Package com.opengamma.financial.currency

Examples of com.opengamma.financial.currency.CurrencyPairs

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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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    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    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 ValueRequirement desiredValue = desiredValues.iterator().next();
    final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
    final String callCurveName = desiredValue.getConstraint(CALL_CURVE);
    final String deltaName = desiredValue.getConstraint(PROPERTY_OTM_DELTA);
    final String[] allCurveNames = getCurveNames(putCurrency, putCurveName, callCurrency, callCurveName, baseQuotePairs);
    final SmileDeltaTermStructureVannaVolgaDataBundle smiles = getSmiles(putCurrency, callCurrency, allCurveNames, baseQuotePairs, deltaName, inputs);
    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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*/
public class FXForwardPointsMethodCurrencyExposurePnLFunction extends AbstractFunction {

  @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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    if (baseQuotePairsObject == null) {
      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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                                            getUserPortfolioMaster(),
                                            getUserPositionMaster(),
                                            getPortfolioAggregationFunctions().getMappedFunctions());
    CurrencyPairsSource currencyPairsSource = new ConfigDBCurrencyPairsSource(configSource);
    // TODO should be able to configure the currency pairs
    CurrencyPairs currencyPairs = currencyPairsSource.getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    SecurityAttributeMapper blotterColumnMapper = DefaultSecurityAttributeMappings.create(currencyPairs);
    AnalyticsViewManager analyticsViewManager = new AnalyticsViewManager(getViewProcessor(),
                                                                         getParallelViewRecompilation(),
                                                                         aggregatedViewDefManager,
                                                                         getComputationTargetResolver(),
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        final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final String fxForwardCurveName = desiredValue.getConstraint(FORWARD_CURVE_NAME);
        final DoublesCurve forwardPoints = getForwardPoints(inputs, fxForwardCurveName, now);
        final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
        final Pair<Currency, Currency> ccyPair;
        final Currency currency1 = forex.getCurrency1();
        final Currency currency2 = forex.getCurrency2();
        if (currency1.equals(pairs.getCurrencyPair(currency1, currency2).getBase())) {
          ccyPair = Pair.of(currency1, currency2);
        } else {
          ccyPair = Pair.of(currency2, currency1);
        }
        final MultipleCurrencyAmount mca = CALCULATOR.presentValue(forex, data, forwardPoints, ccyPair);
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      final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
      final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final Forex forex = getForex(target, now, timeSeries, definition);
      final FXMatrix fxMatrix = new FXMatrix();
      final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
      final Currency currency1 = forex.getCurrency1();
      final Currency currency2 = forex.getCurrency2();
      if (pairs.getCurrencyPair(currency1, currency2).getBase().equals(currency1)) {
        final double spotRate = (Double) inputs.getValue(new ValueRequirement(ValueRequirementNames.SPOT_RATE,
            CurrencyPair.TYPE.specification(CurrencyPair.of(currency2, currency1))));
        fxMatrix.addCurrency(currency1, currency2, spotRate);
      } else {
        final double spotRate = (Double) inputs.getValue(new ValueRequirement(ValueRequirementNames.SPOT_RATE,
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    curveCurrency.put(fullCallCurveName, callCurrency);
    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;
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      }
    }
    if (currencyPairConfigName == null) {
      return null;
    }
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
    final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
    final String curve, curveCalculationMethod;
    if (payCurrency.getCode().equals(currency)) {
      curve = payCurveName;
      curveCalculationMethod = payCurveCalculationMethod;
    } else {
      curve = receiveCurveName;
      curveCalculationMethod = receiveCurveCalculationMethod;
    }
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(payCurrency, receiveCurrency);
    if (baseQuotePair == null) {
      s_logger.error("Could not get base/quote pair for currency pair (" + payCurrency + ", " + receiveCurrency + ")");
      return null;
    }
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(payCurveName,
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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();
    boolean invertFXQuotes;
    if (baseCurrency.equals(foreignCurrency)) {
      invertFXQuotes = false;
    } else {
      invertFXQuotes = true;
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