//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
return(ratesProvider.data(id) / 100); // convert market quote to value needed
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedIborFutureOptionTrade trade, RatesProvider ratesProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
return(ratesProvider.data(id));
}
//-------------------------------------------------------------------------
// gets the settlement price
private double settlementPrice(ResolvedDsfTrade trade, RatesProvider ratesProvider)
{
StandardId standardId = trade.Product.SecurityId.StandardId;
QuoteId id = QuoteId.of(standardId, FieldName.SETTLEMENT_PRICE);
double price = ratesProvider.data(id);
ArgChecker.isTrue(price < 10, "Price must be in decimal form, such as 1.007 for a 0.7% present value, but was: {}", price);
return(price);
}