Package com.opengamma.core.security

Examples of com.opengamma.core.security.SecuritySource

131
132
133
134
135
136
137
138
139
140
141
        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) {
View Full Code Here
83
84
85
86
87
88
89
90
91
92
93
  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    final OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final CreditDefaultSwapOptionSecurityConverter converter = new CreditDefaultSwapOptionSecurityConverter(securitySource, holidaySource, regionSource, organizationSource);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
View Full Code Here
178
179
180
181
182
183
184
185
186
187
188
    }
    //    final Set<String> volatilitySurfaceNames = constraints.getValues(SURFACE);
    //    if (volatilitySurfaceNames == null || volatilitySurfaceNames.size() != 1) {
    //      return null;
    //    }
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(securitySource);
    final CreditDefaultSwapOptionSecurity security = (CreditDefaultSwapOptionSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
    //TODO need to handle surface data as well
    final ComputationTargetSpecification currencyTarget = ComputationTargetSpecification.of(FinancialSecurityUtils.getCurrency(target.getSecurity()));
View Full Code Here
90
91
92
93
94
95
96
97
98
99
100
101
102
103
    final Set<String> forwardCurveCalculationMethods = constraints.getValues(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD);
    if (forwardCurveCalculationMethods == null || forwardCurveCalculationMethods.size() != 1) {
      return null;
    }
    final ExternalIdBundle underlyingFutureId = ExternalIdBundle.of(security.getUnderlyingId());
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
   
    final ExternalId underlyingIndexId;
    Security underlyingFuture = securitySource.getSingle(underlyingFutureId);
    if (underlyingFuture == null) {
      throw new OpenGammaRuntimeException("The underlying (" + underlyingFutureId.toString() + ") of EquityIndexFutureOption (" + security.getName() +
          ") was not found in security source. Please try to reload.");
    } else if (underlyingFuture instanceof EquityFutureSecurity) {
      underlyingIndexId = ((EquityFutureSecurity) underlyingFuture).getUnderlyingId();
View Full Code Here
80
81
82
83
84
85
86
87
88
89
90
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    final OrganizationSource organizationSource = OpenGammaExecutionContext.getOrganizationSource(executionContext);
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final CreditDefaultSwapSecurityConverter converter = new CreditDefaultSwapSecurityConverter(holidaySource, regionSource, organizationSource);
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final CreditDefaultSwapSecurity security = (CreditDefaultSwapSecurity) target.getSecurity();
    final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, FinancialSecurityUtils.getCurrency(security));
    LegacyVanillaCreditDefaultSwapDefinition cds = (LegacyVanillaCreditDefaultSwapDefinition) security.accept(converter);
View Full Code Here
189
190
191
192
193
194
195
196
197
198
199
      if (creditSpreadCurveShiftTypes == null || creditSpreadCurveShiftTypes.size() != 1) {
        return null;
      }
      spreadCurveProperties.with(PROPERTY_SPREAD_CURVE_SHIFT, spreadCurveShift).with(PROPERTY_SPREAD_CURVE_SHIFT_TYPE, creditSpreadCurveShiftTypes);
    }
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final CdsRecoveryRateIdentifier recoveryRateIdentifier = security.accept(new CreditSecurityToRecoveryRateVisitor(securitySource));
    final ValueRequirement recoveryRateRequirement = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId());
    final ValueRequirement creditSpreadCurveRequirement = new ValueRequirement(ValueRequirementNames.CREDIT_SPREAD_CURVE, ComputationTargetSpecification.NULL, spreadCurveProperties.get());
    return Sets.newHashSet(yieldCurveRequirement, creditSpreadCurveRequirement, recoveryRateRequirement);
  }
View Full Code Here
65
66
67
68
69
70
71
72
73
74
75
  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    // TODO [PLAT-2286] If the target type is security then the resolver will do half the work that EquitySecurityUtils.getCurrency is doing
    // and it will just need to apply the currency lookup visitor to the resolved security object
    final UniqueId id = target.getUniqueId();
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final String currency = EquitySecurityUtils.getCurrency(securitySource, id);
    if (currency == null) {
      return false;
    }
    return _perCurrencyConfig.containsKey(currency);
View Full Code Here
90
91
92
93
94
95
96
97
98
99
100
      final String propertyName) {
    //TODO put back in when calculation method property is added to EquityOptionVolatilitySurfaceDataFunction
//    if (!ForwardCurveValuePropertyNames.PROPERTY_YIELD_CURVE_IMPLIED_METHOD.equals(desiredValue.getConstraint(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD))) {
//      return null;
//    }
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final String currency = EquitySecurityUtils.getCurrency(securitySource, target.getUniqueId());
    if (currency == null) {
      s_logger.error("Could not get currency for {}; should never happen", target.getUniqueId());
      return null;
    }
View Full Code Here
86
87
88
89
90
91
92
93
94
95
96
  @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 HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    _converter = new InterestRateFutureOptionTradeConverterDeprecated(
        new InterestRateFutureOptionSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, securitySource));
    _dataConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
    ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
View Full Code Here
79
80
81
82
83
84
85
86
87
88
89
    return currencyPairsSource.getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
  }

  @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 FXVanillaOptionConverter fxOptionConverter = new FXVanillaOptionConverter(getCurrencyPairs(context));
View Full Code Here
TOP

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
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.