Classes Files

Options/MamdaOptionExpirationDateSet.cs

Namespaces

Name
Wombat
System::Text

Classes

  Name
class Wombat::MamdaOptionExpirationDateSet
A class that represents a set of expiration dates, each of which contains a set of strike prices (MamdaOptionStrikeSet), each of which contains a set of option contracts (MamdaOptionContractSet), each of which contains exchange-specific contracts. To access a set of strike prices for a given expiration date, use the get method (inherited from TreeMap).

Source code

/* $Id$
 *
 * OpenMAMA: The open middleware agnostic messaging API
 * Copyright (C) 2011 NYSE Technologies, Inc.
 *
 * This library is free software; you can redistribute it and/or
 * modify it under the terms of the GNU Lesser General Public
 * License as published by the Free Software Foundation; either
 * version 2.1 of the License, or (at your option) any later version.
 *
 * This library is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
 * Lesser General Public License for more details.
 *
 * You should have received a copy of the GNU Lesser General Public
 * License along with this library; if not, write to the Free Software
 * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
 * 02110-1301 USA
 */

using System;
using System.Text;
using Wombat.Containers;

namespace Wombat
{
    public class MamdaOptionExpirationDateSet : TreeMap
    {
        public MamdaOptionExpirationDateSet()
        {
        }

        public MamdaOptionExpirationDateSet(MamdaOptionExpirationDateSet  copy)
        {
            copyStrikes(copy);
        }

        protected MamdaOptionExpirationDateSet(SortedMap map)
        {
            copyStrikes(map);
        }

        public MamdaOptionExpirationDateSet getExpirationsBefore(DateTime date)
        {
            SortedMap result = headMap(date.Date);
            return new MamdaOptionExpirationDateSet(result);
        }

        public MamdaOptionExpirationDateSet getExpirations(int numExpirations)
        {
            Iterator keyIter = keySet().iterator();
            DateTime date = DateTime.MinValue;
            while (keyIter.hasNext() && (numExpirations >= 0))
            {
                date = (DateTime)keyIter.next();
                --numExpirations;
            }
            if ((numExpirations == -1) && (date != DateTime.MinValue))
            {
                return getExpirationsBefore(date);
            }
            else
            {
                return new MamdaOptionExpirationDateSet(this);
            }
        }

        public String toString()
        {
            Set entries = entrySet();
            Iterator entryIter = entries.iterator();
            StringBuilder result = new StringBuilder();
            while (entryIter.hasNext())
            {
                MapEntry entry = (MapEntry)entryIter.next();
                DateTime expireDate = (DateTime)entry.getKey();
                MamdaOptionExpirationStrikes strikes = (MamdaOptionExpirationStrikes)entry.getValue();
                result.AppendFormat("\n {0}={1}", mDateFormat.Format(expireDate), strikes);
            }
            return result.ToString();
        }

        public override string ToString()
        {
            return toString();
        }

        private void copyStrikes(SortedMap copy)
        {
            // Shallow copy is not good enough.  We want a copy that deep
            // copies the MamdaOptionExpirationStrikes, but not the
            // contents of those strike sets.
            DateTime today = DateTime.Today;
            Set entries = copy.entrySet();
            Iterator entryIter = entries.iterator();
            while (entryIter.hasNext())
            {
                MapEntry entry = (MapEntry)entryIter.next();
                DateTime expireDate = (DateTime)entry.getKey();
                //  Need to uncomment the following when we have a newer playback file
                //  to properly test with!
                //          if (expireDate > today)
                {
                    MamdaOptionExpirationStrikes strikes = (MamdaOptionExpirationStrikes)entry.getValue();
                    put(expireDate, new MamdaOptionExpirationStrikes(strikes));
                }
            }
        }

        private static SimpleDateFormat mDateFormat = new SimpleDateFormat("MMMyy");
    }
}

Updated on 2023-03-31 at 15:30:18 +0100