public class BloombergEquityFutureOptionVolatilitySurfaceInstrumentProviderTest {
private static final String PREFIX = "DJX";
private static final String POSTFIX = "Index";
private static final LocalDate DATE = LocalDate.of(2012, 5, 23);
private static final Short[] EXPIRY_OFFSETS = new Short[] {1, 2, 8};
private static final Double[] STRIKES = new Double[] {90.0, 145.0, 205.0};
private static final String DATA_FIELD_NAME = "OPT_IMPLIED_VOLATILITY_MID";
private static final String[][] RESULTS =
new String[][] {
new String[] {
"DJX 06/16/12 P90.0 Index", "DJX 06/16/12 P145.0 Index", "DJX 06/16/12 C205.0 Index"
},
new String[] {
"DJX 07/21/12 P90.0 Index", "DJX 07/21/12 P145.0 Index", "DJX 07/21/12 C205.0 Index"
},
new String[] {
"DJX 03/16/13 P90.0 Index", "DJX 03/16/13 P145.0 Index", "DJX 03/16/13 C205.0 Index"
}
}; // TODO Fix date on this last one
private static final FutureOptionExpiries UTILS =
FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.FRIDAY, 1));
private static LocalDate[] EXPIRY_DATES = new LocalDate[3];
private static final String EXCHANGE = "OSE";
static {
for (int i = 0; i < EXPIRY_OFFSETS.length; i++) {
EXPIRY_DATES[i] = FutureOptionExpiries.EQUITY.getFutureOptionExpiry(EXPIRY_OFFSETS[i], DATE);
}
}
private static final BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider PROVIDER =
new BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider(
PREFIX, POSTFIX, DATA_FIELD_NAME, 150.25, EXCHANGE);
@Test
public void test() {
for (int i = 0; i < EXPIRY_OFFSETS.length; i++) {
for (int j = 0; j < STRIKES.length; j++) {
final String expected = RESULTS[i][j];
final ExternalId actual = PROVIDER.getInstrument(EXPIRY_OFFSETS[i], STRIKES[j], DATE);
assertEquals(ExternalSchemes.BLOOMBERG_TICKER_WEAK, actual.getScheme());
assertEquals(expected, actual.getValue());
}
}
}
@Test
public void testUtils() {
assertEquals(EXPIRY_DATES[0], FutureOptionExpiries.EQUITY.getMonthlyExpiry(1, DATE));
assertEquals(EXPIRY_DATES[1], FutureOptionExpiries.EQUITY.getMonthlyExpiry(2, DATE));
assertEquals(
EXPIRY_DATES[2],
FutureOptionExpiries.EQUITY.getQuarterlyExpiry(
EXPIRY_OFFSETS[2] - 6, UTILS.getMonthlyExpiry(6, DATE)));
}
}
@Test
public void testUtils() {
assertEquals(EXPIRY_DATES[0], FutureOptionExpiries.EQUITY.getMonthlyExpiry(1, DATE));
assertEquals(EXPIRY_DATES[1], FutureOptionExpiries.EQUITY.getMonthlyExpiry(2, DATE));
assertEquals(
EXPIRY_DATES[2],
FutureOptionExpiries.EQUITY.getQuarterlyExpiry(
EXPIRY_OFFSETS[2] - 6, UTILS.getMonthlyExpiry(6, DATE)));
}
static {
EXPIRY_RULES = new HashMap<>();
EXPIRY_RULES.put("NKY", FutureOptionExpiries.of(new NextExpiryAdjuster(2, DayOfWeek.FRIDAY)));
EXPIRY_RULES.put(
"NDX", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.FRIDAY, 1))); // TODO
EXPIRY_RULES.put(
"RUT", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.FRIDAY, 1))); // TODO
EXPIRY_RULES.put(
"DJX", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.FRIDAY, 1)));
EXPIRY_RULES.put(
"SPX", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.FRIDAY, 1)));
EXPIRY_RULES.put(
"VIX", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.FRIDAY, -30)));
EXPIRY_RULES.put(
"AAPL US", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.FRIDAY, 1)));
EXPIRY_RULES.put("UKX", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.FRIDAY)));
EXPIRY_RULES.put(
"FB US", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.FRIDAY, 1)));
EXPIRY_RULES.put(
"TWSE", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.WEDNESDAY)));
EXPIRY_RULES.put("HSCEI", new DaysFromEndOfMonthExpiryAdjuster(1));
EXPIRY_RULES.put(
"RDXUSD", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.THURSDAY, 1)));
EXPIRY_RULES.put(
"DEFAULT", FutureOptionExpiries.of(new NextExpiryAdjuster(3, DayOfWeek.FRIDAY, 1)));
// TODO DAX, EUROSTOXX 50 (SX5E)
}
