//-------------------------------------------------------------------------
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 override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (TradeInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (BondFuture)newValue;
break;
case -1285004149: // quantity
this.quantity_Renamed = (double?)newValue.Value;
break;
case 106934601: // price
this.price_Renamed = (double?)newValue.Value;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 3237038: // info
this.info_Renamed = (PositionInfo)newValue;
break;
case -309474065: // product
this.product_Renamed = (BondFuture)newValue;
break;
case 611668775: // longQuantity
this.longQuantity_Renamed = (double?)newValue.Value;
break;
case -2094395097: // shortQuantity
this.shortQuantity_Renamed = (double?)newValue.Value;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(BondFuturePosition beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.longQuantity_Renamed = beanToCopy.LongQuantity;
this.shortQuantity_Renamed = beanToCopy.ShortQuantity;
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(BondFutureTrade beanToCopy)
{
this.info_Renamed = beanToCopy.Info;
this.product_Renamed = beanToCopy.Product;
this.quantity_Renamed = beanToCopy.Quantity;
this.price_Renamed = beanToCopy.Price;
}
public virtual void test_createProduct_wrongType()
{
BondFutureOptionSecurity test = sut();
BondFuture future = PRODUCT.UnderlyingFuture;
SecurityId secId = future.SecurityId;
GenericSecurity sec = GenericSecurity.of(INFO);
ReferenceData refData = ImmutableReferenceData.of(secId, sec);
assertThrows(() => test.createProduct(refData), typeof(System.InvalidCastException));
}
/// <summary>
/// Restricted copy constructor. </summary>
/// <param name="beanToCopy"> the bean to copy from, not null </param>
internal Builder(BondFutureOption beanToCopy)
{
this.securityId_Renamed = beanToCopy.SecurityId;
this.putCall_Renamed = beanToCopy.PutCall;
this.strikePrice_Renamed = beanToCopy.StrikePrice;
this.expiryDate_Renamed = beanToCopy.ExpiryDate;
this.expiryTime_Renamed = beanToCopy.ExpiryTime;
this.expiryZone_Renamed = beanToCopy.ExpiryZone;
this.premiumStyle_Renamed = beanToCopy.PremiumStyle;
this.rounding_Renamed = beanToCopy.Rounding;
this.underlyingFuture_Renamed = beanToCopy.UnderlyingFuture;
}
//-------------------------------------------------------------------------
public BondFutureOption createProduct(ReferenceData refData)
{
Security security = refData.getValue(underlyingFutureId);
if (!(security is BondFutureSecurity))
{
throw new System.InvalidCastException(Messages.format("{} underlying future '{}' resolved to '{}' when '{}' was expected", typeof(BondFutureOptionSecurity).Name, underlyingFutureId, security.GetType().Name, typeof(BondFutureSecurity).Name));
}
BondFutureSecurity futureSec = (BondFutureSecurity)security;
BondFuture underlying = futureSec.createProduct(refData);
return(new BondFutureOption(SecurityId, putCall, strikePrice, expiryDate, expiryTime, expiryZone, premiumStyle, rounding, underlying));
}
//-------------------------------------------------------------------------
public virtual void test_builder_full()
{
BondFuture test = BondFuture.builder().securityId(SECURITY_ID).deliveryBasket(BOND_PRODUCT).conversionFactors(CONVERSION_FACTOR).firstNoticeDate(FIRST_NOTICE_DATE).firstDeliveryDate(FIRST_DELIVERY_DATE).lastNoticeDate(LAST_NOTICE_DATE).lastDeliveryDate(LAST_DELIVERY_DATE).lastTradeDate(LAST_TRADING_DATE).rounding(ROUNDING).build();
assertEquals(test.DeliveryBasket, ImmutableList.copyOf(BOND_PRODUCT));
assertEquals(test.ConversionFactors, ImmutableList.copyOf(CONVERSION_FACTOR));
assertEquals(test.Currency, USD);
assertEquals(test.Notional, NOTIONAL);
assertEquals(test.FirstNoticeDate, FIRST_NOTICE_DATE);
assertEquals(test.LastNoticeDate, LAST_NOTICE_DATE);
assertEquals(test.FirstDeliveryDate, FIRST_DELIVERY_DATE);
assertEquals(test.LastDeliveryDate, LAST_DELIVERY_DATE);
assertEquals(test.LastTradeDate, LAST_TRADING_DATE);
assertEquals(test.Rounding, ROUNDING);
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
BondFuture product = target.Product;
QuoteId quoteId = QuoteId.of(product.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE);
Currency currency = product.Currency;
// use lookup to build requirements
FunctionRequirements freqs = FunctionRequirements.builder().valueRequirements(quoteId).outputCurrencies(currency).build();
LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
foreach (FixedCouponBond bond in product.DeliveryBasket)
{
freqs = freqs.combinedWith(ledLookup.requirements(bond.SecurityId, bond.LegalEntityId, bond.Currency));
}
return(freqs);
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1574023291: // securityId
this.securityId_Renamed = (SecurityId)newValue;
break;
case -219971059: // putCall
this.putCall_Renamed = (PutCall)newValue;
break;
case 50946231: // strikePrice
this.strikePrice_Renamed = (double?)newValue.Value;
break;
case -816738431: // expiryDate
this.expiryDate_Renamed = (LocalDate)newValue;
break;
case -816254304: // expiryTime
this.expiryTime_Renamed = (LocalTime)newValue;
break;
case -816069761: // expiryZone
this.expiryZone_Renamed = (ZoneId)newValue;
break;
case -1257652838: // premiumStyle
this.premiumStyle_Renamed = (FutureOptionPremiumStyle)newValue;
break;
case -142444: // rounding
this.rounding_Renamed = (Rounding)newValue;
break;
case -165476480: // underlyingFuture
this.underlyingFuture_Renamed = (BondFuture)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_builder_fail()
{
// wrong size
assertThrowsIllegalArg(() => BondFuture.builder().securityId(SECURITY_ID).deliveryBasket(BOND_PRODUCT[0]).conversionFactors(CONVERSION_FACTOR).firstNoticeDate(FIRST_NOTICE_DATE).lastNoticeDate(LAST_NOTICE_DATE).lastTradeDate(LAST_TRADING_DATE).rounding(ROUNDING).build());
// first notice date missing
assertThrowsIllegalArg(() => BondFuture.builder().securityId(SECURITY_ID).deliveryBasket(BOND_PRODUCT).conversionFactors(CONVERSION_FACTOR).lastNoticeDate(LAST_NOTICE_DATE).lastTradeDate(LAST_TRADING_DATE).rounding(ROUNDING).build());
// last notice date missing
assertThrowsIllegalArg(() => BondFuture.builder().securityId(SECURITY_ID).deliveryBasket(BOND_PRODUCT).conversionFactors(CONVERSION_FACTOR).firstNoticeDate(FIRST_NOTICE_DATE).lastTradeDate(LAST_TRADING_DATE).rounding(ROUNDING).build());
// basket list empty
assertThrowsIllegalArg(() => BondFuture.builder().securityId(SECURITY_ID).conversionFactors(CONVERSION_FACTOR).firstNoticeDate(FIRST_NOTICE_DATE).lastNoticeDate(LAST_NOTICE_DATE).lastTradeDate(LAST_TRADING_DATE).rounding(ROUNDING).build());
// notional mismatch
FixedCouponBond bond0 = BOND_PRODUCT[0];
FixedCouponBond bond1 = bond0.toBuilder().notional(100).build();
FixedCouponBond bond2 = bond0.toBuilder().currency(Currency.CAD).build();
assertThrowsIllegalArg(() => BondFuture.builder().securityId(SECURITY_ID).deliveryBasket(bond0, bond1).conversionFactors(CONVERSION_FACTOR[0], CONVERSION_FACTOR[1]).firstNoticeDate(FIRST_NOTICE_DATE).lastNoticeDate(LAST_NOTICE_DATE).firstDeliveryDate(FIRST_DELIVERY_DATE).lastDeliveryDate(LAST_DELIVERY_DATE).lastTradeDate(LAST_TRADING_DATE).rounding(ROUNDING).build());
// currency mismatch
assertThrowsIllegalArg(() => BondFuture.builder().securityId(SECURITY_ID).deliveryBasket(bond0, bond2).conversionFactors(CONVERSION_FACTOR[0], CONVERSION_FACTOR[1]).firstNoticeDate(FIRST_NOTICE_DATE).lastNoticeDate(LAST_NOTICE_DATE).firstDeliveryDate(FIRST_DELIVERY_DATE).lastDeliveryDate(LAST_DELIVERY_DATE).lastTradeDate(LAST_TRADING_DATE).rounding(ROUNDING).build());
}
/// <summary>
/// Creates an instance. </summary>
/// <param name="securityId"> the value of the property, not null </param>
/// <param name="putCall"> the value of the property </param>
/// <param name="strikePrice"> the value of the property </param>
/// <param name="expiryDate"> the value of the property, not null </param>
/// <param name="expiryTime"> the value of the property, not null </param>
/// <param name="expiryZone"> the value of the property, not null </param>
/// <param name="premiumStyle"> the value of the property, not null </param>
/// <param name="rounding"> the value of the property, not null </param>
/// <param name="underlyingFuture"> the value of the property, not null </param>
internal BondFutureOption(SecurityId securityId, PutCall putCall, double strikePrice, LocalDate expiryDate, LocalTime expiryTime, ZoneId expiryZone, FutureOptionPremiumStyle premiumStyle, Rounding rounding, BondFuture underlyingFuture)
{
JodaBeanUtils.notNull(securityId, "securityId");
JodaBeanUtils.notNull(expiryDate, "expiryDate");
JodaBeanUtils.notNull(expiryTime, "expiryTime");
JodaBeanUtils.notNull(expiryZone, "expiryZone");
JodaBeanUtils.notNull(premiumStyle, "premiumStyle");
JodaBeanUtils.notNull(rounding, "rounding");
JodaBeanUtils.notNull(underlyingFuture, "underlyingFuture");
this.securityId = securityId;
this.putCall = putCall;
this.strikePrice = strikePrice;
this.expiryDate = expiryDate;
this.expiryTime = expiryTime;
this.expiryZone = expiryZone;
this.premiumStyle = premiumStyle;
this.rounding = rounding;
this.underlyingFuture = underlyingFuture;
validate();
}
//-------------------------------------------------------------------------
public virtual FunctionRequirements requirements(T target, ISet <Measure> measures, CalculationParameters parameters, ReferenceData refData)
{
// extract data from product
BondFutureOption option = target.Product;
BondFuture future = option.UnderlyingFuture;
// use lookup to build requirements
QuoteId optionQuoteId = QuoteId.of(option.SecurityId.StandardId, FieldName.SETTLEMENT_PRICE);
FunctionRequirements freqs = FunctionRequirements.builder().valueRequirements(optionQuoteId).outputCurrencies(future.Currency, option.Currency).build();
LegalEntityDiscountingMarketDataLookup ledLookup = parameters.getParameter(typeof(LegalEntityDiscountingMarketDataLookup));
foreach (FixedCouponBond bond in future.DeliveryBasket)
{
freqs = freqs.combinedWith(ledLookup.requirements(bond.SecurityId, bond.LegalEntityId, bond.Currency));
}
BondFutureOptionMarketDataLookup optionLookup = parameters.getParameter(typeof(BondFutureOptionMarketDataLookup));
FunctionRequirements optionReqs = optionLookup.requirements(future.SecurityId);
return(freqs.combinedWith(optionReqs));
}
//-------------------------------------------------------------------------
internal static BondFuture sut()
{
return(BondFuture.builder().securityId(SECURITY_ID).deliveryBasket(BOND_PRODUCT).conversionFactors(ImmutableList.copyOf(CONVERSION_FACTOR)).firstNoticeDate(FIRST_NOTICE_DATE).firstDeliveryDate(FIRST_DELIVERY_DATE).lastNoticeDate(LAST_NOTICE_DATE).lastDeliveryDate(LAST_DELIVERY_DATE).lastTradeDate(LAST_TRADING_DATE).rounding(ROUNDING).build());
}
/// <summary>
/// Sets the future that was traded.
/// <para>
/// The product captures the contracted financial details.
/// </para>
/// </summary>
/// <param name="product"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder product(BondFuture product)
{
JodaBeanUtils.notNull(product, "product");
this.product_Renamed = product;
return(this);
}
/// <summary>
/// Sets the underlying future. </summary>
/// <param name="underlyingFuture"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder underlyingFuture(BondFuture underlyingFuture)
{
JodaBeanUtils.notNull(underlyingFuture, "underlyingFuture");
this.underlyingFuture_Renamed = underlyingFuture;
return(this);
}
internal static BondFuture sut2()
{
return(BondFuture.builder().securityId(SECURITY_ID2).conversionFactors(0.9187).deliveryBasket(BOND_PRODUCT[3]).firstNoticeDate(FIRST_NOTICE_DATE.plusDays(7)).lastNoticeDate(LAST_NOTICE_DATE.plusDays(7)).lastTradeDate(LAST_TRADING_DATE.plusDays(7)).build());
}
