コード例 #1
0
 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 + ")");
 }
コード例 #3
0
 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);
 }
コード例 #4
0
 @Test
 public void apvEquityOptionByBbgTicker() throws Exception {
   Security sec =
       _securityProvider.getSecurity(EXPECTED_APVL_EQUITYOPTION_SEC.getExternalIdBundle());
   assertAmericanVanillaEquityOptionSecurity(EXPECTED_APVL_EQUITYOPTION_SEC, sec);
 }
コード例 #5
0
  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);
    }
  }