Package com.opengamma.financial.currency

Examples of com.opengamma.financial.currency.CurrencyPair

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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 Integer daysFwdOrBackward;
    if (daysForward.equalsIgnoreCase("-1")) {
      daysFwdOrBackward = -1;
    } else if (daysForward.equalsIgnoreCase("+1") || daysForward.equalsIgnoreCase("1")) {
      daysFwdOrBackward = 1;
    } else {
      throw new OpenGammaRuntimeException("Property 'DaysForward' must be set to either 1 or -1.");
    }
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final String fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
    final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
    final YieldAndDiscountCurve putFundingCurve = FXOptionFunctionUtils.getCurveForCurrency(inputs, putCurrency, putCurveName, putCurveConfig);
    final YieldAndDiscountCurve callFundingCurve = FXOptionFunctionUtils.getCurveForCurrency(inputs, callCurrency, callCurveName, callCurveConfig);
    final YieldAndDiscountCurve[] curves;
    final Map<String, Currency> curveCurrency = new HashMap<>();
    curveCurrency.put(fullPutCurveName, putCurrency);
    curveCurrency.put(fullCallCurveName, callCurrency);
    final String[] allCurveNames;
    final Currency ccy1;
    final Currency ccy2;
    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      ccy1 = putCurrency;
      ccy2 = callCurrency;
      curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve};
      allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
    } else {
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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[] allCurveNames;
    final Currency ccy1;
    final Currency ccy2;
    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      ccy1 = putCurrency;
      ccy2 = callCurrency;
      curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve};
      allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
    } else {
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    super(valueRequirementName);
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
    final CurrencyPair baseQuotePair = getBaseQuotePair(context, target, inputs);
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(target, baseQuotePair));
    return Collections.singleton(resultSpec);
  }
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    assert currencyPairConfigName != null;
    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) {
      throw new OpenGammaRuntimeException("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
    }
    return baseQuotePair;
  }
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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 fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
    final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
    final YieldAndDiscountCurve putFundingCurve = FXOptionFunctionUtils.getCurveForCurrency(inputs, putCurrency, putCurveName, putCurveConfig);
    final YieldAndDiscountCurve callFundingCurve = FXOptionFunctionUtils.getCurveForCurrency(inputs, callCurrency, callCurveName, callCurveConfig);
    final YieldAndDiscountCurve[] curves;
    final Map<String, Currency> curveCurrency = new HashMap<>();
    curveCurrency.put(fullPutCurveName, putCurrency);
    curveCurrency.put(fullCallCurveName, callCurrency);
    final String[] allCurveNames;
    final Currency ccy1;
    final Currency ccy2;
    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      ccy1 = putCurrency;
      ccy2 = callCurrency;
      curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve};
      allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
    } else {
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    }
    final PDEFullResults1D pdeGrid = (PDEFullResults1D) pdeGridObject;
    final double[] gridTimes = pdeGrid.getGrid().getTimeNodes();
    final double[] gridMoneyness = pdeGrid.getGrid().getSpaceNodes();
    final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(fxOption.getPutCurrency(), fxOption.getCallCurrency());
    //TODO interpolate
    ///////////////////////////////
    final double tau = getExpiry(fxOption, now);
    final UnorderedCurrencyPair currencies = UnorderedCurrencyPair.of(fxOption.getCallCurrency(), fxOption.getPutCurrency());
    final ValueRequirement forwardCurveRequirement = getForwardCurveRequirement(forwardCurveCalculationMethod, forwardCurveName, currencies);
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    final Object gridGreeksObject = inputs.getValue(gridGreekRequirement);
    if (gridGreeksObject == null) {
      throw new OpenGammaRuntimeException("Grid greeks were null");
    }
    final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(fxOption.getPutCurrency(), fxOption.getCallCurrency());
    final double strike = getStrike(fxOption, currencyPair);
    final PDEResultCollection gridGreeks = (PDEResultCollection) gridGreeksObject;
    final ComputationTargetSpecification spec = target.toSpecification();
    final Set<ComputedValue> result = new HashSet<ComputedValue>();
    for (final ValueRequirement value : desiredValues) {
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    final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
    final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());

//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
    final CurrencyPairs currencyPairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
    final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
    final double scale;
    if (payCurrency.equals(currencyPair.getBase())) {
      scale = 1;
    } else {
      scale = -1;
    }
//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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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[] allCurveNames;
    final Currency ccy1;
    final Currency ccy2;
    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      ccy1 = putCurrency;
      ccy2 = callCurrency;
      curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve};
      allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
    } else {
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    final FXForwardSecurity security = (FXForwardSecurity) position.getSecurity();
    final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(FX_CURRENCY_EXPOSURE);
    final Currency payCurrency = security.getPayCurrency();
    final Currency receiveCurrency = security.getReceiveCurrency();
    final CurrencyPairs currencyPairs = (CurrencyPairs) inputs.getValue(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(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());
    return Collections.singleton(new ComputedValue(spec, pnlSeries));
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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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