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Add constants for OCC and OPRA ID schemes #2287

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Merged
mergify merged 2 commits into from
Feb 2, 2021
Merged

Add constants for OCC and OPRA ID schemes #2287

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8ae07a7
Add constants for OCC and OPRA ID schemes
jodastephen Feb 2, 2021
c699b71
Merge branch 'main' into topic/option-schemes
mergify[bot] Feb 2, 2021
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31 changes: 31 additions & 0 deletions modules/basics/src/main/java/com/opengamma/strata/basics/StandardSchemes.java
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Original file line number Diff line number Diff line change
Expand Up @@ -135,6 +135,37 @@ public final class StandardSchemes {
* https://ihsmarkit.com/products/red-cds.html
*/
public static final String RED9_SCHEME = "RED9";
/**
* The scheme for OPRA option codes.
* <p>
* These codes have:
* <ul>
* <li>1 to 5 characters for the underlying root symbol
* <li>1 letter representing the month and put/call
* <li>2 digits for the day-of-month
* <li>2 digits for the year
* <li>1 character flag indicating the scale of the strike
* <li>6 digits for the strike
* </ul>
* https://customers.refinitiv.com/wetfetch/index.aspx?CID=27348&doc=OSI_FAQ_18th_Feb_2010.pdf&base=/support/datasupport/option_symbology_change.aspx
*/
public static final String OPRA_SCHEME = "OPRA";
/**
* The scheme for OCC option codes.
* <p>
* These codes have:
* <ul>
* <li>1 to 6 characters for the underlying root symbol
* <li>2 digits for the year
* <li>2 digits for the month
* <li>2 digits for the day-of-month
* <li>1 letter representing put/call
* <li>8 digits for the strike multiplied by 1000
* </ul>
* https://customers.refinitiv.com/wetfetch/index.aspx?CID=27348&doc=OSI_FAQ_18th_Feb_2010.pdf&base=/support/datasupport/option_symbology_change.aspx
* https://ibkr.info/node/972
*/
public static final String OCC_SCHEME = "OCC";

// restricted constructor
private StandardSchemes() {
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2 changes: 2 additions & 0 deletions modules/basics/src/test/java/com/opengamma/strata/basics/StandardSchemesTest.java
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Expand Up @@ -42,6 +42,8 @@ public void test_schemes() {
assertThat(StandardSchemes.LEI_SCHEME).isEqualTo("LEI");
assertThat(StandardSchemes.RED6_SCHEME).isEqualTo("RED6");
assertThat(StandardSchemes.RED9_SCHEME).isEqualTo("RED9");
assertThat(StandardSchemes.OPRA_SCHEME).isEqualTo("OPRA");
assertThat(StandardSchemes.OCC_SCHEME).isEqualTo("OCC");
}

@Test
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