@Override
public int hashCode() {
final int prime = 31;
int result = super.hashCode();
result = prime * result + ((_callExpiry == null) ? 0 : _callExpiry.hashCode());
long temp;
temp = Double.doubleToLongBits(_callStrike);
result = prime * result + (int) (temp ^ (temp >>> 32));
result = prime * result + ((_putExpiry == null) ? 0 : _putExpiry.hashCode());
temp = Double.doubleToLongBits(_putStrike);
result = prime * result + (int) (temp ^ (temp >>> 32));
return result;
}
@Override
public String toString() {
String result = "European swaption cash delivery: \n";
result += "Expiry date: " + _expiry.toString() + ", Long: " + _isLong;
result += "\nUnderlying swap: \n" + _underlyingSwap.toString();
return result;
}
public int hashCode() {
int hc = super.hashCode();
hc *= 31;
if (_chooseDate != null) hc += _chooseDate.hashCode();
hc = (hc * 31) + (int) _underlyingStrike;
hc *= 31;
if (_underlyingExpiry != null) hc += _underlyingExpiry.hashCode();
return hc;
}
public void toFudgeMsg(
final org.fudgemsg.mapping.FudgeSerializationContext fudgeContext,
final org.fudgemsg.MutableFudgeMsg msg) {
super.toFudgeMsg(fudgeContext, msg);
if (_chooseDate != null) {
fudgeContext.addToMessage(msg, CHOOSE_DATE_KEY, null, _chooseDate);
}
msg.add(UNDERLYING_STRIKE_KEY, null, _underlyingStrike);
if (_underlyingExpiry != null) {
final org.fudgemsg.MutableFudgeMsg fudge1 =
org.fudgemsg.mapping.FudgeSerializationContext.addClassHeader(
fudgeContext.newMessage(),
_underlyingExpiry.getClass(),
com.opengamma.util.time.Expiry.class);
_underlyingExpiry.toFudgeMsg(fudgeContext, fudge1);
msg.add(UNDERLYING_EXPIRY_KEY, null, fudge1);
}
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + _expiry.hashCode();
result = prime * result + (_isLong ? 1231 : 1237);
result = prime * result + _underlyingSwap.hashCode();
return result;
}
@Override
public SwaptionCashFixedIbor toDerivative(
final ZonedDateTime date, final String... yieldCurveNames) {
Validate.notNull(date, "date");
Validate.notNull(yieldCurveNames, "yield curve names");
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final double expiryTime = actAct.getDayCountFraction(date, _expiry.getExpiry());
final double settlementTime = actAct.getDayCountFraction(date, _settlementDate);
final FixedCouponSwap<? extends Payment> underlyingSwap =
_underlyingSwap.toDerivative(date, yieldCurveNames);
return SwaptionCashFixedIbor.from(expiryTime, underlyingSwap, settlementTime, _isLong);
}
@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);
}
}
/**
* @param callStrike The strike of the potential call option
* @param putStrike The strike of the potential put option
* @param chooseDate The choice date (expiry) of the chooser option
* @param callExpiry The expiry date of the potential call option
* @param putExpiry The expiry date of the potential put option
*/
public ComplexChooserOptionDefinition(
final Expiry chooseDate,
final double callStrike,
final Expiry callExpiry,
final double putStrike,
final Expiry putExpiry) {
super(null, chooseDate, null);
Validate.notNull(callExpiry);
Validate.notNull(putExpiry);
ArgumentChecker.notNegative(callStrike, "call strike");
ArgumentChecker.notNegative(putStrike, "put strike");
if (callExpiry.getExpiry().isBefore(chooseDate.getExpiry())) {
throw new IllegalArgumentException("Call expiry must be after the choose date");
}
if (putExpiry.getExpiry().isBefore(chooseDate.getExpiry())) {
throw new IllegalArgumentException("Put expiry must be after the choose date");
}
_callStrike = callStrike;
_putStrike = putStrike;
_callExpiry = callExpiry;
_putExpiry = putExpiry;
_callDefinition = new EuropeanVanillaOptionDefinition(callStrike, callExpiry, true);
_putDefinition = new EuropeanVanillaOptionDefinition(putStrike, putExpiry, false);
}
@Test
public void test() {
assertEquals(PUT.getPeriodEnd(), PERIOD_END);
assertFalse(PUT.isReverse());
ExtremeSpreadOptionDefinition other =
new ExtremeSpreadOptionDefinition(EXPIRY, false, PERIOD_END, false);
assertEquals(other, PUT);
assertEquals(other.hashCode(), PUT.hashCode());
other =
new ExtremeSpreadOptionDefinition(
EXPIRY, false, new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.15)), false);
assertFalse(other.equals(PUT));
other = new ExtremeSpreadOptionDefinition(EXPIRY, false, PERIOD_END, true);
assertFalse(other.equals(PUT));
assertEquals(PUT.getTimeFromPeriodEnd(EXPIRY.getExpiry()), 0.725, 0);
assertEquals(PUT.getTimeFromPeriodEnd(DATE), -0.275, 0);
}
public boolean equals(final Object o) {
if (o == this) return true;
if (!(o instanceof SimpleChooserPayoffStyle)) return false;
SimpleChooserPayoffStyle msg = (SimpleChooserPayoffStyle) o;
if (_chooseDate != null) {
if (msg._chooseDate != null) {
if (!_chooseDate.equals(msg._chooseDate)) return false;
} else return false;
} else if (msg._chooseDate != null) return false;
if (_underlyingStrike != msg._underlyingStrike) return false;
if (_underlyingExpiry != null) {
if (msg._underlyingExpiry != null) {
if (!_underlyingExpiry.equals(msg._underlyingExpiry)) return false;
} else return false;
} else if (msg._underlyingExpiry != null) return false;
return super.equals(msg);
}
protected SimpleChooserPayoffStyle(
final org.fudgemsg.mapping.FudgeDeserializationContext fudgeContext,
final org.fudgemsg.FudgeMsg fudgeMsg) {
super(fudgeContext, fudgeMsg);
org.fudgemsg.FudgeField fudgeField;
fudgeField = fudgeMsg.getByName(CHOOSE_DATE_KEY);
if (fudgeField == null)
throw new IllegalArgumentException(
"Fudge message is not a SimpleChooserPayoffStyle - field 'chooseDate' is not present");
try {
_chooseDate =
fudgeContext.fieldValueToObject(javax.time.calendar.ZonedDateTime.class, fudgeField);
} catch (IllegalArgumentException e) {
throw new IllegalArgumentException(
"Fudge message is not a SimpleChooserPayoffStyle - field 'chooseDate' is not ZonedDateTime typedef",
e);
}
fudgeField = fudgeMsg.getByName(UNDERLYING_STRIKE_KEY);
if (fudgeField == null)
throw new IllegalArgumentException(
"Fudge message is not a SimpleChooserPayoffStyle - field 'underlyingStrike' is not present");
try {
_underlyingStrike = fudgeMsg.getFieldValue(Double.class, fudgeField);
} catch (IllegalArgumentException e) {
throw new IllegalArgumentException(
"Fudge message is not a SimpleChooserPayoffStyle - field 'underlyingStrike' is not double",
e);
}
fudgeField = fudgeMsg.getByName(UNDERLYING_EXPIRY_KEY);
if (fudgeField == null)
throw new IllegalArgumentException(
"Fudge message is not a SimpleChooserPayoffStyle - field 'underlyingExpiry' is not present");
try {
_underlyingExpiry =
com.opengamma.util.time.Expiry.fromFudgeMsg(
fudgeContext, fudgeMsg.getFieldValue(org.fudgemsg.FudgeMsg.class, fudgeField));
} catch (IllegalArgumentException e) {
throw new IllegalArgumentException(
"Fudge message is not a SimpleChooserPayoffStyle - field 'underlyingExpiry' is not Expiry message",
e);
}
}
// -------------------------------------------------------------------------
@Override
protected ManageableSecurity createSecurity(FudgeMsg fieldData) {
String expiryDate = fieldData.getString(FIELD_FUT_LAST_TRADE_DT);
String futureTradingHours = fieldData.getString(FIELD_FUT_TRADING_HRS);
String micExchangeCode = fieldData.getString(FIELD_ID_MIC_PRIM_EXCH);
String currencyStr = fieldData.getString(FIELD_CRNCY);
String underlyingTicker = fieldData.getString(FIELD_UNDL_SPOT_TICKER);
String name = fieldData.getString(FIELD_FUT_LONG_NAME);
String bbgUnique = fieldData.getString(FIELD_ID_BBG_UNIQUE);
String marketSector = fieldData.getString(FIELD_MARKET_SECTOR_DES);
String unitAmount = fieldData.getString(FIELD_FUT_VAL_PT);
if (!isValidField(bbgUnique)) {
s_logger.warn("bbgUnique is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(expiryDate)) {
s_logger.warn("expiry date is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(futureTradingHours)) {
s_logger.warn("futures trading hours is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(micExchangeCode)) {
s_logger.warn("settlement exchange is null, cannot construct EquityFutureSecurity");
return null;
}
if (!isValidField(currencyStr)) {
s_logger.info("currency is null, cannot construct EquityFutureSecurity");
return null;
}
ExternalId underlying = null;
if (underlyingTicker != null) {
underlying = SecurityUtils.bloombergTickerSecurityId(underlyingTicker + " " + marketSector);
}
Currency currency = Currency.parse(currencyStr);
Expiry expiry = decodeExpiry(expiryDate, futureTradingHours);
if (expiry == null) {
return null;
}
// FIXME: Case - treatment of Settlement Date
s_logger.warn(
"Creating EquityFutureSecurity - settlementDate set equal to expiryDate. Missing lag.");
ZonedDateTime settlementDate = expiry.getExpiry();
EquityFutureSecurity security =
new EquityFutureSecurity(
expiry,
micExchangeCode,
micExchangeCode,
currency,
Double.valueOf(unitAmount),
settlementDate,
underlying);
if (isValidField(name)) {
security.setName(BloombergDataUtils.removeDuplicateWhiteSpace(name, " "));
}
// set identifiers
parseIdentifiers(fieldData, security);
return security;
}
