com.opengamma.financial.analytics.volatility.surface.BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider.java Source code

Introduction

Here is the source code for com.opengamma.financial.analytics.volatility.surface.BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider.java

Source

/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.volatility.surface;

import java.text.DecimalFormat;

import javax.time.calendar.LocalDate;

import org.apache.commons.lang.Validate;

import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalScheme;

/**
 * Provides ExternalId's for IRFutureOptions used to build the Volatility Surface
 */
public class BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider
        extends BloombergFutureOptionVolatilitySurfaceInstrumentProvider {
    private static final ExternalScheme SCHEME = ExternalSchemes.BLOOMBERG_TICKER_WEAK;
    private static final DecimalFormat FORMATTER = new DecimalFormat("##.###");
    static {
        FORMATTER.setMinimumFractionDigits(3);
    }

    /**
     * @param futureOptionPrefix the prefix to the resulting code
     * @param postfix the postfix to the resulting code
     * @param dataFieldName the name of the data field. Expecting MarketDataRequirementNames.IMPLIED_VOLATILITY or OPT_IMPLIED_VOLATILITY_MID
     * @param useCallAboveStrike the strike above which to use calls rather than puts
     */
    public BloombergIRFutureOptionVolatilitySurfaceInstrumentProvider(final String futureOptionPrefix,
            final String postfix, final String dataFieldName, final Double useCallAboveStrike) {
        super(futureOptionPrefix, postfix, dataFieldName, useCallAboveStrike);
    }

    @Override
    /**
     * Provides ExternalID for Bloomberg ticker, eg EDZ3C  99.250 Comdty,
     * given a reference date and an integer offset, the n'th subsequent option
     * The format is futurePrefix + month + year + callPutFlag + strike + postfix
     * 
     * @param futureNumber n'th future following curve date
     * @param strike option's strike, expressed as price in %, e.g. 98.750
     * @param surfaceDate date of curve validity; valuation date
     */
    public ExternalId getInstrument(final Number futureOptionNumber, final Double strike,
            final LocalDate surfaceDate) {
        Validate.notNull(futureOptionNumber, "futureOptionNumber");
        final StringBuffer ticker = new StringBuffer();
        ticker.append(getFutureOptionPrefix());
        ticker.append(BloombergFutureUtils.getExpiryCodeForFutureOptions(getFutureOptionPrefix(),
                futureOptionNumber.intValue(), surfaceDate));
        ticker.append(strike > useCallAboveStrike() ? "C " : "P ");
        ticker.append(FORMATTER.format(strike));
        ticker.append(" ");
        ticker.append(getPostfix());
        return ExternalId.of(SCHEME, ticker.toString());
    }
}