Package com.opengamma.financial.currency

Examples of com.opengamma.financial.currency.CurrencyPairs

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    curveCurrency.put(fullReceiveCurveName, receiveCurrency);
    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 YieldAndDiscountCurve[] curves;
    final String[] allCurveNames;
    curves = new YieldAndDiscountCurve[] {payCurve, receiveCurve };
    allCurveNames = new String[] {fullPayCurveName, fullReceiveCurveName };
    // Implementation note: The ForexSecurityConverter create the Forex with currency order pay/receive. The curve are passed in the same order.
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      }
    }
    if (currencyPairConfigName == null || payCurveName == null || receiveCurveName == 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 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(target,
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    final String[] allCurveNames;
    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(payCurrency, receiveCurrency);
    if (baseQuotePair == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote pair for currency pair (" + payCurrency + ", " + receiveCurrency + ")");
    }
    if (baseQuotePair.getBase().equals(payCurrency)) { // To get Base/quote in market standard order.
      curves = new YieldAndDiscountCurve[] {payFundingCurve, receiveFundingCurve};
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          receiveCurveCalculationConfig = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
        }
      }
    }
    assert currencyPairConfigName != 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 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(target,
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    final Currency ccy2;
    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 + ")");
    }
    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      ccy1 = putCurrency;
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    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    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")) {
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          final Forex forex, final FXMatrix fxMatrix, final ZonedDateTime now) {
        final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        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 double[] sensitivities = CALCULATOR.presentValueForwardPointsSensitivity(forex, data, forwardPoints, ccyPair);
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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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        currencyPairConfigName = key.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
        break;
      }
    }
    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 String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    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();
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