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);
}
