Package com.opengamma.financial.analytics.model.riskfactor.option

Examples of com.opengamma.financial.analytics.model.riskfactor.option.UnderlyingTimeSeriesProvider$UnderlyingFinancialSecurityVisitor


    if (returnCalculatorName == null || returnCalculatorName.isEmpty() || returnCalculatorName.size() != 1) {
      return null;
    }
    final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
    requirements.add(new ValueRequirement(REQUIREMENT_NAME, target.toSpecification()));
    final UnderlyingTimeSeriesProvider timeSeriesProvider = new UnderlyingTimeSeriesProvider(OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context), _resolutionKey,
        context.getSecuritySource());
    requirements.add(timeSeriesProvider.getSeriesRequirement(GREEK, (FinancialSecurity) target.getPosition().getSecurity(), DateConstraint.VALUATION_TIME.minus(samplingPeriodName.iterator().next()),
        DateConstraint.VALUATION_TIME));
    return requirements;
  }
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    return ComputationTargetType.SECURITY;
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final UnderlyingTimeSeriesProvider underlyingTimeSeriesProvider = new UnderlyingTimeSeriesProvider(OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context), _resolutionKey,
        context.getSecuritySource());
    return Collections.singleton(underlyingTimeSeriesProvider.getSeriesRequirement(AvailableGreeks.getGreekForValueRequirementName(VALUE_REQUIREMENT_NAME), (FinancialSecurity) target.getSecurity()));
  }
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