Package com.opengamma.financial.currency

Examples of com.opengamma.financial.currency.CurrencyPair

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      final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
      final FXForwardSecurity security = (FXForwardSecurity) position.getSecurity();
      final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
      final Currency payCurrency = security.getPayCurrency();
      final Currency receiveCurrency = security.getReceiveCurrency();
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency baseCurrency = currencyPair.getBase();
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double exposure = mca.getAmount(currencyNonBase);

      final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), desiredValue.getConstraints());
      if (resultCurrencies == null || resultCurrencies.size() != 1) {
        s_logger.warn("No Currency property - returning result in base currency");
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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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    return new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
  }

  protected String[] getCurveNames(final Currency putCurrency, final String putCurveName, final Currency callCurrency, final String callCurveName,
      final CurrencyPairs baseQuotePairs) {
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    final String fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
    final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      return new String[] {fullPutCurveName, fullCallCurveName };
    }
    return new String[] {fullCallCurveName, fullPutCurveName };
  }
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    final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
    if (spotObject == null) {
      throw new OpenGammaRuntimeException("Could not get spot requirement");
    }
    final double spot = (Double) spotObject;
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
    }
    YieldAndDiscountCurve[] curves;
    final YieldAndDiscountCurve putFundingCurve = getCurveForCurrency(inputs, putCurrency);
    final YieldAndDiscountCurve callFundingCurve = getCurveForCurrency(inputs, callCurrency);
    final Map<String, Currency> curveCurrency = new HashMap<String, Currency>();
    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      ccy1 = putCurrency;
      ccy2 = callCurrency;
      curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve };
      curveCurrency.put(allCurveNames[0], putCurrency);
      curveCurrency.put(allCurveNames[1], callCurrency);
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    final ForexOptionVanilla fxOption = (ForexOptionVanilla) getDerivative(security, allCurveNames, baseQuotePairs, now);
    final MultipleCurrencyAmount pv = CALCULATOR.presentValue(fxOption, smiles);
    ArgumentChecker.isTrue(pv.size() == 1, "result size must be one; have {}", pv.size());
    final CurrencyAmount ca = pv.getCurrencyAmounts()[0];
    final double amount = ca.getAmount();
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    final ValueSpecification spec = getSpecification(target, desiredValue, baseQuotePair);
    return Collections.singleton(new ComputedValue(spec, amount));
  }
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    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
      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();

      final ValueProperties.Builder builder = createValueProperties();
      for (final ValueSpecification inputSpec : inputs.keySet()) {
        for (final String propertyName : inputSpec.getProperties().getProperties()) {
          if (ValuePropertyNames.FUNCTION.equals(propertyName)) {
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      final FXForwardSecurity security = (FXForwardSecurity) position.getSecurity();
      final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
      final Currency payCurrency = security.getPayCurrency();
      final Currency receiveCurrency = security.getReceiveCurrency();
      final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
      final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double exposure = mca.getAmount(currencyNonBase);

      final LocalDateDoubleTimeSeries fxSpotReturnSeries = (LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.RETURN_SERIES);
      final LocalDateDoubleTimeSeries pnlSeries = fxSpotReturnSeries.multiply(position.getQuantity().doubleValue() * exposure); // The P/L time series is in the base currency
      final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), desiredValue.getConstraints());
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      throw new OpenGammaRuntimeException("Could not get base/quote pair data");
    }
    final Currency putCurrency = barrierSec.getPutCurrency();
    final Currency callCurrency = barrierSec.getCallCurrency();
    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 ValueSpecification spec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(target, desiredValue, baseQuotePair).get());
    // 6. Return result
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          .withoutAny(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS)
          .withoutAny(ValuePropertyNames.CURVE_CALCULATION_METHOD)
          .withoutAny(ValuePropertyNames.CALCULATION_METHOD).get();
      final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
      final String resultCurrency;
      final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency tradeBaseCurrency = baseQuotePair.getBase();
      final Currency tradeNonBaseCurrency = baseQuotePair.getCounter();
      final Set<ValueRequirement> requirements = new HashSet<>();
      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(tradeBaseCurrency, ccy)));
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    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
      final Builder builder = createValueProperties();
      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;
      for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
        final ValueSpecification inputSpec = entry.getKey();
        final ValueRequirement inputReq = entry.getValue();
        if (inputReq.getValueName().equals(YIELD_CURVE_RETURN_SERIES) || inputReq.getValueName().equals(FX_FORWARD_CURVE_RETURN_SERIES)) {
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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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