private Map<String, String> getBondFutureBasket(ManageableSecurity security) {
Map<String, String> result = new TreeMap<String, String>();
if (security instanceof BondFutureSecurity) {
BondFutureSecurity bondFutureSecurity = (BondFutureSecurity) security;
List<BondFutureDeliverable> basket = bondFutureSecurity.getBasket();
for (BondFutureDeliverable bondFutureDeliverable : basket) {
String identifierValue =
bondFutureDeliverable.getIdentifiers().getValue(ExternalSchemes.BLOOMBERG_BUID);
result.put(
ExternalSchemes.BLOOMBERG_BUID.getName() + "-" + identifierValue,
String.valueOf(bondFutureDeliverable.getConversionFactor()));
}
}
return result;
}
@Test(groups = {"bbgSecurityFutureTests"})
public void euroBondFuture() throws Exception {
ExternalIdBundle euroBund =
ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId("RXA Comdty"));
Security bond = _securityProvider.getSecurity(euroBund);
assertNotNull(bond);
assertTrue(bond instanceof BondFutureSecurity);
BondFutureSecurity euroBondFuture = (BondFutureSecurity) bond;
assertEquals("FUTURE", euroBondFuture.getSecurityType());
assertEquals("Bond", euroBondFuture.getContractCategory());
assertEquals(EUR, euroBondFuture.getCurrency());
String displayName = euroBondFuture.getName();
assertNotNull(displayName);
assertTrue(displayName.contains("EURO-BUND FUTURE"));
Expiry expiry = euroBondFuture.getExpiry();
assertNotNull(expiry);
assertTrue(expiry.toInstant().isAfter(getTodayInstant()));
assertEquals("XEUR", euroBondFuture.getTradingExchange());
assertEquals("XEUR", euroBondFuture.getSettlementExchange());
// assert identifiers are set
Collection<ExternalId> identifiers = euroBondFuture.getExternalIdBundle().getExternalIds();
assertNotNull(identifiers);
assertTrue(identifiers.size() >= EXPECTED_IDENTIFICATION_SCHEME.length);
ExternalIdBundle identifierBundle = ExternalIdBundle.of(identifiers);
for (ExternalScheme expectedIDScheme : EXPECTED_IDENTIFICATION_SCHEME) {
assertNotNull(identifierBundle.getExternalId(expectedIDScheme));
}
// assert deliverables are not empty
Collection<BondFutureDeliverable> basket = euroBondFuture.getBasket();
assertNotNull(basket);
for (BondFutureDeliverable bondFutureDeliverable : basket) {
ExternalIdBundle bundle = bondFutureDeliverable.getIdentifiers();
assertNotNull(bundle);
assertNotNull(bundle.getExternalId(ExternalSchemes.BLOOMBERG_BUID));
assertTrue(bondFutureDeliverable.getConversionFactor() > 0);
}
}
/**
* Get US bond future security for testing
*
* @return the bond future security
*/
public static BondFutureSecurity getBondFutureSecurity() {
Expiry expiry =
new Expiry(
ZonedDateTime.of(LocalDateTime.of(2010, Month.JUNE, 21, 19, 0), ZoneOffset.UTC),
ExpiryAccuracy.MIN_HOUR_DAY_MONTH_YEAR);
Set<BondFutureDeliverable> basket = new HashSet<BondFutureDeliverable>();
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810EV6")), 1.0858));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FB9")), 1.0132));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810PX0")), 0.7984));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FG8")), 0.9169));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QD3")), 0.7771));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FF0")), 0.9174));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810PW2")), 0.7825));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FE3")), 0.9454));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QH4")), 0.7757));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810PU6")), 0.8675));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810EX2")), 1.0765));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FT0")), 0.8054));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FJ2")), 1.0141));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810PT9")), 0.8352));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QE1")), 0.8109));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FP8")), 0.9268));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QA9")), 0.6606));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FM5")), 1.0286));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810EY0")), 1.0513));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QB7")), 0.7616));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810QC5")), 0.795));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810EZ7")), 1.0649));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810EW4")), 1.0));
basket.add(
new BondFutureDeliverable(
ExternalIdBundle.of(ExternalSchemes.bloombergBuidSecurityId("GV912810FA1")), 1.0396));
BondFutureSecurity sec =
new BondFutureSecurity(
expiry,
"XCBT",
"XCBT",
Currency.USD,
1000,
basket,
LocalDate.of(2010, 6, 01).atStartOfDay(ZoneOffset.UTC),
LocalDate.of(2010, 6, 01).atStartOfDay(ZoneOffset.UTC),
"Bond");
sec.setName("US LONG BOND(CBT) Jun10");
Set<ExternalId> identifiers = new HashSet<ExternalId>();
identifiers.add(ExternalSchemes.bloombergBuidSecurityId("IX8530684-0"));
identifiers.add(ExternalSchemes.cusipSecurityId("USM10"));
identifiers.add(ExternalSchemes.bloombergTickerSecurityId("USM10 Comdty"));
sec.setExternalIdBundle(ExternalIdBundle.of(identifiers));
return sec;
}
