = new SwaptionSecurity(bean.getPayer(), 
        externalIdBeanToExternalId(bean.getUnderlying()), 
        bean.getLongShort(), 
        expiryBeanToExpiry(bean.getExpiry()), 
        bean.getCashSettled(), 
        currencyBeanToCurrency(bean.getCurrency()));
    if (bean.getOptionExerciseType() != null) {
      final ExerciseType exerciseType = bean.getOptionExerciseType().accept(new ExerciseTypeVisitorImpl());
      swaptionSecurity.setExerciseType(exerciseType);
    }
    final ZonedDateTime settlementDate = Converters.zonedDateTimeBeanToDateTimeWithZone(bean.getSettlementDate());
    swaptionSecurity.setSettlementDate(settlementDate);
    swaptionSecurity.setNotional(bean.getNotional());
    return swaptionSecurity;
  }

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

      swap.setName(swapName);
      final SecurityDocument toAddDoc = new SecurityDocument();
      toAddDoc.setSecurity(swap);
      securityMaster.add(toAddDoc);
      final ExternalId swapId = getSecurityPersister().storeSecurity(swap).iterator().next();
      final SwaptionSecurity swaption = new SwaptionSecurity(payer, swapId, isLong, new Expiry(swaptionExpiry), isCashSettled, currency);
      swaption.setName(swaptionName);
      swaptions[i] = swaption;
    }
    return swaptions;
  }

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

      isPayer = fixedLegs.get(0).getDirection() == Direction.PAY;
    }


    Expiry expiry = new Expiry(convertLocalDate(trade.getExpirationDate()));


    ManageableSecurity security = new SwaptionSecurity(
        isPayer, underlyingId, trade.getBuySell() == BuySell.BUY,
        expiry, trade.getSettlementType() == SettlementType.CASH_SETTLED,
        currency,
        null, trade.getExerciseType().convert(),
        convertLocalDate(trade.getCashSettlementPaymentDate()));

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

    final ExternalId underlyingIdentifier = createSwapSecurity().getExternalIdBundle().getExternalId(_security);
    final boolean isLong = bool();
    final Expiry expiry = expiry();
    final boolean cashSettled = bool();
    final Currency currency = currency();
    final SwaptionSecurity security = new SwaptionSecurity(payer, underlyingIdentifier, isLong, expiry, cashSettled, currency);
    store(security);
    return security;
  }

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

    assertNull(ids);
  }


  @Test
  public void testSwaptionSecurity() {
    final SwaptionSecurity security = ExposureFunctionTestHelper.getPaySwaptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceName, currency));
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface");
    }
    final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames(); //TODO
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle blackData = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
    if (security.isCashSettled()) {
      final SwaptionCashFixedIborDefinition cashSettled = (SwaptionCashFixedIborDefinition) definition;
      final MultipleCurrencyAmount theta = calculator.getTheta(cashSettled, now, curveNames, blackData, Integer.parseInt(daysForward));
      return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, surfaceName, currency.getCode(), daysForward), theta));
    }
    final SwaptionPhysicalFixedIborDefinition physicallySettled = (SwaptionPhysicalFixedIborDefinition) definition;

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

            false,
            0.04));
    swap1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap1.setName("Swap: pay 3m Libor vs 4% fixed, start=" + swap1.getEffectiveDate().toLocalDate() + ", maturity=" + swap1.getMaturityDate().toLocalDate() + ", notional=USD 10MM");
    storeFinancialSecurity(swap1);
    final SwaptionSecurity swaption1 = new SwaptionSecurity(false, swap1.getExternalIdBundle().getExternalId(ExternalScheme.of(ID_SCHEME)),
        true, new Expiry(ZonedDateTime.of(LocalDateTime.of(year + 1, 6, 1, 1, 0), ZoneOffset.UTC)),
        true, Currency.USD, null, europeanExerciseType, null);
    swaption1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swaption1.setName("Vanilla swaption, 1Y x 10Y, USD 10,000,000 @ 4%");
    securities.add(swaption1);


    final SwapSecurity swap2 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(year + 2, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 2, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 4, 6, 1, 1, 0), ZoneOffset.UTC),
        "Cpty",
        new FloatingInterestRateLeg(DAY_COUNT, SimpleFrequency.QUARTERLY,
            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 3000000.0),
            false,
            USDLIBOR3M,
            FloatingRateType.IBOR),
        new FixedInterestRateLeg(DayCountFactory.INSTANCE.getDayCount("30U/360"),
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 3000000.0),
            false,
            0.01));
    swap2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap2.setName("Swap: pay 3m Libor vs 1% fixed, start=" + swap2.getEffectiveDate().toLocalDate() + ", maturity=" + swap2.getMaturityDate().toLocalDate() + ", notional=USD 3MM");
    storeFinancialSecurity(swap2);
    final SwaptionSecurity swaption2 = new SwaptionSecurity(false, swap2.getExternalIdBundle().getExternalId(ExternalScheme.of(ID_SCHEME)),
        false, new Expiry(ZonedDateTime.of(LocalDateTime.of(year + 2, 6, 1, 1, 0), ZoneOffset.UTC)),
        true, Currency.USD, null, europeanExerciseType, null);
    swaption2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swaption2.setName("Vanilla swaption, 2Y x 2Y, USD 3,000,000 @ 1%");
    securities.add(swaption2);


    final SwapSecurity swap3 = new SwapSecurity(
        ZonedDateTime.of(LocalDateTime.of(year + 5, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 5, 6, 1, 1, 0), ZoneOffset.UTC),
        ZonedDateTime.of(LocalDateTime.of(year + 20, 6, 1, 1, 0), ZoneOffset.UTC),
        "Cpty",
        new FloatingInterestRateLeg(DAY_COUNT, SimpleFrequency.QUARTERLY,
            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 6000000.0),
            false,
            USDLIBOR3M,
            FloatingRateType.IBOR),
        new FixedInterestRateLeg(DayCountFactory.INSTANCE.getDayCount("30U/360"),
            SimpleFrequency.SEMI_ANNUAL,
            ExternalSchemes.financialRegionId("US+GB"),
            BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following"),
            new InterestRateNotional(Currency.USD, 6000000.0),
            false,
            0.035));
    swap3.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swap3.setName("Swap: pay 3m Libor vs 3.5% fixed, start=" + swap3.getEffectiveDate().toLocalDate() + ", maturity=" + swap3.getMaturityDate().toLocalDate() + ", notional=USD 6MM");
    storeFinancialSecurity(swap3);
    final SwaptionSecurity swaption3 = new SwaptionSecurity(false, swap3.getExternalIdBundle().getExternalId(ExternalScheme.of(ID_SCHEME)),
        false, new Expiry(ZonedDateTime.of(LocalDateTime.of(year + 5, 6, 1, 1, 0), ZoneOffset.UTC)),
        true, Currency.USD, null, europeanExerciseType, null);
    swaption3.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    swaption3.setName("Vanilla swaption, 5Y x 15Y, USD 6,000,000 @ 3.5%");
    securities.add(swaption3);
    return securities;
  }

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

    final SecurityDocument toAddDoc = new SecurityDocument();
    toAddDoc.setSecurity(underlyingSwap);
    securityMaster.add(toAddDoc);
    final ZonedDateTime[] tradeDates = new ZonedDateTime[] {tradeDate, tradeDate};
    final ExternalId underlyingId = getSecurityPersister().storeSecurity(underlyingSwap).iterator().next();
    final SwaptionSecurity swaption1 = new SwaptionSecurity(true, underlyingId, true, expiry, false, CURRENCY);
    swaption1.setName("Long payer 1Yx10Y @ 2%");
    final SwaptionSecurity swaption2 = new SwaptionSecurity(true, underlyingId, false, expiry, false, CURRENCY);
    swaption2.setName("Short payer 1Yx10Y @ 2%");
    final SwaptionSecurity[] swaptionParity = new SwaptionSecurity[] {swaption1, swaption2};
    return new MySecurityGenerator<>(swaptionParity, tradeDates, "Swaption long / short parity");
  }

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

    toAddDoc.setSecurity(underlyingSwap2);
    securityMaster.add(toAddDoc);
    final ExternalId underlyingId1 = getSecurityPersister().storeSecurity(underlyingSwap1).iterator().next();
    final ExternalId underlyingId2 = getSecurityPersister().storeSecurity(underlyingSwap2).iterator().next();
    final ZonedDateTime[] tradeDates = new ZonedDateTime[] {tradeDate, tradeDate};
    final SwaptionSecurity swaption1 = new SwaptionSecurity(false, underlyingId1, true, expiry, false, CURRENCY);
    swaption1.setName("Long receiver 1Yx10Y @ 1.8% - ACT/360");
    final SwaptionSecurity swaption2 = new SwaptionSecurity(false, underlyingId2, false, expiry, false, CURRENCY);
    swaption2.setName("Short receiver 1Yx10Y @ 1.825% - ACT/365");
    final SwaptionSecurity[] swaptionParity = new SwaptionSecurity[] {swaption1, swaption2};
    return new MySecurityGenerator<>(swaptionParity, tradeDates, "Swaption convention parity");
  }

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