static void assertEuropeanVanillaEquityOptionSecurity(
EquityOptionSecurity expectedOption, Security sec) {
// check specific bits we want to spot failures on quickly
assertNotNull(sec);
assertTrue(sec instanceof EquityOptionSecurity);
final EquityOptionSecurity equitySec = (EquityOptionSecurity) sec;
assertTrue(equitySec.getExerciseType() instanceof EuropeanExerciseType);
assertEquityOptionSecurity(expectedOption, sec);
}
public static ValueRequirement getValueRequirement(
SecuritySource secMaster, final UnderlyingType underlying, final Security security) {
if (security instanceof EquityOptionSecurity) {
final EquityOptionSecurity option = (EquityOptionSecurity) security;
switch (underlying) {
case SPOT_PRICE:
Security optionUnderlying =
secMaster.getSecurity(ExternalIdBundle.of(option.getUnderlyingId()));
return new ValueRequirement(
MarketDataRequirementNames.MARKET_VALUE,
ComputationTargetType.SECURITY,
optionUnderlying.getUniqueId());
case SPOT_VOLATILITY:
throw new NotImplementedException(
"Don't know how to get spot volatility for " + option.getUniqueId());
case IMPLIED_VOLATILITY:
throw new NotImplementedException(
"Don't know how to get implied volatility for " + option.getUniqueId());
case INTEREST_RATE:
return new ValueRequirement(
ValueRequirementNames.YIELD_CURVE,
ComputationTargetType.PRIMITIVE,
option.getUniqueId());
case COST_OF_CARRY:
throw new NotImplementedException(
"Don't know how to get cost of carry for " + option.getUniqueId());
default:
throw new NotImplementedException(
"Don't know how to get ValueRequirement for " + underlying);
}
}
throw new NotImplementedException(
"Can only get ValueRequirements for options (was " + security + ")");
}
static void assertEquityOptionSecurity(EquityOptionSecurity expectedOption, Security sec) {
assertNotNull(expectedOption);
assertNotNull(sec);
EquityOptionSecurity actualOption = (EquityOptionSecurity) sec;
assertEquals(expectedOption.getExternalIdBundle(), actualOption.getExternalIdBundle());
assertEquals(expectedOption.getUniqueId(), actualOption.getUniqueId());
assertEquals(expectedOption.getSecurityType(), actualOption.getSecurityType());
assertEquals(expectedOption.getCurrency(), actualOption.getCurrency());
assertEquals(expectedOption.getOptionType(), actualOption.getOptionType());
assertTrue(expectedOption.getStrike() == actualOption.getStrike());
assertEquals(expectedOption.getExpiry(), actualOption.getExpiry());
assertEquals(expectedOption.getUnderlyingId(), actualOption.getUnderlyingId());
assertEquals(expectedOption.getName(), actualOption.getName());
// check the lot
assertSecurity(expectedOption, sec);
}
@Test
public void apvEquityOptionByBbgTicker() throws Exception {
Security sec =
_securityProvider.getSecurity(EXPECTED_APVL_EQUITYOPTION_SEC.getExternalIdBundle());
assertAmericanVanillaEquityOptionSecurity(EXPECTED_APVL_EQUITYOPTION_SEC, sec);
}
protected void addSecuritySpecificMetaData(ManageableSecurity security, FlexiBean out) {
if (security.getSecurityType().equals(SwapSecurity.SECURITY_TYPE)) {
SwapSecurity swapSecurity = (SwapSecurity) security;
out.put("payLegType", swapSecurity.getPayLeg().accept(new SwapLegClassifierVisitor()));
out.put(
"receiveLegType", swapSecurity.getReceiveLeg().accept(new SwapLegClassifierVisitor()));
}
if (security.getSecurityType().equals(FutureSecurity.SECURITY_TYPE)) {
FutureSecurity futureSecurity = (FutureSecurity) security;
out.put("futureSecurityType", futureSecurity.accept(new FutureSecurityTypeVisitor()));
out.put("basket", getBondFutureBasket(security));
Security underlyingSecurity = getUnderlyingFutureSecurity(futureSecurity);
if (underlyingSecurity != null) {
out.put("underlyingSecurity", underlyingSecurity);
}
}
if (security.getSecurityType().equals(EquityOptionSecurity.SECURITY_TYPE)) {
EquityOptionSecurity equityOption = (EquityOptionSecurity) security;
addUnderlyingSecurity(out, equityOption.getUnderlyingId());
}
if (security.getSecurityType().equals(IRFutureOptionSecurity.SECURITY_TYPE)) {
IRFutureOptionSecurity irFutureOption = (IRFutureOptionSecurity) security;
addUnderlyingSecurity(out, irFutureOption.getUnderlyingId());
}
if (security.getSecurityType().equals(SwaptionSecurity.SECURITY_TYPE)) {
SwaptionSecurity swaptionSecurity = (SwaptionSecurity) security;
addUnderlyingSecurity(out, swaptionSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(EquityBarrierOptionSecurity.SECURITY_TYPE)) {
EquityBarrierOptionSecurity equityBarrierOptionSecurity =
(EquityBarrierOptionSecurity) security;
addUnderlyingSecurity(out, equityBarrierOptionSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(CapFloorSecurity.SECURITY_TYPE)) {
CapFloorSecurity capFloorSecurity = (CapFloorSecurity) security;
addUnderlyingSecurity(out, capFloorSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(CapFloorCMSSpreadSecurity.SECURITY_TYPE)) {
CapFloorCMSSpreadSecurity capFloorCMSSpreadSecurity = (CapFloorCMSSpreadSecurity) security;
Security shortUnderlying = getSecurity(capFloorCMSSpreadSecurity.getShortId());
Security longUnderlying = getSecurity(capFloorCMSSpreadSecurity.getLongId());
if (shortUnderlying != null) {
out.put("shortSecurity", shortUnderlying);
}
if (longUnderlying != null) {
out.put("longSecurity", longUnderlying);
}
}
if (security.getSecurityType().equals(EquityIndexOptionSecurity.SECURITY_TYPE)) {
EquityIndexOptionSecurity equityIndxOption = (EquityIndexOptionSecurity) security;
addUnderlyingSecurity(out, equityIndxOption.getUnderlyingId());
}
if (security.getSecurityType().equals(FRASecurity.SECURITY_TYPE)) {
FRASecurity fraSecurity = (FRASecurity) security;
addUnderlyingSecurity(out, fraSecurity.getUnderlyingId());
}
if (security.getSecurityType().equals(SecurityEntryData.EXTERNAL_SENSITIVITIES_SECURITY_TYPE)) {
RawSecurity rawSecurity = (RawSecurity) security;
FudgeMsgEnvelope msg =
OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData());
SecurityEntryData securityEntryData =
OpenGammaFudgeContext.getInstance()
.fromFudgeMsg(SecurityEntryData.class, msg.getMessage());
out.put("securityEntryData", securityEntryData);
out.put("securityAttributes", security.getAttributes());
RawSecurity underlyingRawSecurity =
(RawSecurity) getSecurity(securityEntryData.getFactorSetId());
if (underlyingRawSecurity != null) {
FudgeMsgEnvelope factorIdMsg =
OpenGammaFudgeContext.getInstance().deserialize(underlyingRawSecurity.getRawData());
@SuppressWarnings("unchecked")
List<FactorExposureData> factorExposureDataList =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(List.class, factorIdMsg.getMessage());
s_logger.error(factorExposureDataList.toString());
List<FactorExposure> factorExposuresList = convertToFactorExposure(factorExposureDataList);
out.put("factorExposuresList", factorExposuresList);
} else {
s_logger.error("Couldn't find security");
}
}
if (security
.getSecurityType()
.equals(FactorExposureData.EXTERNAL_SENSITIVITIES_RISK_FACTORS_SECURITY_TYPE)) {
RawSecurity rawSecurity = (RawSecurity) security;
FudgeMsgEnvelope msg =
OpenGammaFudgeContext.getInstance().deserialize(rawSecurity.getRawData());
@SuppressWarnings("unchecked")
List<FactorExposureData> factorExposureDataList =
OpenGammaFudgeContext.getInstance().fromFudgeMsg(List.class, msg.getMessage());
List<FactorExposure> factorExposuresList = convertToFactorExposure(factorExposureDataList);
out.put("factorExposuresList", factorExposuresList);
}
}
