Package com.opengamma.core.security

Examples of com.opengamma.core.security.SecuritySource

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        final ValueProperties curveProperties = ValueProperties
            .with(CURVE, curveNames)
            .get();
        final Set<ValueRequirement> requirements = new HashSet<>();
        final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
        final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
        requirements.add(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, curveProperties));
        requirements.add(new ValueRequirement(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties));
        requirements.addAll(getFXRequirements(security, securitySource));
        final Set<ValueRequirement> tsRequirements = getTimeSeriesRequirements(context, target);
        if (tsRequirements == null) {
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String fullCurveName = curveName + "_" + currency.getCode();
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  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    _tradeConverter = new FutureTradeConverterDeprecated(securitySource, holidaySource, conventionSource, regionSource);
  }
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    super(valueRequirements);
  }

  @Override
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
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     */
    protected abstract String getCalculationMethod();

    protected SABRSwaptionProvider getSABRSurfaces(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
        final FXMatrix fxMatrix, final DayCount dayCount) {
      final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
      final SwaptionSecurity security = (SwaptionSecurity) target.getTrade().getSecurity();
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) inputs.getValue(SABR_SURFACES);
      final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
      final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
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  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFutureSecurityConverter bondFutureConverter = new BondFutureSecurityConverter(securitySource, bondConverter);
    final FutureSecurityConverterDeprecated futureSecurityConverter = new FutureSecurityConverterDeprecated(irFutureConverter, bondFutureConverter);
    _converter = new EquityOptionsConverter(futureSecurityConverter, securitySource);
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    final ValueProperties additionalConstraints = (additionalConstraintsBuilder != null) ? additionalConstraintsBuilder.get() : ValueProperties.none();

    // Get security and its underlying's ExternalId.
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final HistoricalTimeSeriesSource tsSource = OpenGammaCompilationContext.getHistoricalTimeSeriesSource(context); // TODO: Do we still require tsSource? Was used to access id bundles
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final ExternalId underlyingId = getWeakUnderlyingId(FinancialSecurityUtils.getUnderlyingId(security), tsSource, securitySource, surfaceName);
    if (underlyingId == null) {
      return null;
    }
    // Discounting curve
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        final ValueProperties curveProperties = ValueProperties
            .with(CURVE, curveNames)
            .get();
        final Set<ValueRequirement> requirements = new HashSet<>();
        final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
        final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
        requirements.add(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, curveProperties));
        requirements.add(new ValueRequirement(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties));
        requirements.addAll(getFXRequirements(security, securitySource));
        final Set<ValueRequirement> tsRequirements = getTimeSeriesRequirements(context, target);
        if (tsRequirements == null) {
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        final ValueProperties curveProperties = ValueProperties
            .with(CURVE, curveNames)
            .get();
        final Set<ValueRequirement> requirements = new HashSet<>();
        final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
        final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
        requirements.add(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, curveProperties));
        requirements.add(new ValueRequirement(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties));
        requirements.addAll(getFXRequirements(security, securitySource));
        final Set<ValueRequirement> tsRequirements = getTimeSeriesRequirements(context, target);
        if (tsRequirements == null) {
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        final ValueProperties curveProperties = ValueProperties
            .with(CURVE, curveNames)
            .get();
        final Set<ValueRequirement> requirements = new HashSet<>();
        final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
        final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
        requirements.add(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, curveProperties));
        requirements.add(new ValueRequirement(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties));
        requirements.addAll(getFXRequirements(security, securitySource));
        final Set<ValueRequirement> tsRequirements = getTimeSeriesRequirements(context, target);
        if (tsRequirements == null) {
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Related Classes of com.opengamma.core.security.SecuritySource

  • com.opengamma.component.factory.source.SecuritySourceComponentFactory
  • com.opengamma.core.security.impl.CoalescingSecuritySourceTest
  • com.opengamma.engine.DefaultComputationTargetResolverTest
  • com.opengamma.engine.test.ViewProcessorTestEnvironment
  • com.opengamma.engine.view.compilation.ViewDefinitionCompilerTest
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.curve.exposure.UnderlyingExposureFunctionTest
  • com.opengamma.financial.analytics.model.black.BlackDiscountingCapFloorFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingFXOptionFunction
  • com.opengamma.financial.analytics.model.black.BlackDiscountingIRFutureOptionFunction
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