IborFutureDummyData.java

/**
 * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.pricer.index;

import static com.opengamma.strata.basics.currency.Currency.GBP;
import static com.opengamma.strata.basics.date.Tenor.TENOR_2M;
import static com.opengamma.strata.basics.index.IborIndices.GBP_LIBOR_2M;
import static com.opengamma.strata.collect.TestHelper.date;

import java.time.LocalDate;
import java.time.LocalTime;
import java.time.ZoneId;

import com.opengamma.strata.basics.value.Rounding;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.PutCall;
import com.opengamma.strata.product.index.IborFuture;
import com.opengamma.strata.product.index.IborFutureOption;
import com.opengamma.strata.product.index.IborFutureOptionTrade;
import com.opengamma.strata.product.index.IborFutureTrade;
import com.opengamma.strata.product.option.FutureOptionPremiumStyle;

/**
 * Ibor future data.
 */
public class IborFutureDummyData {

  private static final double NOTIONAL = 100_000d;
  private static final double ACCRUAL_FACTOR_2M = TENOR_2M.getPeriod().toTotalMonths() / 12.0;
  private static final LocalDate LAST_TRADE_DATE = date(2015, 6, 17);
  private static final int ROUNDING = 4;
  private static final LocalDate TRADE_DATE = date(2015, 2, 17);
  private static final long FUTURE_QUANTITY = 35;
  private static final double FUTURE_INITIAL_PRICE = 1.015;
  private static final SecurityId FUTURE_ID = SecurityId.of("OG-Ticker", "Future");

  private static final LocalDate EXPIRY_DATE = date(2015, 5, 20);
  private static final double STRIKE_PRICE = 1.075;
  private static final double STRIKE_PRICE_2 = 0.99;
  private static final long OPTION_QUANTITY = 65L;
  private static final double OPTION_INITIAL_PRICE = 0.065;
  private static final SecurityId OPTION_ID = SecurityId.of("OG-Ticker", "Option");
  private static final SecurityId OPTION_ID2 = SecurityId.of("OG-Ticker", "Option2");

  /**
   * An IborFuture.
   */
  public static final IborFuture IBOR_FUTURE = IborFuture.builder()
      .securityId(FUTURE_ID)
      .currency(GBP)
      .notional(NOTIONAL)
      .lastTradeDate(LAST_TRADE_DATE)
      .index(GBP_LIBOR_2M)
      .accrualFactor(ACCRUAL_FACTOR_2M)
      .rounding(Rounding.ofDecimalPlaces(ROUNDING))
      .build();

  /**
   * An IborFutureTrade.
   */
  public static final IborFutureTrade IBOR_FUTURE_TRADE = IborFutureTrade.builder()
      .info(TradeInfo.builder().tradeDate(TRADE_DATE).build())
      .product(IBOR_FUTURE)
      .quantity(FUTURE_QUANTITY)
      .price(FUTURE_INITIAL_PRICE)
      .build();

  /**
   * An IborFutureOption.
   */
  public static final IborFutureOption IBOR_FUTURE_OPTION = IborFutureOption.builder()
      .securityId(OPTION_ID)
      .putCall(PutCall.CALL)
      .strikePrice(STRIKE_PRICE)
      .expiryDate(EXPIRY_DATE)
      .expiryTime(LocalTime.of(11, 0))
      .expiryZone(ZoneId.of("Europe/London"))
      .premiumStyle(FutureOptionPremiumStyle.DAILY_MARGIN)
      .underlyingFuture(IBOR_FUTURE)
      .build();

  /**
   * An IborFutureOption.
   */
  public static final IborFutureOption IBOR_FUTURE_OPTION_2 = IborFutureOption.builder()
      .securityId(OPTION_ID2)
      .putCall(PutCall.CALL)
      .strikePrice(STRIKE_PRICE_2)
      .expiryDate(EXPIRY_DATE)
      .expiryTime(LocalTime.of(11, 0))
      .expiryZone(ZoneId.of("Europe/London"))
      .premiumStyle(FutureOptionPremiumStyle.DAILY_MARGIN)
      .underlyingFuture(IBOR_FUTURE)
      .build();

  /**
   * An IborFutureOptionTrade.
   */
  public static final IborFutureOptionTrade IBOR_FUTURE_OPTION_TRADE =
      IborFutureOptionTrade.builder()
          .info(TradeInfo.builder().tradeDate(TRADE_DATE).build())
          .product(IBOR_FUTURE_OPTION)
          .quantity(OPTION_QUANTITY)
          .price(OPTION_INITIAL_PRICE)
          .build();

}