Package com.opengamma.financial.currency

Examples of com.opengamma.financial.currency.CurrencyPair

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    }
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      s_logger.error("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
      return null;
    }
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(target,
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    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
      final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyBase = currencyPair.getBase(); // The base currency
      final ValueProperties properties = createValueProperties()
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .withAny(FXOptionBlackFunction.PUT_CURVE)
          .withAny(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG)
          .withAny(FXOptionBlackFunction.CALL_CURVE)
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      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
      final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double delta = mca.getAmount(currencyNonBase);
      DoubleTimeSeries<?> result = getPnLSeries(startDate, now.toLocalDate(), schedule, sampling, timeSeries);
      result = result.multiply(position.getQuantity().doubleValue() * delta);
      final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), desiredValue.getConstraints());
      return Collections.singleton(new ComputedValue(spec, result));
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      final LocalDate startDate = now.toLocalDate().minus(Period.parse(samplingPeriod));
      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double delta = mca.getAmount(currencyNonBase);
      final HistoricalTimeSeries timeSeries = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES);
      DateDoubleTimeSeries<?> result = getPnLSeries(startDate, now.toLocalDate(), schedule, sampling, timeSeries);
      result = result.multiply(position.getQuantity().doubleValue() * delta);
      final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), desiredValue.getConstraints());
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  /* package */ Set<CurrencyPair> readPairs(BufferedReader reader) throws IOException {
    String pairStr;
    Set<CurrencyPair> pairs = new HashSet<CurrencyPair>();
    while ((pairStr = reader.readLine()) != null) {
      try {
        CurrencyPair pair = CurrencyPair.parse(pairStr.trim());
        if (pairs.add(pair)) {
          s_logger.debug("Added currency pair " + pair.getName());
        } else {
          s_logger.debug("Not adding duplicate currency pair " + pair.getName());
        }
      } catch (IllegalArgumentException e) {
        s_logger.warn("Unable to create currency pair from " + pairStr, e);
      }
    }
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    }
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      s_logger.error("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
      return null;
    }
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(target,
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    final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS);
    if (baseQuotePairsObject == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote pair data");
    }
    final CurrencyPairs baseQuotePairs = (CurrencyPairs) baseQuotePairsObject;
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
    }
    final String resultCurrency = getResultCurrency(target, baseQuotePair);
    final String fullCurveName = putCurrencyCurve + "_" + putCurrency.getCode();
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    }
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      s_logger.error("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
      return null;
    }
    final String resultCurrency = getResultCurrency(target, baseQuotePair);
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      }
      final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
      final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
      final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
      final String resultCurrency;
      final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency baseCurrency = baseQuotePair.getBase();
      final Currency nonBaseCurrency = baseQuotePair.getCounter();
      if (resultCurrencies != null && resultCurrencies.size() == 1) {
        final Currency ccy = Currency.of(Iterables.getOnlyElement(resultCurrencies));
        if (!(ccy.equals(payCurrency) || ccy.equals(receiveCurrency))) {
          requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(baseCurrency, ccy)));
          resultCurrency = ccy.getCode();
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        if (ValueRequirementNames.PNL_SERIES.equals(input.getValueName())) {
          return Collections.singleton(input);
        }
      }
      final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(security.getPayCurrency(), security.getReceiveCurrency());
      if (currencyPair == null) {
        return null;
      }
      final Currency currencyBase = currencyPair.getBase();
      String resultCurrency = null;
      final ValueProperties.Builder builder = createValueProperties();
      for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
        final ValueSpecification inputSpec = entry.getKey();
        final ValueRequirement inputReq = entry.getValue();
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Related Classes of com.opengamma.financial.currency.CurrencyPair

  • com.opengamma.financial.analytics.conversion.ForexSecurityConverter
  • com.opengamma.financial.analytics.conversion.FXVanillaOptionConverter
  • com.opengamma.financial.analytics.model.black.BlackDiscountingFXOptionFunction$BlackDiscountingCompiledFunction
  • com.opengamma.financial.analytics.model.curve.forward.FXForwardCurveFromYieldCurvesFunction$Compiled
  • com.opengamma.financial.analytics.model.forex.ConventionBasedFXRateFunction$Compiled
  • com.opengamma.financial.analytics.model.forex.forward.FXForwardFunction
  • com.opengamma.financial.analytics.model.forex.forward.FXForwardYCNSFunction
  • com.opengamma.financial.analytics.model.forex.FXUtils
  • com.opengamma.financial.analytics.model.forex.option.black.FXOneLookBarrierOptionBlackFunction
  • com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction
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