@Override
public MoneynessPiecewiseSABRSurfaceFitter buildObject(
final FudgeDeserializer deserializer, final FudgeMsg message) {
final boolean useLogTime = message.getBoolean(TIME_FIELD_NAME);
final boolean useIntegratedVar = message.getBoolean(SPACE_FIELD_NAME);
final double lambda = message.getDouble(LAMBDA_FIELD_NAME);
return new MoneynessPiecewiseSABRSurfaceFitter(useLogTime, useIntegratedVar, lambda);
}
public static void fromFudgeMsg(
FudgeDeserializer deserializer, FudgeMsg msg, EquitySecurity object) {
FinancialSecurityFudgeBuilder.fromFudgeMsg(deserializer, msg, object);
object.setShortName(msg.getString(SHORT_NAME_FIELD_NAME));
object.setExchange(msg.getString(EXCHANGE_FIELD_NAME));
object.setExchangeCode(msg.getString(EXCHANGE_CODE_FIELD_NAME));
object.setCompanyName(msg.getString(COMPANY_NAME_FIELD_NAME));
object.setCurrency(msg.getValue(Currency.class, CURRENCY_FIELD_NAME));
object.setGicsCode(msg.getValue(GICSCode.class, GICS_CODE_FIELD_NAME));
object.setPreferred(BooleanUtils.isTrue(msg.getBoolean(PREFERRED_FIELD_NAME)));
}
@Override
public IborIndex buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
final Currency currency = Currency.of(message.getString(CURRENCY_FIELD));
final int spotLag = message.getInt(SPOT_LAG_FIELD);
final DayCount dayCount =
DayCountFactory.INSTANCE.getDayCount(message.getString(DAY_COUNT_FIELD));
final BusinessDayConvention businessDayConvention =
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention(
message.getString(BUSINESS_DAY_CONVENTION_FIELD));
final boolean isEOM = message.getBoolean(EOM_FIELD);
final Period tenor = Period.parse(message.getString(TENOR_FIELD));
final String name = message.getString(NAME_FIELD);
return new IborIndex(currency, tenor, spotLag, dayCount, businessDayConvention, isEOM, name);
}
public static void fromFudgeMsg(
FudgeDeserializer deserializer, FudgeMsg msg, FXOptionSecurity object) {
FinancialSecurityFudgeBuilder.fromFudgeMsg(deserializer, msg, object);
object.setPutCurrency(msg.getValue(Currency.class, PUT_CURRENCY_FIELD_NAME));
object.setCallCurrency(msg.getValue(Currency.class, CALL_CURRENCY_FIELD_NAME));
object.setPutAmount(msg.getDouble(PUT_AMOUNT_FIELD_NAME));
object.setCallAmount(msg.getDouble(CALL_AMOUNT_FIELD_NAME));
object.setExpiry(
ExpiryFudgeBuilder.fromFudgeMsg(deserializer, msg.getMessage(EXPIRY_FIELD_NAME)));
object.setSettlementDate(
ZonedDateTimeFudgeBuilder.fromFudgeMsg(
deserializer, msg.getMessage(SETTLEMENT_DATE_FIELD_NAME)));
object.setLongShort(LongShort.ofLong(msg.getBoolean(IS_LONG_FIELD_NAME)));
}
@Override
public StandardSmileSurfaceDataBundle buildObject(
final FudgeDeserializer deserializer, final FudgeMsg message) {
final ForwardCurve forwardCurve =
deserializer.fieldValueToObject(
ForwardCurve.class, message.getByName(FORWARD_CURVE_FIELD_NAME));
final double[] expiries =
deserializer.fieldValueToObject(double[].class, message.getByName(EXPIRIES_FIELD_NAME));
final double[][] strikes =
deserializer.fieldValueToObject(double[][].class, message.getByName(STRIKES_FIELD_NAME));
final double[][] vols =
deserializer.fieldValueToObject(double[][].class, message.getByName(VOLS_FIELD_NAME));
final boolean isCallData = message.getBoolean(IS_CALL_FIELD_NAME);
return new StandardSmileSurfaceDataBundle(forwardCurve, expiries, strikes, vols, isCallData);
}