//-------------------------------------------------------------------------
public virtual void test_createProduct()
{
BondFutureOptionSecurity test = sut();
BondFuture future = PRODUCT.UnderlyingFuture;
BondFutureSecurity futureSec = BondFutureSecurityTest.sut();
ImmutableList <FixedCouponBond> basket = future.DeliveryBasket;
FixedCouponBondSecurity bondSec0 = FixedCouponBondSecurityTest.createSecurity(future.DeliveryBasket.get(0));
FixedCouponBondSecurity bondSec1 = FixedCouponBondSecurityTest.createSecurity(future.DeliveryBasket.get(1));
ReferenceData refData = ImmutableReferenceData.of(ImmutableMap.of(test.UnderlyingFutureId, futureSec, basket.get(0).SecurityId, bondSec0, basket.get(1).SecurityId, bondSec1));
BondFutureOption product = test.createProduct(refData);
assertEquals(product.UnderlyingFuture.DeliveryBasket.get(0), future.DeliveryBasket.get(0));
assertEquals(product.UnderlyingFuture.DeliveryBasket.get(1), future.DeliveryBasket.get(1));
TradeInfo tradeInfo = TradeInfo.of(date(2016, 6, 30));
BondFutureOptionTrade expectedTrade = BondFutureOptionTrade.builder().info(tradeInfo).product(product).quantity(100).price(123.50).build();
assertEquals(test.createTrade(tradeInfo, 100, 123.50, refData), expectedTrade);
PositionInfo positionInfo = PositionInfo.empty();
BondFutureOptionPosition expectedPosition1 = BondFutureOptionPosition.builder().info(positionInfo).product(product).longQuantity(100).build();
TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, refData), expectedPosition1);
BondFutureOptionPosition expectedPosition2 = BondFutureOptionPosition.builder().info(positionInfo).product(product).longQuantity(100).shortQuantity(50).build();
assertEquals(test.createPosition(positionInfo, 100, 50, refData), expectedPosition2);
}
//-------------------------------------------------------------------------
public virtual void test_resolveTarget()
{
GenericSecurity security = GenericSecurity.of(SECURITY.Info);
Trade test = sut().resolveTarget(ImmutableReferenceData.of(SECURITY.SecurityId, security));
GenericSecurityTrade expected = GenericSecurityTrade.of(TRADE_INFO, security, 3000, 20);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_resolveTarget()
{
GenericSecurity security = GenericSecurityTest.sut();
Trade test = sut().resolveTarget(ImmutableReferenceData.of(SECURITY_ID, security));
GenericSecurityTrade expected = GenericSecurityTrade.of(TRADE_INFO, security, QUANTITY, PRICE);
assertEquals(test, expected);
}
//-------------------------------------------------------------------------
public virtual void test_resolveTarget()
{
EtdOptionPosition position = sut();
GenericSecurity resolvedSecurity = GenericSecurity.of(SECURITY.Info);
ImmutableReferenceData refData = ImmutableReferenceData.of(SECURITY.SecurityId, resolvedSecurity);
GenericSecurityPosition expected = GenericSecurityPosition.ofLongShort(POSITION_INFO, resolvedSecurity, LONG_QUANTITY, SHORT_QUANTITY);
assertEquals(position.resolveTarget(refData), expected);
}
//-------------------------------------------------------------------------
public virtual void test_resolveTarget()
{
SecurityPosition position = sut();
GenericSecurity resolvedSecurity = GenericSecurity.of(SecurityInfo.of(SECURITY_ID, 1, CurrencyAmount.of(USD, 0.01)));
ImmutableReferenceData refData = ImmutableReferenceData.of(SECURITY_ID, resolvedSecurity);
GenericSecurityPosition expected = GenericSecurityPosition.ofLongShort(POSITION_INFO, resolvedSecurity, LONG_QUANTITY, SHORT_QUANTITY);
assertEquals(position.resolveTarget(refData), expected);
}
public virtual void test_createProduct_wrongType()
{
IborFutureOptionSecurity test = sut();
IborFuture future = OPTION.UnderlyingFuture;
SecurityId secId = future.SecurityId;
GenericSecurity sec = GenericSecurity.of(INFO);
ReferenceData refData = ImmutableReferenceData.of(secId, sec);
assertThrows(() => test.createProduct(refData), typeof(System.InvalidCastException));
}
public virtual void test_createProduct_wrongType()
{
BondFutureSecurity test = sut();
ImmutableList <FixedCouponBond> basket = PRODUCT.DeliveryBasket;
SecurityId secId = basket.get(0).SecurityId;
GenericSecurity sec = GenericSecurity.of(INFO);
ReferenceData refData = ImmutableReferenceData.of(secId, sec);
assertThrows(() => test.createProduct(refData), typeof(System.InvalidCastException));
}
//-------------------------------------------------------------------------
public virtual void test_createProduct()
{
IborFutureOptionSecurity test = sut();
ReferenceData refData = ImmutableReferenceData.of(FUTURE_ID, FUTURE_SECURITY);
assertEquals(test.createProduct(refData), OPTION);
TradeInfo tradeInfo = TradeInfo.of(date(2016, 6, 30));
IborFutureOptionTrade expectedTrade = IborFutureOptionTrade.builder().info(tradeInfo).product(OPTION).quantity(100).price(123.50).build();
assertEquals(test.createTrade(tradeInfo, 100, 123.50, refData), expectedTrade);
PositionInfo positionInfo = PositionInfo.empty();
IborFutureOptionPosition expectedPosition1 = IborFutureOptionPosition.builder().info(positionInfo).product(OPTION).longQuantity(100).build();
TestHelper.assertEqualsBean(test.createPosition(positionInfo, 100, refData), expectedPosition1);
IborFutureOptionPosition expectedPosition2 = IborFutureOptionPosition.builder().info(positionInfo).product(OPTION).longQuantity(100).shortQuantity(50).build();
assertEquals(test.createPosition(positionInfo, 100, 50, refData), expectedPosition2);
}
