private IRFutureOptionTrade createIRFutureOptionTrade() {
String exchange = "TestExchange";
ExerciseType exerciseType = new EuropeanExerciseType();
double pointValue = Double.NaN;
boolean margined = true;
double strike = 0.99;
OptionType optionType = OptionType.PUT;
ExternalId irFutureId = Iterables.getOnlyElement(_irFuture.getExternalIdBundle());
IRFutureOptionSecurity irFutureOption =
new IRFutureOptionSecurity(
exchange,
_irFuture.getExpiry(),
exerciseType,
irFutureId,
pointValue,
margined,
_irFuture.getCurrency(),
strike,
optionType);
// Need this for time series lookup
irFutureOption.setExternalIdBundle(
ExternalSchemes.syntheticSecurityId("Test future option").toBundle());
Counterparty counterparty =
new SimpleCounterparty(ExternalId.of(Counterparty.DEFAULT_SCHEME, "COUNTERPARTY"));
BigDecimal tradeQuantity = BigDecimal.valueOf(1);
SimpleTrade trade =
new SimpleTrade(irFutureOption, tradeQuantity, counterparty, TRADE_DATE, TRADE_TIME);
trade.setPremium(10.0);
trade.setPremiumCurrency(Currency.USD);
return new IRFutureOptionTrade(trade);
}
private static void readTrades(
final FudgeDeserializer deserializer, final FudgeMsg message, final SimplePosition position) {
if (message != null) {
for (FudgeField field : message) {
if (field.getValue() instanceof FudgeMsg) {
final SimpleTrade trade =
TradeBuilder.buildObjectImpl(deserializer, (FudgeMsg) field.getValue());
trade.setParentPositionId(position.getUniqueId());
position.addTrade(trade);
}
}
}
}
@Override
public Set<ComputedValue> execute(
FunctionExecutionContext executionContext,
FunctionInputs inputs,
ComputationTarget target,
Set<ValueRequirement> desiredValues) {
// 1. Get the expiry _time_ from the trade
SimpleTrade trade =
(SimpleTrade) target.getTrade(); // confirms that the ComputationTargetType == TRADE
EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) trade.getSecurity();
double expiry =
TimeCalculator.getTimeBetween(
executionContext.getValuationClock().zonedDateTime(),
security.getLastObservationDate());
// ExternalId id = security.getSpotUnderlyingIdentifier();
// 2. Get the discount curve and spot value
Object discountObject = inputs.getValue(getDiscountRequirement(security));
if (discountObject == null) {
throw new OpenGammaRuntimeException("Could not get Discount Curve");
}
YieldAndDiscountCurve discountCurve = (YieldAndDiscountCurve) discountObject;
Object spotObject = inputs.getValue(getSpotRequirement(security));
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get Underlying's Spot value");
}
double spot = (Double) spotObject;
// 3. Compute the forward
final double discountFactor = discountCurve.getDiscountFactor(expiry);
Validate.isTrue(
discountFactor != 0,
"The discount curve has returned a zero value for a discount bond. Check rates.");
final double forward = spot / discountFactor;
ValueSpecification valueSpec = getValueSpecification(security);
return Collections.singleton(new ComputedValue(valueSpec, forward));
}
public void testTrade() {
SimpleTrade trade = new SimpleTrade();
trade.setUniqueId(UniqueId.of("A", "B"));
trade.setQuantity(BigDecimal.valueOf(12.34d));
trade.setSecurityLink(new SimpleSecurityLink(ExternalId.of("E", "F")));
trade.setCounterparty(new SimpleCounterparty(ExternalId.of("G", "H")));
trade.setTradeDate(LocalDate.of(2011, 1, 5));
trade.setTradeTime(OffsetTime.parse("14:30+02:00"));
assertEncodeDecodeCycle(Trade.class, trade);
}
@SuppressWarnings("deprecation")
public void testTrade_withPremium() {
SimpleTrade trade = new SimpleTrade();
trade.setUniqueId(UniqueId.of("A", "B"));
trade.setQuantity(BigDecimal.valueOf(12.34d));
trade.setSecurityLink(new SimpleSecurityLink(ObjectId.of("E", "F")));
trade.setCounterparty(new SimpleCounterparty(ExternalId.of("G", "H")));
trade.setTradeDate(LocalDate.of(2011, 1, 5));
trade.setTradeTime(OffsetTime.parse("14:30+02:00"));
// set premium
trade.setPremium(100.00);
trade.setPremiumCurrency(Currency.USD);
trade.setPremiumDate(LocalDate.of(2011, 1, 6));
trade.setPremiumTime(OffsetTime.parse("15:30+02:00"));
assertEncodeDecodeCycle(Trade.class, trade);
}
public void testFull() {
SimpleTrade trade = new SimpleTrade();
trade.setUniqueId(UniqueId.of("A", "B"));
trade.setQuantity(BigDecimal.valueOf(12.34d));
trade.setSecurityLink(new SimpleSecurityLink(ExternalId.of("E", "F")));
trade.setCounterparty(new SimpleCounterparty(ExternalId.of("G", "H")));
trade.setTradeDate(LocalDate.of(2011, 1, 5));
trade.setTradeTime(OffsetTime.parse("14:30+02:00"));
// set premium
trade.setPremium(100.00);
trade.setPremiumCurrency(Currency.USD);
trade.setPremiumDate(LocalDate.of(2011, 1, 6));
trade.setPremiumTime(OffsetTime.parse("15:30+02:00"));
// set attributes
trade.addAttribute("A", "B");
trade.addAttribute("C", "D");
assertEncodeDecodeCycle(Trade.class, trade);
}
