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Add underlying expiry month to ETD options #1668

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merged 2 commits into from Mar 22, 2018

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jodastephen commented Mar 21, 2018

Specify underlying expiry month for some options to make them unique

Add underlying expiry month to ETD options
Specify underlying expiry month for some options to make them unique
Show outdated Hide outdated ...duct/src/main/java/com/opengamma/strata/product/etd/EtdContractSpec.java
* @return an option security based on this contract specification
* @throws IllegalStateException if the product type of the contract specification is not {@code OPTION}
*/
public EtdOptionSecurity createOption(

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@brianweller89

brianweller89 Mar 22, 2018

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Feels like we should have underlyingExpiryVariant as well (could maybe have an overload which defaults to monthly).

Flex might still not work properly but at least we'd be able to differentiate weeklys

@brianweller89

brianweller89 Mar 22, 2018

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Feels like we should have underlyingExpiryVariant as well (could maybe have an overload which defaults to monthly).

Flex might still not work properly but at least we'd be able to differentiate weeklys

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@jodastephen

jodastephen Mar 22, 2018

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It was agreed that we leave variant out for now and see if a need for it arises.

@jodastephen

jodastephen Mar 22, 2018

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It was agreed that we leave variant out for now and see if a need for it arises.

Show outdated Hide outdated ...s/product/src/main/java/com/opengamma/strata/product/etd/EtdIdUtils.java
Show outdated Hide outdated ...s/product/src/main/java/com/opengamma/strata/product/etd/EtdIdUtils.java
* In this case, the expiry is often omitted, even though it probably should not be.
*/
@PropertyDefinition(get = "optional")
private final YearMonth underlyingExpiryMonth;

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@brianweller89

brianweller89 Mar 22, 2018

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Per above, underlying variant would be useful here

@brianweller89

brianweller89 Mar 22, 2018

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Per above, underlying variant would be useful here

@jodastephen jodastephen merged commit 5e1cdd4 into master Mar 22, 2018

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security/snyk No dependency changes
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security/snyk - modules/basics/pom.xml No dependency changes
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security/snyk - modules/market/pom.xml No dependency changes
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security/snyk - modules/measure/pom.xml No dependency changes
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security/snyk - modules/pom.xml No dependency changes
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security/snyk - modules/pricer/pom.xml No dependency changes
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security/snyk - modules/product/pom.xml No dependency changes
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@jodastephen jodastephen deleted the topic/etd-option-future branch Mar 22, 2018

jodastephen added a commit that referenced this pull request Mar 22, 2018

Add underlying expiry month to ETD options (#1668)
* Add underlying expiry month to ETD options

Specify underlying expiry month for some options to make them unique

* Tweaks from PR

@jodastephen jodastephen added this to the v1.8 milestone Apr 9, 2018

@jodastephen jodastephen modified the milestones: v1.8, v2.0 Jun 12, 2018

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