private void setupBuildSection() {
buildNameView.setText(BuildConfig.VERSION_NAME);
buildCodeView.setText(String.valueOf(BuildConfig.VERSION_CODE));
buildShaView.setText(BuildConfig.GIT_SHA);
TemporalAccessor buildTime = ISO_INSTANT.parse(BuildConfig.BUILD_TIME);
buildDateView.setText(DATE_DISPLAY_FORMAT.format(buildTime));
}
/**
* Provides an ExternalID for Bloomberg ticker, given a reference date and an integer offset, the
* n'th subsequent option
*
* <p>The format is prefix + date + callPutFlag + strike + postfix
*
* <p>e.g. DJX 12/21/13 C145.0 Index
*
* <p>
*
* @param futureOptionNumber n'th future following curve date, not null
* @param strike option's strike, expressed as price in %, e.g. 98.750, not null
* @param surfaceDate date of curve validity; valuation date, not null
* @return the id of the Bloomberg ticker
*/
@Override
public ExternalId getInstrument(
final Number futureOptionNumber, final Double strike, final LocalDate surfaceDate) {
ArgumentChecker.notNull(futureOptionNumber, "futureOptionNumber");
ArgumentChecker.notNull(strike, "strike");
ArgumentChecker.notNull(surfaceDate, "surface date");
final String prefix = getFutureOptionPrefix();
final StringBuffer ticker = new StringBuffer();
ticker.append(prefix);
ticker.append(" ");
final ExchangeTradedInstrumentExpiryCalculator expiryRule = getExpiryRuleCalculator();
final LocalDate expiry =
expiryRule.getExpiryDate(futureOptionNumber.intValue(), surfaceDate, NO_HOLIDAYS);
ticker.append(FORMAT.format(expiry));
ticker.append(" ");
ticker.append(strike > useCallAboveStrike() ? "C" : "P");
ticker.append(strike);
ticker.append(" ");
ticker.append(getPostfix());
return ExternalId.of(getScheme(), ticker.toString());
}
@Override
public Object formatCell(ZonedDateTime value, ValueSpecification valueSpec, Object inlineKey) {
return s_formatter.format(value);
}
public final class DebugView extends FrameLayout {
private static final DateTimeFormatter DATE_DISPLAY_FORMAT =
DateTimeFormatter.ofPattern("yyyy-MM-dd hh:mm a", Locale.US).withZone(ZoneId.systemDefault());
@Bind(R.id.debug_contextual_title)
View contextualTitleView;
@Bind(R.id.debug_contextual_list)
LinearLayout contextualListView;
@Bind(R.id.debug_network_endpoint)
Spinner endpointView;
@Bind(R.id.debug_network_endpoint_edit)
View endpointEditView;
@Bind(R.id.debug_network_delay)
Spinner networkDelayView;
@Bind(R.id.debug_network_variance)
Spinner networkVarianceView;
@Bind(R.id.debug_network_error)
Spinner networkErrorView;
@Bind(R.id.debug_network_proxy)
Spinner networkProxyView;
@Bind(R.id.debug_network_logging)
Spinner networkLoggingView;
@Bind(R.id.debug_capture_intents)
Switch captureIntentsView;
@Bind(R.id.debug_repositories_response)
Spinner repositoriesResponseView;
@Bind(R.id.debug_ui_animation_speed)
Spinner uiAnimationSpeedView;
@Bind(R.id.debug_ui_pixel_grid)
Switch uiPixelGridView;
@Bind(R.id.debug_ui_pixel_ratio)
Switch uiPixelRatioView;
@Bind(R.id.debug_ui_scalpel)
Switch uiScalpelView;
@Bind(R.id.debug_ui_scalpel_wireframe)
Switch uiScalpelWireframeView;
@Bind(R.id.debug_build_name)
TextView buildNameView;
@Bind(R.id.debug_build_code)
TextView buildCodeView;
@Bind(R.id.debug_build_sha)
TextView buildShaView;
@Bind(R.id.debug_build_date)
TextView buildDateView;
@Bind(R.id.debug_device_make)
TextView deviceMakeView;
@Bind(R.id.debug_device_model)
TextView deviceModelView;
@Bind(R.id.debug_device_resolution)
TextView deviceResolutionView;
@Bind(R.id.debug_device_density)
TextView deviceDensityView;
@Bind(R.id.debug_device_release)
TextView deviceReleaseView;
@Bind(R.id.debug_device_api)
TextView deviceApiView;
@Bind(R.id.debug_picasso_indicators)
Switch picassoIndicatorView;
@Bind(R.id.debug_picasso_cache_size)
TextView picassoCacheSizeView;
@Bind(R.id.debug_picasso_cache_hit)
TextView picassoCacheHitView;
@Bind(R.id.debug_picasso_cache_miss)
TextView picassoCacheMissView;
@Bind(R.id.debug_picasso_decoded)
TextView picassoDecodedView;
@Bind(R.id.debug_picasso_decoded_total)
TextView picassoDecodedTotalView;
@Bind(R.id.debug_picasso_decoded_avg)
TextView picassoDecodedAvgView;
@Bind(R.id.debug_picasso_transformed)
TextView picassoTransformedView;
@Bind(R.id.debug_picasso_transformed_total)
TextView picassoTransformedTotalView;
@Bind(R.id.debug_picasso_transformed_avg)
TextView picassoTransformedAvgView;
@Bind(R.id.debug_okhttp_cache_max_size)
TextView okHttpCacheMaxSizeView;
@Bind(R.id.debug_okhttp_cache_write_error)
TextView okHttpCacheWriteErrorView;
@Bind(R.id.debug_okhttp_cache_request_count)
TextView okHttpCacheRequestCountView;
@Bind(R.id.debug_okhttp_cache_network_count)
TextView okHttpCacheNetworkCountView;
@Bind(R.id.debug_okhttp_cache_hit_count)
TextView okHttpCacheHitCountView;
@Inject OkHttpClient client;
@Inject
@Named("Api")
OkHttpClient apiClient;
@Inject Picasso picasso;
@Inject LumberYard lumberYard;
@Inject @IsMockMode boolean isMockMode;
@Inject @ApiEndpoint Preference<String> networkEndpoint;
@Inject Preference<InetSocketAddress> networkProxyAddress;
@Inject @CaptureIntents Preference<Boolean> captureIntents;
@Inject @AnimationSpeed Preference<Integer> animationSpeed;
@Inject @PicassoDebugging Preference<Boolean> picassoDebugging;
@Inject @PixelGridEnabled Preference<Boolean> pixelGridEnabled;
@Inject @PixelRatioEnabled Preference<Boolean> pixelRatioEnabled;
@Inject @ScalpelEnabled Preference<Boolean> scalpelEnabled;
@Inject @ScalpelWireframeEnabled Preference<Boolean> scalpelWireframeEnabled;
@Inject NetworkBehavior behavior;
@Inject @NetworkDelay Preference<Long> networkDelay;
@Inject @NetworkFailurePercent Preference<Integer> networkFailurePercent;
@Inject @NetworkVariancePercent Preference<Integer> networkVariancePercent;
@Inject MockGithubService mockGithubService;
@Inject Application app;
@Inject Set<DebugAction> debugActions;
private final ContextualDebugActions contextualDebugActions;
public DebugView(Context context) {
this(context, null);
}
public DebugView(Context context, AttributeSet attrs) {
super(context, attrs);
Injector.obtain(context).inject(this);
// Inflate all of the controls and inject them.
LayoutInflater.from(context).inflate(R.layout.debug_view_content, this);
ButterKnife.bind(this);
contextualDebugActions = new ContextualDebugActions(this, debugActions);
setupNetworkSection();
setupMockBehaviorSection();
setupUserInterfaceSection();
setupBuildSection();
setupDeviceSection();
setupPicassoSection();
setupOkHttpCacheSection();
}
public ContextualDebugActions getContextualDebugActions() {
return contextualDebugActions;
}
public void onDrawerOpened() {
refreshPicassoStats();
refreshOkHttpCacheStats();
}
private void setupNetworkSection() {
final ApiEndpoints currentEndpoint = ApiEndpoints.from(networkEndpoint.get());
final EnumAdapter<ApiEndpoints> endpointAdapter =
new EnumAdapter<>(getContext(), ApiEndpoints.class);
endpointView.setAdapter(endpointAdapter);
endpointView.setSelection(currentEndpoint.ordinal());
RxAdapterView.itemSelections(endpointView)
.map(endpointAdapter::getItem)
.filter(item -> item != currentEndpoint)
.subscribe(
selected -> {
if (selected == ApiEndpoints.CUSTOM) {
Timber.d("Custom network endpoint selected. Prompting for URL.");
showCustomEndpointDialog(currentEndpoint.ordinal(), "http://");
} else {
setEndpointAndRelaunch(selected.url);
}
});
final NetworkDelayAdapter delayAdapter = new NetworkDelayAdapter(getContext());
networkDelayView.setAdapter(delayAdapter);
networkDelayView.setSelection(
NetworkDelayAdapter.getPositionForValue(behavior.delay(MILLISECONDS)));
RxAdapterView.itemSelections(networkDelayView)
.map(delayAdapter::getItem)
.filter(item -> item != behavior.delay(MILLISECONDS))
.subscribe(
selected -> {
Timber.d("Setting network delay to %sms", selected);
behavior.setDelay(selected, MILLISECONDS);
networkDelay.set(selected);
});
final NetworkVarianceAdapter varianceAdapter = new NetworkVarianceAdapter(getContext());
networkVarianceView.setAdapter(varianceAdapter);
networkVarianceView.setSelection(
NetworkVarianceAdapter.getPositionForValue(behavior.variancePercent()));
RxAdapterView.itemSelections(networkVarianceView)
.map(varianceAdapter::getItem)
.filter(item -> item != behavior.variancePercent())
.subscribe(
selected -> {
Timber.d("Setting network variance to %s%%", selected);
behavior.setVariancePercent(selected);
networkVariancePercent.set(selected);
});
final NetworkErrorAdapter errorAdapter = new NetworkErrorAdapter(getContext());
networkErrorView.setAdapter(errorAdapter);
networkErrorView.setSelection(
NetworkErrorAdapter.getPositionForValue(behavior.failurePercent()));
RxAdapterView.itemSelections(networkErrorView)
.map(errorAdapter::getItem)
.filter(item -> item != behavior.failurePercent())
.subscribe(
selected -> {
Timber.d("Setting network error to %s%%", selected);
behavior.setFailurePercent(selected);
networkFailurePercent.set(selected);
});
int currentProxyPosition = networkProxyAddress.isSet() ? ProxyAdapter.PROXY : ProxyAdapter.NONE;
final ProxyAdapter proxyAdapter = new ProxyAdapter(getContext(), networkProxyAddress);
networkProxyView.setAdapter(proxyAdapter);
networkProxyView.setSelection(currentProxyPosition);
RxAdapterView.itemSelections(networkProxyView)
.filter(position -> !networkProxyAddress.isSet() || position != ProxyAdapter.PROXY)
.subscribe(
position -> {
if (position == ProxyAdapter.NONE) {
Timber.d("Clearing network proxy");
// TODO: Keep the custom proxy around so you can easily switch back and forth.
networkProxyAddress.delete();
client.setProxy(null);
apiClient.setProxy(null);
} else if (networkProxyAddress.isSet() && position == ProxyAdapter.PROXY) {
Timber.d("Ignoring re-selection of network proxy %s", networkProxyAddress.get());
} else {
Timber.d("New network proxy selected. Prompting for host.");
showNewNetworkProxyDialog(proxyAdapter);
}
});
// Only show the endpoint editor when a custom endpoint is in use.
endpointEditView.setVisibility(currentEndpoint == ApiEndpoints.CUSTOM ? VISIBLE : GONE);
if (currentEndpoint == ApiEndpoints.MOCK_MODE) {
// Disable network proxy if we are in mock mode.
networkProxyView.setEnabled(false);
networkLoggingView.setEnabled(false);
} else {
// Disable network controls if we are not in mock mode.
networkDelayView.setEnabled(false);
networkVarianceView.setEnabled(false);
networkErrorView.setEnabled(false);
}
// We use the JSON rest adapter as the source of truth for the log level.
// final EnumAdapter<RestAdapter.LogLevel> loggingAdapter =
// new EnumAdapter<>(getContext(), RestAdapter.LogLevel.class);
// networkLoggingView.setAdapter(loggingAdapter);
// networkLoggingView.setSelection(retrofit.getLogLevel().ordinal());
// networkLoggingView.setOnItemSelectedListener(new AdapterView.OnItemSelectedListener() {
// @Override
// public void onItemSelected(AdapterView<?> adapterView, View view, int position, long id) {
// RestAdapter.LogLevel selected = loggingAdapter.getItem(position);
// if (selected != retrofit.getLogLevel()) {
// Timber.d("Setting logging level to %s", selected);
// retrofit.setLogLevel(selected);
// } else {
// Timber.d("Ignoring re-selection of logging level " + selected);
// }
// }
//
// @Override public void onNothingSelected(AdapterView<?> adapterView) {
// }
// });
}
@OnClick(R.id.debug_network_endpoint_edit)
void onEditEndpointClicked() {
Timber.d("Prompting to edit custom endpoint URL.");
// Pass in the currently selected position since we are merely editing.
showCustomEndpointDialog(endpointView.getSelectedItemPosition(), networkEndpoint.get());
}
private void setupMockBehaviorSection() {
captureIntentsView.setEnabled(isMockMode);
captureIntentsView.setChecked(captureIntents.get());
captureIntentsView.setOnCheckedChangeListener(
(compoundButton, b) -> {
Timber.d("Capture intents set to %s", b);
captureIntents.set(b);
});
configureResponseSpinner(repositoriesResponseView, MockRepositoriesResponse.class);
}
/**
* Populates a {@code Spinner} with the values of an {@code enum} and binds it to the value set in
* the mock service.
*/
private <T extends Enum<T>> void configureResponseSpinner(
Spinner spinner, final Class<T> responseClass) {
final EnumAdapter<T> adapter = new EnumAdapter<>(getContext(), responseClass);
spinner.setEnabled(isMockMode);
spinner.setAdapter(adapter);
spinner.setSelection(mockGithubService.getResponse(responseClass).ordinal());
RxAdapterView.itemSelections(spinner)
.map(adapter::getItem)
.filter(item -> item != mockGithubService.getResponse(responseClass))
.subscribe(
selected -> {
Timber.d("Setting %s to %s", responseClass.getSimpleName(), selected);
mockGithubService.setResponse(responseClass, selected);
});
}
private void setupUserInterfaceSection() {
final AnimationSpeedAdapter speedAdapter = new AnimationSpeedAdapter(getContext());
uiAnimationSpeedView.setAdapter(speedAdapter);
final int animationSpeedValue = animationSpeed.get();
uiAnimationSpeedView.setSelection(
AnimationSpeedAdapter.getPositionForValue(animationSpeedValue));
RxAdapterView.itemSelections(uiAnimationSpeedView)
.map(speedAdapter::getItem)
.filter(item -> item != animationSpeed.get())
.subscribe(
selected -> {
Timber.d("Setting animation speed to %sx", selected);
animationSpeed.set(selected);
applyAnimationSpeed(selected);
});
// Ensure the animation speed value is always applied across app restarts.
post(() -> applyAnimationSpeed(animationSpeedValue));
boolean gridEnabled = pixelGridEnabled.get();
uiPixelGridView.setChecked(gridEnabled);
uiPixelRatioView.setEnabled(gridEnabled);
uiPixelGridView.setOnCheckedChangeListener(
(buttonView, isChecked) -> {
Timber.d("Setting pixel grid overlay enabled to " + isChecked);
pixelGridEnabled.set(isChecked);
uiPixelRatioView.setEnabled(isChecked);
});
uiPixelRatioView.setChecked(pixelRatioEnabled.get());
uiPixelRatioView.setOnCheckedChangeListener(
(buttonView, isChecked) -> {
Timber.d("Setting pixel scale overlay enabled to " + isChecked);
pixelRatioEnabled.set(isChecked);
});
uiScalpelView.setChecked(scalpelEnabled.get());
uiScalpelWireframeView.setEnabled(scalpelEnabled.get());
uiScalpelView.setOnCheckedChangeListener(
(buttonView, isChecked) -> {
Timber.d("Setting scalpel interaction enabled to " + isChecked);
scalpelEnabled.set(isChecked);
uiScalpelWireframeView.setEnabled(isChecked);
});
uiScalpelWireframeView.setChecked(scalpelWireframeEnabled.get());
uiScalpelWireframeView.setOnCheckedChangeListener(
(buttonView, isChecked) -> {
Timber.d("Setting scalpel wireframe enabled to " + isChecked);
scalpelWireframeEnabled.set(isChecked);
});
}
@OnClick(R.id.debug_logs_show)
void showLogs() {
new LogsDialog(new ContextThemeWrapper(getContext(), R.style.Theme_U2020), lumberYard).show();
}
@OnClick(R.id.debug_leaks_show)
void showLeaks() {
Intent intent = new Intent(getContext(), DisplayLeakActivity.class);
getContext().startActivity(intent);
}
private void setupBuildSection() {
buildNameView.setText(BuildConfig.VERSION_NAME);
buildCodeView.setText(String.valueOf(BuildConfig.VERSION_CODE));
buildShaView.setText(BuildConfig.GIT_SHA);
TemporalAccessor buildTime = ISO_INSTANT.parse(BuildConfig.BUILD_TIME);
buildDateView.setText(DATE_DISPLAY_FORMAT.format(buildTime));
}
private void setupDeviceSection() {
DisplayMetrics displayMetrics = getContext().getResources().getDisplayMetrics();
String densityBucket = getDensityString(displayMetrics);
deviceMakeView.setText(Strings.truncateAt(Build.MANUFACTURER, 20));
deviceModelView.setText(Strings.truncateAt(Build.MODEL, 20));
deviceResolutionView.setText(displayMetrics.heightPixels + "x" + displayMetrics.widthPixels);
deviceDensityView.setText(displayMetrics.densityDpi + "dpi (" + densityBucket + ")");
deviceReleaseView.setText(Build.VERSION.RELEASE);
deviceApiView.setText(String.valueOf(Build.VERSION.SDK_INT));
}
private void setupPicassoSection() {
boolean picassoDebuggingValue = picassoDebugging.get();
picasso.setIndicatorsEnabled(picassoDebuggingValue);
picassoIndicatorView.setChecked(picassoDebuggingValue);
picassoIndicatorView.setOnCheckedChangeListener(
(button, isChecked) -> {
Timber.d("Setting Picasso debugging to " + isChecked);
picasso.setIndicatorsEnabled(isChecked);
picassoDebugging.set(isChecked);
});
refreshPicassoStats();
}
private void refreshPicassoStats() {
StatsSnapshot snapshot = picasso.getSnapshot();
String size = getSizeString(snapshot.size);
String total = getSizeString(snapshot.maxSize);
int percentage = (int) ((1f * snapshot.size / snapshot.maxSize) * 100);
picassoCacheSizeView.setText(size + " / " + total + " (" + percentage + "%)");
picassoCacheHitView.setText(String.valueOf(snapshot.cacheHits));
picassoCacheMissView.setText(String.valueOf(snapshot.cacheMisses));
picassoDecodedView.setText(String.valueOf(snapshot.originalBitmapCount));
picassoDecodedTotalView.setText(getSizeString(snapshot.totalOriginalBitmapSize));
picassoDecodedAvgView.setText(getSizeString(snapshot.averageOriginalBitmapSize));
picassoTransformedView.setText(String.valueOf(snapshot.transformedBitmapCount));
picassoTransformedTotalView.setText(getSizeString(snapshot.totalTransformedBitmapSize));
picassoTransformedAvgView.setText(getSizeString(snapshot.averageTransformedBitmapSize));
}
private void setupOkHttpCacheSection() {
Cache cache = client.getCache(); // Shares the cache with apiClient, so no need to check both.
okHttpCacheMaxSizeView.setText(getSizeString(cache.getMaxSize()));
refreshOkHttpCacheStats();
}
private void refreshOkHttpCacheStats() {
Cache cache = client.getCache(); // Shares the cache with apiClient, so no need to check both.
int writeTotal = cache.getWriteSuccessCount() + cache.getWriteAbortCount();
int percentage = (int) ((1f * cache.getWriteAbortCount() / writeTotal) * 100);
okHttpCacheWriteErrorView.setText(
cache.getWriteAbortCount() + " / " + writeTotal + " (" + percentage + "%)");
okHttpCacheRequestCountView.setText(String.valueOf(cache.getRequestCount()));
okHttpCacheNetworkCountView.setText(String.valueOf(cache.getNetworkCount()));
okHttpCacheHitCountView.setText(String.valueOf(cache.getHitCount()));
}
private void applyAnimationSpeed(int multiplier) {
try {
Method method = ValueAnimator.class.getDeclaredMethod("setDurationScale", float.class);
method.invoke(null, (float) multiplier);
} catch (Exception e) {
throw new RuntimeException("Unable to apply animation speed.", e);
}
}
private static String getDensityString(DisplayMetrics displayMetrics) {
switch (displayMetrics.densityDpi) {
case DisplayMetrics.DENSITY_LOW:
return "ldpi";
case DisplayMetrics.DENSITY_MEDIUM:
return "mdpi";
case DisplayMetrics.DENSITY_HIGH:
return "hdpi";
case DisplayMetrics.DENSITY_XHIGH:
return "xhdpi";
case DisplayMetrics.DENSITY_XXHIGH:
return "xxhdpi";
case DisplayMetrics.DENSITY_XXXHIGH:
return "xxxhdpi";
case DisplayMetrics.DENSITY_TV:
return "tvdpi";
default:
return String.valueOf(displayMetrics.densityDpi);
}
}
private static String getSizeString(long bytes) {
String[] units = new String[] {"B", "KB", "MB", "GB"};
int unit = 0;
while (bytes >= 1024) {
bytes /= 1024;
unit += 1;
}
return bytes + units[unit];
}
private void showNewNetworkProxyDialog(final ProxyAdapter proxyAdapter) {
final int originalSelection =
networkProxyAddress.isSet() ? ProxyAdapter.PROXY : ProxyAdapter.NONE;
View view = LayoutInflater.from(app).inflate(R.layout.debug_drawer_network_proxy, null);
final EditText hostView = findById(view, R.id.debug_drawer_network_proxy_host);
if (networkProxyAddress.isSet()) {
String host = networkProxyAddress.get().getHostName();
hostView.setText(host); // Set the current host.
hostView.setSelection(0, host.length()); // Pre-select it for editing.
// Show the keyboard. Post this to the next frame when the dialog has been attached.
hostView.post(() -> Keyboards.showKeyboard(hostView));
}
new AlertDialog.Builder(getContext()) //
.setTitle("Set Network Proxy")
.setView(view)
.setNegativeButton(
"Cancel",
(dialog, i) -> {
networkProxyView.setSelection(originalSelection);
dialog.cancel();
})
.setPositiveButton(
"Use",
(dialog, i) -> {
String in = hostView.getText().toString();
InetSocketAddress address = InetSocketAddressPreferenceAdapter.parse(in);
if (address != null) {
networkProxyAddress.set(address); // Persist across restarts.
proxyAdapter.notifyDataSetChanged(); // Tell the spinner to update.
networkProxyView.setSelection(ProxyAdapter.PROXY); // And show the proxy.
Proxy proxy = InetSocketAddressPreferenceAdapter.createProxy(address);
client.setProxy(proxy);
apiClient.setProxy(proxy);
} else {
networkProxyView.setSelection(originalSelection);
}
})
.setOnCancelListener(dialogInterface -> networkProxyView.setSelection(originalSelection))
.show();
}
private void showCustomEndpointDialog(final int originalSelection, String defaultUrl) {
View view = LayoutInflater.from(app).inflate(R.layout.debug_drawer_network_endpoint, null);
final EditText url = findById(view, R.id.debug_drawer_network_endpoint_url);
url.setText(defaultUrl);
url.setSelection(url.length());
new AlertDialog.Builder(getContext()) //
.setTitle("Set Network Endpoint")
.setView(view)
.setNegativeButton(
"Cancel",
(dialog, i) -> {
endpointView.setSelection(originalSelection);
dialog.cancel();
})
.setPositiveButton(
"Use",
(dialog, i) -> {
String theUrl = url.getText().toString();
if (!Strings.isBlank(theUrl)) {
setEndpointAndRelaunch(theUrl);
} else {
endpointView.setSelection(originalSelection);
}
})
.setOnCancelListener(
(dialogInterface) -> {
endpointView.setSelection(originalSelection);
})
.show();
}
private void setEndpointAndRelaunch(String endpoint) {
Timber.d("Setting network endpoint to %s", endpoint);
networkEndpoint.set(endpoint);
ProcessPhoenix.triggerRebirth(getContext());
}
}
/** Provides ExternalIds for equity future options used to build a volatility surface */
public class BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider
extends BloombergFutureOptionVolatilitySurfaceInstrumentProvider {
/** The logger */
private static final Logger s_logger =
LoggerFactory.getLogger(BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider.class);
/** The date-time formatter */
private static final DateTimeFormatter FORMAT = DateTimeFormatter.ofPattern("MM/dd/yy");
/** The expiry rules */
private static final HashMap<String, ExchangeTradedInstrumentExpiryCalculator> EXPIRY_RULES;
/** An empty holiday calendar */
private static final Calendar NO_HOLIDAYS = new NoHolidayCalendar();
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)
}
/**
* Uses the default ticker scheme (BLOOMBERG_TICKER_WEAK)
*
* @param futureOptionPrefix the prefix to the resulting code (e.g. DJX), not null
* @param postfix the postfix to the resulting code (e.g. Index), not null
* @param dataFieldName the name of the data field, not null. Expecting
* MarketDataRequirementNames.IMPLIED_VOLATILITY or OPT_IMPLIED_VOLATILITY_MID
* @param useCallAboveStrike the strike above which to use calls rather than puts, not null
* @param exchangeIdName the exchange id, not null
*/
public BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider(
final String futureOptionPrefix,
final String postfix,
final String dataFieldName,
final Double useCallAboveStrike,
final String exchangeIdName) {
super(futureOptionPrefix, postfix, dataFieldName, useCallAboveStrike, exchangeIdName);
}
/**
* @param futureOptionPrefix the prefix to the resulting code (e.g. DJX), not null
* @param postfix the postfix to the resulting code (e.g. Index), not null
* @param dataFieldName the name of the data field, not null. Expecting
* MarketDataRequirementNames.IMPLIED_VOLATILITY or OPT_IMPLIED_VOLATILITY_MID
* @param useCallAboveStrike the strike above which to use calls rather than puts, not null
* @param exchangeIdName the exchange id, not null
* @param schemeName the ticker scheme name, not null
*/
public BloombergEquityFutureOptionVolatilitySurfaceInstrumentProvider(
final String futureOptionPrefix,
final String postfix,
final String dataFieldName,
final Double useCallAboveStrike,
final String exchangeIdName,
final String schemeName) {
super(
futureOptionPrefix, postfix, dataFieldName, useCallAboveStrike, exchangeIdName, schemeName);
}
/**
* Provides an ExternalID for Bloomberg ticker, given a reference date and an integer offset, the
* n'th subsequent option
*
* <p>The format is prefix + date + callPutFlag + strike + postfix
*
* <p>e.g. DJX 12/21/13 C145.0 Index
*
* <p>
*
* @param futureOptionNumber n'th future following curve date, not null
* @param strike option's strike, expressed as price in %, e.g. 98.750, not null
* @param surfaceDate date of curve validity; valuation date, not null
* @return the id of the Bloomberg ticker
*/
@Override
public ExternalId getInstrument(
final Number futureOptionNumber, final Double strike, final LocalDate surfaceDate) {
ArgumentChecker.notNull(futureOptionNumber, "futureOptionNumber");
ArgumentChecker.notNull(strike, "strike");
ArgumentChecker.notNull(surfaceDate, "surface date");
final String prefix = getFutureOptionPrefix();
final StringBuffer ticker = new StringBuffer();
ticker.append(prefix);
ticker.append(" ");
final ExchangeTradedInstrumentExpiryCalculator expiryRule = getExpiryRuleCalculator();
final LocalDate expiry =
expiryRule.getExpiryDate(futureOptionNumber.intValue(), surfaceDate, NO_HOLIDAYS);
ticker.append(FORMAT.format(expiry));
ticker.append(" ");
ticker.append(strike > useCallAboveStrike() ? "C" : "P");
ticker.append(strike);
ticker.append(" ");
ticker.append(getPostfix());
return ExternalId.of(getScheme(), ticker.toString());
}
/**
* Gets the expiryRules.
*
* @return the expiryRules
*/
public static HashMap<String, ExchangeTradedInstrumentExpiryCalculator> getExpiryRules() {
return EXPIRY_RULES;
}
@Override
public ExchangeTradedInstrumentExpiryCalculator getExpiryRuleCalculator() {
final String prefix = getFutureOptionPrefix();
ExchangeTradedInstrumentExpiryCalculator expiryRule = EXPIRY_RULES.get(prefix);
if (expiryRule == null) {
s_logger.info(
"No expiry rule has been setup for " + prefix + ". Using Default of 3rd Friday.");
expiryRule = EXPIRY_RULES.get("DEFAULT");
}
return expiryRule;
}
}
