public virtual void test_withInfo()
{
BillSecurity @base = BillSecurity.builder().dayCount(DAY_COUNT).info(INFO).legalEntityId(LEGAL_ENTITY).notional(NOTIONAL).settlementDateOffset(SETTLE).yieldConvention(YIELD_CONVENTION).build();
SecurityInfo info = SecurityInfo.of(SECURITY_ID, SecurityPriceInfo.ofCurrencyMinorUnit(CCY));
BillSecurity expected = BillSecurity.builder().dayCount(DAY_COUNT).info(info).legalEntityId(LEGAL_ENTITY).notional(NOTIONAL).settlementDateOffset(SETTLE).yieldConvention(YIELD_CONVENTION).build();
assertEquals(@base.withInfo(info), expected);
}
private static Trade trade()
{
SecurityInfo info = SecurityInfo.of(SecurityId.of("OG-Test", "1"), 20, CurrencyAmount.of(USD, 10));
GenericSecurity security = GenericSecurity.of(info);
TradeInfo tradeInfo = TradeInfo.builder().counterparty(StandardId.of("cpty", "a")).build();
return(GenericSecurityTrade.builder().info(tradeInfo).security(security).quantity(123).price(456).build());
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from a contract specification, expiry year-month and variant.
/// <para>
/// The security identifier will be automatically created using <seealso cref="EtdIdUtils"/>.
/// The specification must be for a future.
///
/// </para>
/// </summary>
/// <param name="spec"> the future contract specification </param>
/// <param name="expiry"> the expiry year-month of the future </param>
/// <param name="variant"> the variant of the ETD, such as 'Monthly', 'Weekly, 'Daily' or 'Flex' </param>
/// <returns> a future security based on this contract specification </returns>
/// <exception cref="IllegalStateException"> if the product type of the contract specification is not {@code FUTURE} </exception>
public static EtdFutureSecurity of(EtdContractSpec spec, YearMonth expiry, EtdVariant variant)
{
if (spec.Type != EtdType.FUTURE)
{
throw new System.InvalidOperationException(Messages.format("Cannot create an EtdFutureSecurity from a contract specification of type '{}'", spec.Type));
}
SecurityId securityId = EtdIdUtils.futureId(spec.ExchangeId, spec.ContractCode, expiry, variant);
return(EtdFutureSecurity.builder().info(SecurityInfo.of(securityId, spec.PriceInfo)).contractSpecId(spec.Id).expiry(expiry).variant(variant).build());
}
/// <summary>
/// Obtains an instance from a contract specification, expiry year-month, variant,
/// version, put/call, strike price and underlying expiry.
/// <para>
/// The security identifier will be automatically created using <seealso cref="EtdIdUtils"/>.
/// The specification must be for an option.
///
/// </para>
/// </summary>
/// <param name="spec"> the option contract specification </param>
/// <param name="expiry"> the expiry year-month of the option </param>
/// <param name="variant"> the variant of the ETD, such as 'Monthly', 'Weekly, 'Daily' or 'Flex' </param>
/// <param name="version"> the non-negative version, zero if versioning does not apply </param>
/// <param name="putCall"> whether the option is a put or call </param>
/// <param name="strikePrice"> the strike price of the option </param>
/// <param name="underlyingExpiryMonth"> the expiry of the underlying instrument, such as a future, may be null </param>
/// <returns> an option security based on this contract specification </returns>
/// <exception cref="IllegalStateException"> if the product type of the contract specification is not {@code OPTION} </exception>
public static EtdOptionSecurity of(EtdContractSpec spec, YearMonth expiry, EtdVariant variant, int version, PutCall putCall, double strikePrice, YearMonth underlyingExpiryMonth)
{
if (spec.Type != EtdType.OPTION)
{
throw new System.InvalidOperationException(Messages.format("Cannot create an EtdOptionSecurity from a contract specification of type '{}'", spec.Type));
}
SecurityId securityId = EtdIdUtils.optionId(spec.ExchangeId, spec.ContractCode, expiry, variant, version, putCall, strikePrice, underlyingExpiryMonth);
return(EtdOptionSecurity.builder().info(SecurityInfo.of(securityId, spec.PriceInfo)).contractSpecId(spec.Id).expiry(expiry).variant(variant).version(version).putCall(putCall).strikePrice(strikePrice).underlyingExpiryMonth(underlyingExpiryMonth).build());
}
internal static CapitalIndexedBondSecurity createSecurity(CapitalIndexedBond product)
{
return(CapitalIndexedBondSecurity.builder().info(SecurityInfo.of(product.SecurityId, INFO.PriceInfo)).currency(product.Currency).notional(product.Notional).accrualSchedule(product.AccrualSchedule).rateCalculation(product.RateCalculation).dayCount(product.DayCount).yieldConvention(product.YieldConvention).legalEntityId(product.LegalEntityId).settlementDateOffset(product.SettlementDateOffset).exCouponPeriod(product.ExCouponPeriod).build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
BillSecurity test1 = BillSecurity.builder().dayCount(DAY_COUNT).info(INFO).legalEntityId(LEGAL_ENTITY).notional(NOTIONAL).settlementDateOffset(SETTLE).yieldConvention(YIELD_CONVENTION).build();
coverImmutableBean(test1);
BillSecurity test2 = BillSecurity.builder().dayCount(DayCounts.ACT_365F).info(SecurityInfo.of(SecurityId.of("OG-Test", "ID2"), PRICE_INFO)).legalEntityId(LegalEntityId.of("OG-Ticker", "LE2")).notional(AdjustablePayment.of(CurrencyAmount.of(CCY, 10), MATURITY_DATE_ADJ)).settlementDateOffset(DaysAdjustment.ofBusinessDays(2, EUTA, BUSINESS_ADJUST)).yieldConvention(BillYieldConvention.INTEREST_AT_MATURITY).build();
coverBeanEquals(test1, test2);
}
internal static EtdOptionSecurity sut2()
{
return(EtdOptionSecurity.builder().info(SecurityInfo.of(SecurityId.of("B", "C"), SecurityPriceInfo.of(Currency.EUR, 10))).contractSpecId(EtdContractSpecId.of("test", "234")).expiry(YearMonth.of(2017, 9)).variant(EtdVariant.ofWeekly(2)).version(4).putCall(PutCall.CALL).strikePrice(3).underlyingExpiryMonth(YearMonth.of(2017, 12)).build());
}
//-------------------------------------------------------------------------
internal static EtdOptionSecurity sut()
{
return(EtdOptionSecurity.builder().info(SecurityInfo.of(SecurityId.of("A", "B"), SecurityPriceInfo.of(Currency.GBP, 100))).contractSpecId(EtdContractSpecId.of("test", "123")).expiry(YearMonth.of(2017, 6)).putCall(PutCall.PUT).strikePrice(2).build());
}
private static Security security()
{
SecurityInfo info = SecurityInfo.of(ID, 20, CurrencyAmount.of(USD, 10));
return(GenericSecurity.of(info));
}
internal static EtdFutureSecurity sut2()
{
return(EtdFutureSecurity.builder().info(SecurityInfo.of(SecurityId.of("B", "C"), SecurityPriceInfo.of(Currency.EUR, 10))).contractSpecId(EtdContractSpecId.of("test", "234")).expiry(YearMonth.of(2017, 9)).variant(EtdVariant.ofWeekly(2)).build());
}
//-------------------------------------------------------------------------
internal static EtdFutureSecurity sut()
{
return(EtdFutureSecurity.builder().info(SecurityInfo.of(SecurityId.of("A", "B"), SecurityPriceInfo.of(Currency.GBP, 100))).contractSpecId(EtdContractSpecId.of("test", "123")).expiry(YearMonth.of(2017, 6)).build());
}
