com.opengamma.strata.product.etd

Class EtdIdUtils

java.lang.Object

com.opengamma.strata.product.etd.EtdIdUtils

public final class EtdIdUtils
extends Object

A utility for generating ETD identifiers.

An exchange traded derivative (ETD) is uniquely identified by a set of fields. In most cases, these fields should be kept separate, as on EtdContractSpec. However, it can be useful to create a single identifier from the separate fields. We do not recommend parsing the combined identifier to retrieve individual fields.

Field Summary

Fields

Modifier and Type	Field and Description
static String	ETD_SCHEME Scheme used for ETDs.

Method Summary

Modifier and Type	Method and Description
static EtdContractSpecId	contractSpecId(EtdType type, ExchangeId exchangeId, EtdContractCode contractCode) Creates an identifier for a contract specification.
static EtdContractSpecId	contractSpecId(SecurityId securityId) Creates an identifier for a contract specification.
static SecurityId	futureId(ExchangeId exchangeId, EtdContractCode contractCode, YearMonth expiryMonth, EtdVariant variant) Creates an identifier for an ETD future instrument.
static SecurityId	optionId(ExchangeId exchangeId, EtdContractCode contractCode, YearMonth expiryMonth, EtdVariant variant, int version, PutCall putCall, double strikePrice) Creates an identifier for an ETD option instrument.
static SecurityId	optionId(ExchangeId exchangeId, EtdContractCode contractCode, YearMonth expiryMonth, EtdVariant variant, int version, PutCall putCall, double strikePrice, YearMonth underlyingExpiryMonth) Creates an identifier for an ETD option instrument.
static SplitEtdContractSpecId	splitId(EtdContractSpecId specId) Splits an OG-ETD identifier.
static SplitEtdId	splitId(SecurityId securityId) Splits an OG-ETD identifier.
static ExchangeId	splitIdToExchangeId(SecurityId securityId) Splits an OG-ETD identifier to obtain the exchange ID.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

ETD_SCHEME

public static final String ETD_SCHEME

Scheme used for ETDs.

See Also:

Constant Field Values

Method Detail

contractSpecId

public static EtdContractSpecId contractSpecId(EtdType type,
                                               ExchangeId exchangeId,
                                               EtdContractCode contractCode)

Creates an identifier for a contract specification.

This will have the format: 'OG-ETD~F-ECAG-FGBS' or 'OG-ETD~O-ECAG-OGBS'.

Parameters:

type - type of the contract - future or option

exchangeId - the MIC code of the exchange where the instruments are traded

contractCode - the code supplied by the exchange for use in clearing and margining, such as in SPAN

Returns:

the identifier

contractSpecId

public static EtdContractSpecId contractSpecId(SecurityId securityId)

Creates an identifier for a contract specification.

This will have the format: 'OG-ETD~F-ECAG-FGBS' or 'OG-ETD~O-ECAG-OGBS'.

Parameters:

securityId - the security id

Returns:

the identifier

futureId

public static SecurityId futureId(ExchangeId exchangeId,
                                  EtdContractCode contractCode,
                                  YearMonth expiryMonth,
                                  EtdVariant variant)

Creates an identifier for an ETD future instrument.

A typical monthly ETD will have the format: 'OG-ETD~F-ECAG-OGBS-201706'.

A more complex flex ETD (12th of the month, Physical settlement) will have the format: 'OG-ETD~F-ECAG-OGBS-20170612E'.

Parameters:

exchangeId - the MIC code of the exchange where the instruments are traded

contractCode - the code supplied by the exchange for use in clearing and margining, such as in SPAN

expiryMonth - the month of expiry

variant - the variant of the ETD, such as 'Monthly', 'Weekly, 'Daily' or 'Flex'

Returns:

the identifier

optionId

public static SecurityId optionId(ExchangeId exchangeId,
                                  EtdContractCode contractCode,
                                  YearMonth expiryMonth,
                                  EtdVariant variant,
                                  int version,
                                  PutCall putCall,
                                  double strikePrice)

Creates an identifier for an ETD option instrument.

A typical monthly ETD with version zero will have the format: 'OG-ETD~O-ECAG-OGBS-201706-P1.50'.

A more complex flex ETD (12th of the month, Cash settlement, European) with version two will have the format: 'OG-ETD~O-ECAG-OGBS-20170612CE-V2-P1.50'.

Parameters:

exchangeId - the MIC code of the exchange where the instruments are traded

contractCode - the code supplied by the exchange for use in clearing and margining, such as in SPAN

expiryMonth - the month of expiry

variant - the variant of the ETD, such as 'Monthly', 'Weekly, 'Daily' or 'Flex'

version - the non-negative version, zero by default

putCall - the Put/Call flag

strikePrice - the strike price

Returns:

the identifier

optionId

public static SecurityId optionId(ExchangeId exchangeId,
                                  EtdContractCode contractCode,
                                  YearMonth expiryMonth,
                                  EtdVariant variant,
                                  int version,
                                  PutCall putCall,
                                  double strikePrice,
                                  YearMonth underlyingExpiryMonth)

Creates an identifier for an ETD option instrument.

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: 'OG-ETD~O-ECAG-OGBS-201706-P1.50-U201709'.

Parameters:

exchangeId - the MIC code of the exchange where the instruments are traded

contractCode - the code supplied by the exchange for use in clearing and margining, such as in SPAN

expiryMonth - the month of expiry

variant - the variant of the ETD, such as 'Monthly', 'Weekly, 'Daily' or 'Flex'

version - the non-negative version, zero by default

putCall - the Put/Call flag

strikePrice - the strike price

underlyingExpiryMonth - the expiry of the underlying instrument, such as a future, may be null

Returns:

the identifier

splitId

public static SplitEtdContractSpecId splitId(EtdContractSpecId specId)

Splits an OG-ETD identifier.

Parameters:

specId - the contract spec ID

Returns:

a split representation of the ID

Throws:

IllegalArgumentException - if the ID is not of the right scheme or format

splitId

public static SplitEtdId splitId(SecurityId securityId)

Splits an OG-ETD identifier.

Parameters:

securityId - the security ID

Returns:

a split representation of the ID

Throws:

IllegalArgumentException - if the ID is not of the right scheme or format

splitIdToExchangeId

public static ExchangeId splitIdToExchangeId(SecurityId securityId)

Splits an OG-ETD identifier to obtain the exchange ID.

Parameters:

securityId - the security ID

Returns:

the exchange ID

Throws:

IllegalArgumentException - if the ID is not of the right scheme or format