Package com.opengamma.financial.currency

Examples of com.opengamma.financial.currency.CurrencyPairs

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  private static final Calendar WEEKEND_CALENDAR = new MondayToFridayCalendar("Weekend");
  private static final TimeSeriesDifferenceOperator DIFFERENCE = new TimeSeriesDifferenceOperator();

  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final CurrencyPairs currencyPairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    return new Compiled(currencyPairs);
  }
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    ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
  }

  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final CurrencyPairs currencyPairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    return new Compiled(currencyPairs);
  }
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    DoubleTimeSeries<?> fxSeries = null;
    boolean isInverse = true;
    if (!desiredCurrency.equals(currencyString)) {
      if (inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES) != null) {
        final Map<UnorderedCurrencyPair, DoubleTimeSeries<?>> allFXSeries = (Map<UnorderedCurrencyPair, DoubleTimeSeries<?>>) inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES);
        final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
        if (desiredCurrency.equals(currencyPairs.getCurrencyPair(Currency.of(desiredCurrency), currency).getCounter().getCode())) {
          isInverse = false;
        }
        if (allFXSeries.size() != 1) {
          throw new OpenGammaRuntimeException("Have more than one FX series; should not happen");
        }
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      }
    }
    if (putCurveName == null || callCurveName == null || currencyPairConfigName == null || curveCurrency == null) {
      return 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) {
      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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   * If there is an existing {@link CurrencyPairs} in the master with the same name then it is updated.
   *
   * @param pairs  the pairs to save
   */
  private void savePairs(Set<CurrencyPair> pairs) {
    CurrencyPairs currencyPairs = CurrencyPairs.of(pairs);
    ConfigItem<CurrencyPairs> configDocument = ConfigItem.of(currencyPairs, _configName, CurrencyPairs.class);   
    ConfigMasterUtils.storeByName(_configMaster, configDocument);
  }
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    final String putCurrencyCurve = desiredValue.getConstraint(FXOptionBlackFunction.PUT_CURVE);
    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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      if (specification.getValueName().equals(ValueRequirementNames.CURRENCY_PAIRS)) {
        currencyPairConfigName = specification.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
        break;
      }
    }
    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 ValueRequirement desiredValue = desiredValues.iterator().next();
      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
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  /** The logger */
  private static final Logger s_logger = LoggerFactory.getLogger(FXForwardCurrencyExposurePnLFunction.class);

  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final CurrencyPairs currencyPairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    return new Compiled(currencyPairs);
  }
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    final String leftExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
    final String rightExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBFXForwardCurveDefinitionSource fxCurveDefinitionSource = new ConfigDBFXForwardCurveDefinitionSource(configSource);
    final ConfigDBFXForwardCurveSpecificationSource fxCurveSpecificationSource = new ConfigDBFXForwardCurveSpecificationSource(configSource);
    final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final Currency baseCurrency = currencyPairs.getCurrencyPair(domesticCurrency, foreignCurrency).getBase();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    boolean invertFXQuotes;
    if (baseCurrency.equals(foreignCurrency)) {
      invertFXQuotes = false;
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