Package com.opengamma.financial.analytics.volatility.surface

Examples of com.opengamma.financial.analytics.volatility.surface.ConfigDBVolatilitySurfaceSpecificationSource

42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
public class VolatilitySurfaceSpecificationFunction extends AbstractFunction {

  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext outerContext, final Instant atInstant) {
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(outerContext);
    final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
    return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT).toInstant(), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000).toInstant()) {

      @Override
      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
          final Set<ValueRequirement> desiredValues) {
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
        final String instrumentType = desiredValue.getConstraint(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE);
        VolatilitySurfaceSpecification specification = null;
        if (instrumentType.equals(InstrumentTypeProperties.FOREX)) {
          final UnorderedCurrencyPair pair = UnorderedCurrencyPair.of(target.getUniqueId());
          String name = pair.getFirstCurrency().getCode() + pair.getSecondCurrency().getCode();
          String fullSpecificationName = surfaceName + "_" + name;
          specification = source.getSpecification(fullSpecificationName, instrumentType);
          if (specification == null) {
            name = pair.getSecondCurrency().getCode() + pair.getFirstCurrency().getCode();
            fullSpecificationName = surfaceName + "_" + name;
            specification = source.getSpecification(fullSpecificationName, instrumentType);
            if (specification == null) {
              throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName);
            }
          }
        } else if (instrumentType.equals(InstrumentTypeProperties.EQUITY_OPTION) || instrumentType.equals(InstrumentTypeProperties.EQUITY_FUTURE_OPTION)) {
          final String fullSpecificationName = surfaceName + "_" + EquitySecurityUtils.getTrimmedTarget(UniqueId.parse(target.getValue().toString()));
          specification = source.getSpecification(fullSpecificationName, instrumentType);
          if (specification == null) {
            throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName + " for instrument type " + instrumentType);
          }
        } else {
          final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
          specification = source.getSpecification(fullSpecificationName, instrumentType);
          if (specification == null) {
            throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName + " for instrument type " + instrumentType);
          }
        }
        @SuppressWarnings("synthetic-access")
View Full Code Here
228
229
230
231
232
233
234
235
236
237
238
      final LocalDate now = ZonedDateTime.now(snapshotClock).toLocalDate();
      final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
      final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
      final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
      final ConfigDBVolatilitySurfaceDefinitionSource definitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
      final ConfigDBVolatilitySurfaceSpecificationSource specificationSource = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
      final Position position = target.getPosition();
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(putCurrency, callCurrency);
View Full Code Here
96
97
98
99
100
101
102
103
104
105
106
107
    final ConfigDBVolatilitySurfaceDefinitionSource volSurfaceDefinitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
    _definition = volSurfaceDefinitionSource.getDefinition(_definitionName, _instrumentType);
    if (_definition == null) {
      throw new OpenGammaRuntimeException("Couldn't find Equity Option Volatility Surface Definition " + _definitionName);
    }
    final ConfigDBVolatilitySurfaceSpecificationSource volatilitySurfaceSpecificationSource = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    _specification = volatilitySurfaceSpecificationSource.getSpecification(_specificationName, _instrumentType);
    if (_specification == null) {
      throw new OpenGammaRuntimeException("Couldn't find Equity Option Volatility Surface Specification " + _specificationName);
    }
    _result = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, ComputationTargetSpecification.of(_definition.getTarget().getUniqueId()),
        createValueProperties().with(ValuePropertyNames.SURFACE, _definitionName)
View Full Code Here
52
53
54
55
56
57
58
59
60
61
62
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBVolatilitySurfaceDefinitionSource definitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
    final ConfigDBVolatilitySurfaceSpecificationSource specificationSource = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String dataField = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
    final String resolutionKey;
    final Set<String> resolutionKeyConstraint = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY);
    if (resolutionKeyConstraint == null || resolutionKeyConstraint.size() != 1) {
View Full Code Here
TOP

Related Classes of com.opengamma.financial.analytics.volatility.surface.ConfigDBVolatilitySurfaceSpecificationSource

  • com.opengamma.examples.simulated.function.ExampleEquityOptionVolatilitySurfaceDataFunction
  • com.opengamma.financial.analytics.model.pnl.FXOptionBlackVegaPnLFunction$Compiled
  • com.opengamma.financial.analytics.timeseries.VolatilitySurfaceHistoricalTimeSeriesFunction
  • com.opengamma.financial.analytics.volatility.VolatilitySurfaceSpecificationFunction
    • 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.