protected FXOptionSecurity createFXOptionSecurity(final Bundle bundle) {
final Currency putCurrency = bundle._firstCurrency;
final Currency callCurrency = bundle._secondCurrency;
final double putAmount = bundle._firstCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
final ZonedDateTime settlementDate = bundle._tradeDate.plusDays(bundle._daysOffset);
final Double fxRate =
getApproxFXRate(
settlementDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
if (fxRate == null) {
return null;
}
final double callAmount = NOTIONAL * fxRate;
final Expiry expiry = new Expiry(settlementDate, ExpiryAccuracy.DAY_MONTH_YEAR);
final String dateString = settlementDate.toString(DATE_FORMATTER);
final FXOptionSecurity fxOptionSecurity =
new FXOptionSecurity(
putCurrency,
callCurrency,
putAmount,
callAmount,
expiry,
settlementDate,
bundle._long,
new EuropeanExerciseType());
final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
fxOptionSecurity.setName(
(bundle._long ? "Long " : "Short ")
+ "put "
+ putCurrency
+ " "
+ putAmountString
+ ", call "
+ callCurrency
+ " "
+ callAmountString
+ " on "
+ dateString);
return fxOptionSecurity;
}
