@Override
public SwaptionCashFixedIbor toDerivative(
final ZonedDateTime date, final String... yieldCurveNames) {
Validate.notNull(date, "date");
Validate.notNull(yieldCurveNames, "yield curve names");
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final double expiryTime = actAct.getDayCountFraction(date, _expiry.getExpiry());
final double settlementTime = actAct.getDayCountFraction(date, _settlementDate);
final FixedCouponSwap<? extends Payment> underlyingSwap =
_underlyingSwap.toDerivative(date, yieldCurveNames);
return SwaptionCashFixedIbor.from(expiryTime, underlyingSwap, settlementTime, _isLong);
}
/**
* @param callStrike The strike of the potential call option
* @param putStrike The strike of the potential put option
* @param chooseDate The choice date (expiry) of the chooser option
* @param callExpiry The expiry date of the potential call option
* @param putExpiry The expiry date of the potential put option
*/
public ComplexChooserOptionDefinition(
final Expiry chooseDate,
final double callStrike,
final Expiry callExpiry,
final double putStrike,
final Expiry putExpiry) {
super(null, chooseDate, null);
Validate.notNull(callExpiry);
Validate.notNull(putExpiry);
ArgumentChecker.notNegative(callStrike, "call strike");
ArgumentChecker.notNegative(putStrike, "put strike");
if (callExpiry.getExpiry().isBefore(chooseDate.getExpiry())) {
throw new IllegalArgumentException("Call expiry must be after the choose date");
}
if (putExpiry.getExpiry().isBefore(chooseDate.getExpiry())) {
throw new IllegalArgumentException("Put expiry must be after the choose date");
}
_callStrike = callStrike;
_putStrike = putStrike;
_callExpiry = callExpiry;
_putExpiry = putExpiry;
_callDefinition = new EuropeanVanillaOptionDefinition(callStrike, callExpiry, true);
_putDefinition = new EuropeanVanillaOptionDefinition(putStrike, putExpiry, false);
}
@Test
public void test() {
assertEquals(PUT.getPeriodEnd(), PERIOD_END);
assertFalse(PUT.isReverse());
ExtremeSpreadOptionDefinition other =
new ExtremeSpreadOptionDefinition(EXPIRY, false, PERIOD_END, false);
assertEquals(other, PUT);
assertEquals(other.hashCode(), PUT.hashCode());
other =
new ExtremeSpreadOptionDefinition(
EXPIRY, false, new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.15)), false);
assertFalse(other.equals(PUT));
other = new ExtremeSpreadOptionDefinition(EXPIRY, false, PERIOD_END, true);
assertFalse(other.equals(PUT));
assertEquals(PUT.getTimeFromPeriodEnd(EXPIRY.getExpiry()), 0.725, 0);
assertEquals(PUT.getTimeFromPeriodEnd(DATE), -0.275, 0);
}
// -------------------------------------------------------------------------
@Override
protected ManageableSecurity createSecurity(FudgeMsg fieldData) {
String expiryDate = fieldData.getString(FIELD_FUT_LAST_TRADE_DT);
String futureTradingHours = fieldData.getString(FIELD_FUT_TRADING_HRS);
String micExchangeCode = fieldData.getString(FIELD_ID_MIC_PRIM_EXCH);
String currencyStr = fieldData.getString(FIELD_CRNCY);
String underlyingTicker = fieldData.getString(FIELD_UNDL_SPOT_TICKER);
String name = fieldData.getString(FIELD_FUT_LONG_NAME);
String bbgUnique = fieldData.getString(FIELD_ID_BBG_UNIQUE);
String marketSector = fieldData.getString(FIELD_MARKET_SECTOR_DES);
String unitAmount = fieldData.getString(FIELD_FUT_VAL_PT);
if (!isValidField(bbgUnique)) {
s_logger.warn("bbgUnique is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(expiryDate)) {
s_logger.warn("expiry date is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(futureTradingHours)) {
s_logger.warn("futures trading hours is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(micExchangeCode)) {
s_logger.warn("settlement exchange is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(currencyStr)) {
s_logger.info("currency is null, cannot construct EquityFutureSecurity");
return null;
}
ExternalId underlying = null;
if (underlyingTicker != null) {
underlying = SecurityUtils.bloombergTickerSecurityId(underlyingTicker + " " + marketSector);
}
Currency currency = Currency.parse(currencyStr);
Expiry expiry = decodeExpiry(expiryDate, futureTradingHours);
if (expiry == null) {
return null;
}
// FIXME: Case - treatment of Settlement Date
s_logger.warn(
"Creating EquityFutureSecurity - settlementDate set equal to expiryDate. Missing lag.");
ZonedDateTime settlementDate = expiry.getExpiry();
EquityFutureSecurity security =
new EquityFutureSecurity(
expiry,
micExchangeCode,
micExchangeCode,
currency,
Double.valueOf(unitAmount),
settlementDate,
underlying);
if (isValidField(name)) {
security.setName(BloombergDataUtils.removeDuplicateWhiteSpace(name, " "));
}
// set identifiers
parseIdentifiers(fieldData, security);
return security;
}