Package com.opengamma.financial.analytics.conversion

Examples of com.opengamma.financial.analytics.conversion.InterestRateFutureOptionTradeConverter.convert()


        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final Trade trade = target.getTrade();
        final Security security = trade.getSecurity();
        final InstrumentDefinition<?> definition;
        if (security instanceof IRFutureOptionSecurity) {
          definition = optionTradeToTxnDefnConverter.convert(trade)
        } else {
          definition = futureTradeConverter.convert(trade)
        }
        final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
        final InstrumentDerivative derivative = definitionConverter.convert(security, definition, now, timeSeries);
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        try {
          final Trade trade = target.getTrade();
          final Security security = trade.getSecurity();
          Set<ValueRequirement> tsRequirements = null;
          if (security instanceof IRFutureOptionSecurity) {
            tsRequirements = definitionConverter.getConversionTimeSeriesRequirements(security, optionTradeToTxnDefnConverter.convert(trade));
          } else {
            tsRequirements = definitionConverter.getConversionTimeSeriesRequirements(security, futureTradeConverter.convert(trade));
          }
          if (tsRequirements == null) {
            return null;
View Full Code Here

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