/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(EtdFutureSecurity beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.contractSpecId_Renamed = beanToCopy.ContractSpecId;
this.expiry_Renamed = beanToCopy.Expiry;
this.variant_Renamed = beanToCopy.Variant;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (SecurityInfo)newValue;
break;
case 948987368: // contractSpecId
this.contractSpecId_Renamed = (EtdContractSpecId)newValue;
break;
case -1289159373: // expiry
this.expiry_Renamed = (YearMonth)newValue;
break;
case 236785797: // variant
this.variant_Renamed = (EtdVariant)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
//-------------------------------------------------------------------------
/// <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());
}
public virtual void test_flexFuture()
{
EtdVariant test = EtdVariant.ofFlexFuture(2, EtdSettlementType.CASH);
assertEquals(test.Type, EtdExpiryType.DAILY);
assertEquals(test.DateCode.Value, 2);
assertEquals(test.SettlementType.get(), EtdSettlementType.CASH);
assertEquals(test.OptionType.Present, false);
assertEquals(test.Flex, true);
assertEquals(test.Code, "02C");
}
public virtual void test_flexOption()
{
EtdVariant test = EtdVariant.ofFlexOption(24, EtdSettlementType.CASH, EtdOptionType.AMERICAN);
assertEquals(test.Type, EtdExpiryType.DAILY);
assertEquals(test.DateCode.Value, 24);
assertEquals(test.SettlementType.get(), EtdSettlementType.CASH);
assertEquals(test.OptionType.get(), EtdOptionType.AMERICAN);
assertEquals(test.Flex, true);
assertEquals(test.Code, "24CA");
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(EtdOptionSecurity beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.contractSpecId_Renamed = beanToCopy.ContractSpecId;
this.expiry_Renamed = beanToCopy.Expiry;
this.variant_Renamed = beanToCopy.Variant;
this.version_Renamed = beanToCopy.Version;
this.putCall_Renamed = beanToCopy.PutCall;
this.strikePrice_Renamed = beanToCopy.StrikePrice;
this.underlyingExpiryMonth_Renamed = beanToCopy.underlyingExpiryMonth;
}
public virtual void test_daily()
{
EtdVariant test = EtdVariant.ofDaily(24);
assertEquals(test.Type, EtdExpiryType.DAILY);
assertEquals(test.DateCode.Value, 24);
assertEquals(test.SettlementType.Present, false);
assertEquals(test.OptionType.Present, false);
assertEquals(test.Flex, false);
assertEquals(test.Code, "24");
}
public virtual void test_monthly()
{
EtdVariant test = EtdVariant.ofMonthly();
assertEquals(test.Type, EtdExpiryType.MONTHLY);
assertEquals(test.DateCode.HasValue, false);
assertEquals(test.SettlementType.Present, false);
assertEquals(test.OptionType.Present, false);
assertEquals(test.Flex, false);
assertEquals(test.Code, "");
}
private EtdFutureSecurity(SecurityInfo info, EtdContractSpecId contractSpecId, YearMonth expiry, EtdVariant variant)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(contractSpecId, "contractSpecId");
JodaBeanUtils.notNull(expiry, "expiry");
JodaBeanUtils.notNull(variant, "variant");
this.info = info;
this.contractSpecId = contractSpecId;
this.expiry = expiry;
this.variant = variant;
}
public virtual void test_weekly()
{
EtdVariant test = EtdVariant.ofWeekly(2);
assertEquals(test.Type, EtdExpiryType.WEEKLY);
assertEquals(test.DateCode.Value, 2);
assertEquals(test.SettlementType.Present, false);
assertEquals(test.OptionType.Present, false);
assertEquals(test.Flex, false);
assertEquals(test.Code, "W2");
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
EtdVariant other = (EtdVariant)obj;
return(JodaBeanUtils.equal(type, other.type) && JodaBeanUtils.equal(dateCode, other.dateCode) && JodaBeanUtils.equal(settlementType, other.settlementType) && JodaBeanUtils.equal(optionType, other.optionType));
}
return(false);
}
private EtdOptionSecurity(SecurityInfo info, EtdContractSpecId contractSpecId, YearMonth expiry, EtdVariant variant, int version, PutCall putCall, double strikePrice, YearMonth underlyingExpiryMonth)
{
JodaBeanUtils.notNull(info, "info");
JodaBeanUtils.notNull(contractSpecId, "contractSpecId");
JodaBeanUtils.notNull(expiry, "expiry");
JodaBeanUtils.notNull(variant, "variant");
ArgChecker.notNegative(version, "version");
JodaBeanUtils.notNull(putCall, "putCall");
this.info = info;
this.contractSpecId = contractSpecId;
this.expiry = expiry;
this.variant = variant;
this.version = version;
this.putCall = putCall;
this.strikePrice = strikePrice;
this.underlyingExpiryMonth = underlyingExpiryMonth;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (SecurityInfo)newValue;
break;
case 948987368: // contractSpecId
this.contractSpecId_Renamed = (EtdContractSpecId)newValue;
break;
case -1289159373: // expiry
this.expiry_Renamed = (YearMonth)newValue;
break;
case 236785797: // variant
this.variant_Renamed = (EtdVariant)newValue;
break;
case 351608024: // version
this.version_Renamed = (int?)newValue.Value;
break;
case -219971059: // putCall
this.putCall_Renamed = (PutCall)newValue;
break;
case 50946231: // strikePrice
this.strikePrice_Renamed = (double?)newValue.Value;
break;
case 1929351536: // underlyingExpiryMonth
this.underlyingExpiryMonth_Renamed = (YearMonth)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Creates an identifier for an ETD future instrument.
/// <para>
/// A typical monthly ETD will have the format:
/// {@code 'OG-ETD~O-ECAG-OGBS-201706'}.
/// </para>
/// <para>
/// A more complex flex ETD (12th of the month, Physical settlement) will have the format:
/// {@code 'OG-ETD~O-ECAG-OGBS-20170612E'}.
///
/// </para>
/// </summary>
/// <param name="exchangeId"> the MIC code of the exchange where the instruments are traded </param>
/// <param name="contractCode"> the code supplied by the exchange for use in clearing and margining, such as in SPAN </param>
/// <param name="expiryMonth"> the month of expiry </param>
/// <param name="variant"> the variant of the ETD, such as 'Monthly', 'Weekly, 'Daily' or 'Flex' </param>
/// <returns> the identifier </returns>
public static SecurityId futureId(ExchangeId exchangeId, EtdContractCode contractCode, YearMonth expiryMonth, EtdVariant variant)
{
ArgChecker.notNull(exchangeId, "exchangeId");
ArgChecker.notNull(contractCode, "contractCode");
ArgChecker.notNull(expiryMonth, "expiryMonth");
ArgChecker.isTrue(expiryMonth.Year >= 1000 && expiryMonth.Year <= 9999, "Invalid expiry year: ", expiryMonth);
ArgChecker.notNull(variant, "variant");
string id = (new StringBuilder(40)).Append(FUT_PREFIX).Append(exchangeId).Append(SEPARATOR).Append(contractCode).Append(SEPARATOR).Append(expiryMonth.format(YM_FORMAT)).Append(variant.Code).ToString();
return(SecurityId.of(ETD_SCHEME, id));
}
/// <summary>
/// Creates an option security based on this contract specification.
/// <para>
/// The security identifier will be automatically created using <seealso cref="EtdIdUtils"/>.
/// The <seealso cref="#getType() type"/> must be <seealso cref="EtdType#OPTION"/> otherwise an exception will be thrown.
///
/// </para>
/// </summary>
/// <param name="expiryMonth"> the expiry 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 by default </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 </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 EtdOptionSecurity createOption(YearMonth expiryMonth, EtdVariant variant, int version, PutCall putCall, double strikePrice, YearMonth underlyingExpiryMonth)
{
return(EtdOptionSecurity.of(this, expiryMonth, variant, version, putCall, strikePrice, underlyingExpiryMonth));
}
internal static EtdVariant sut2()
{
return(EtdVariant.ofFlexOption(6, EtdSettlementType.CASH, EtdOptionType.EUROPEAN));
}
public virtual void test_optionId_daily21_version()
{
SecurityId test = EtdIdUtils.optionId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), EtdVariant.ofDaily(21), 11, PutCall.PUT, 12.34);
assertEquals(test.StandardId, StandardId.of("OG-ETD", "O-ECAG-FGBS-20170621-V11-P12.34"));
}
public virtual void test_optionId_weekly()
{
SecurityId test = EtdIdUtils.optionId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), EtdVariant.ofWeekly(3), 0, PutCall.CALL, -1.45);
assertEquals(test.StandardId, StandardId.of("OG-ETD", "O-ECAG-FGBS-201706W3-CM1.45"));
}
public virtual void test_futureId_flex()
{
SecurityId test = EtdIdUtils.futureId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), EtdVariant.ofFlexFuture(26, EtdSettlementType.DERIVATIVE));
assertEquals(test.StandardId, StandardId.of("OG-ETD", "F-ECAG-FGBS-20170626D"));
}
public virtual void test_futureId_daily()
{
SecurityId test = EtdIdUtils.futureId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), EtdVariant.ofDaily(2));
assertEquals(test.StandardId, StandardId.of("OG-ETD", "F-ECAG-FGBS-20170602"));
}
public virtual void test_optionIdUnderlying_daily9_version()
{
SecurityId test = EtdIdUtils.optionId(ExchangeIds.ECAG, FGBS, YearMonth.of(2017, 6), EtdVariant.ofDaily(9), 3, PutCall.PUT, 12.34, YearMonth.of(2017, 9));
assertEquals(test.StandardId, StandardId.of("OG-ETD", "O-ECAG-FGBS-20170609-V3-P12.34-U201709"));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains an instance from a contract specification, expiry year-month, variant, version, put/call and strike price.
/// <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>
/// <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)
{
return(of(spec, expiry, variant, version, putCall, strikePrice, null));
}
/// <summary>
/// Creates an identifier for an ETD option instrument.
/// <para>
/// This takes into account the expiry of the underlying instrument. If the underlying expiry
/// is the same as the expiry of the option, the identifier is the same as the normal one.
/// Otherwise, the underlying expiry is added after the option expiry. For example:
/// {@code 'OG-ETD~O-ECAG-OGBS-201706-P1.50-U201709'}.
///
/// </para>
/// </summary>
/// <param name="exchangeId"> the MIC code of the exchange where the instruments are traded </param>
/// <param name="contractCode"> the code supplied by the exchange for use in clearing and margining, such as in SPAN </param>
/// <param name="expiryMonth"> the month of expiry </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 by default </param>
/// <param name="putCall"> the Put/Call flag </param>
/// <param name="strikePrice"> the strike price </param>
/// <param name="underlyingExpiryMonth"> the expiry of the underlying instrument, such as a future, may be null </param>
/// <returns> the identifier </returns>
public static SecurityId optionId(ExchangeId exchangeId, EtdContractCode contractCode, YearMonth expiryMonth, EtdVariant variant, int version, PutCall putCall, double strikePrice, YearMonth underlyingExpiryMonth)
{
ArgChecker.notNull(exchangeId, "exchangeId");
ArgChecker.notNull(contractCode, "contractCode");
ArgChecker.notNull(expiryMonth, "expiryMonth");
ArgChecker.notNull(variant, "variant");
ArgChecker.notNull(putCall, "putCall");
string putCallStr = putCall == PutCall.PUT ? "P" : "C";
string versionCode = version > 0 ? "V" + version + SEPARATOR : "";
NumberFormat f = NumberFormat.getIntegerInstance(Locale.ENGLISH);
f.GroupingUsed = false;
f.MaximumFractionDigits = 8;
string strikeStr = f.format(strikePrice).replace('-', 'M');
string underlying = "";
if (underlyingExpiryMonth != null && !underlyingExpiryMonth.Equals(expiryMonth))
{
underlying = SEPARATOR + "U" + underlyingExpiryMonth.format(YM_FORMAT);
}
string id = (new StringBuilder(40)).Append(OPT_PREFIX).Append(exchangeId).Append(SEPARATOR).Append(contractCode).Append(SEPARATOR).Append(expiryMonth.format(YM_FORMAT)).Append(variant.Code).Append(SEPARATOR).Append(versionCode).Append(putCallStr).Append(strikeStr).Append(underlying).ToString();
return(SecurityId.of(ETD_SCHEME, id));
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates a future security based on this contract specification.
/// <para>
/// The security identifier will be automatically created using <seealso cref="EtdIdUtils"/>.
/// The <seealso cref="#getType() type"/> must be <seealso cref="EtdType#FUTURE"/> otherwise an exception will be thrown.
///
/// </para>
/// </summary>
/// <param name="expiryMonth"> the expiry 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 EtdFutureSecurity createFuture(YearMonth expiryMonth, EtdVariant variant)
{
return(EtdFutureSecurity.of(this, expiryMonth, variant));
}
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 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());
}
/// <summary>
/// Sets the variant of ETD.
/// <para>
/// This captures the variant of the ETD. The most common variant is 'Monthly'.
/// Other variants are 'Weekly', 'Daily' and 'Flex'.
/// </para>
/// <para>
/// When building, this defaults to 'Monthly'.
/// </para>
/// </summary>
/// <param name="variant"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder variant(EtdVariant variant)
{
JodaBeanUtils.notNull(variant, "variant");
this.variant_Renamed = variant;
return(this);
}
/// <summary>
/// Creates an identifier for an ETD option instrument.
/// <para>
/// A typical monthly ETD with version zero will have the format:
/// {@code 'OG-ETD~O-ECAG-OGBS-201706-P1.50'}.
/// </para>
/// <para>
/// A more complex flex ETD (12th of the month, Cash settlement, European) with version two will have the format:
/// {@code 'OG-ETD~O-ECAG-OGBS-20170612CE-V2-P1.50'}.
///
/// </para>
/// </summary>
/// <param name="exchangeId"> the MIC code of the exchange where the instruments are traded </param>
/// <param name="contractCode"> the code supplied by the exchange for use in clearing and margining, such as in SPAN </param>
/// <param name="expiryMonth"> the month of expiry </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 by default </param>
/// <param name="putCall"> the Put/Call flag </param>
/// <param name="strikePrice"> the strike price </param>
/// <returns> the identifier </returns>
public static SecurityId optionId(ExchangeId exchangeId, EtdContractCode contractCode, YearMonth expiryMonth, EtdVariant variant, int version, PutCall putCall, double strikePrice)
{
return(optionId(exchangeId, contractCode, expiryMonth, variant, version, putCall, strikePrice, null));
}