Package com.opengamma.financial.security

Examples of com.opengamma.financial.security.FinancialSecurity

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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    // 1. Build the analytic derivative to be priced
    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ExternalId underlyingId = FinancialSecurityUtils.getUnderlyingId(security);
    final InstrumentDefinition<?> defn = security.accept(_converter);
    final InstrumentDerivative derivative = defn.toDerivative(now);
    if (derivative.accept(LastTimeCalculator.getInstance()) < 0.0) {
      throw new OpenGammaRuntimeException("Equity option has already settled; " + security.toString());
    }

    // 2. Build up the market data bundle
    final StaticReplicationDataBundle market = buildMarketBundle(underlyingId, executionContext, inputs, target, desiredValues);
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      return null;
    }
    final ValueProperties additionalConstraints = (additionalConstraintsBuilder != null) ? additionalConstraintsBuilder.get() : ValueProperties.none();

    // Get security and its underlying's ExternalId.
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ExternalId underlyingId = FinancialSecurityUtils.getUnderlyingId(security);
    if (underlyingId == null) {
      return null;
    }
    // Discounting curve
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  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    //TODO won't need to call into database again when calculation configurations are a requirement
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final String payCurveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
    final MultiCurveCalculationConfig payCurveCalculationConfig = curveCalculationConfigSource.getConfig(payCurveCalculationConfigName);
    if (payCurveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + payCurveCalculationConfigName);
    }
    final String receiveCurveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
    final MultiCurveCalculationConfig receiveCurveCalculationConfig = curveCalculationConfigSource.getConfig(receiveCurveCalculationConfigName);
    if (receiveCurveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + receiveCurveCalculationConfigName);
    }
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    //    final InstrumentDerivative derivative = _definitionConverter.convert(security, definition, now, _valueRequirements, timeSeries);
    final String[] payCurveNames = payCurveCalculationConfig.getYieldCurveNames();
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    return FinancialSecurityTypes.SWAP_SECURITY;
  }

  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    try {
      final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity(security);
      if (type == InterestRateInstrumentType.SWAP_CROSS_CURRENCY) {
        return true;
      }
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    final MultiCurveCalculationConfig receiveCurveCalculationConfig = curveCalculationConfigSource.getConfig(receiveCurveCalculationConfigName);
    if (receiveCurveCalculationConfig == null) {
      s_logger.info("Could not find curve calculation configuration named " + receiveCurveCalculationConfigName);
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Collection<Currency> currencies = FinancialSecurityUtils.getCurrencies(security, securitySource);
    boolean payCurrencyMatched = false;
    boolean receiveCurrencyMatched = false;
    for (final Currency currency : currencies) {
      final ComputationTargetSpecification targetSpec = ComputationTargetSpecification.of(currency);
      if (targetSpec.equals(payCurveCalculationConfig.getTarget())) {
        payCurrencyMatched = true;
      } else if (targetSpec.equals(receiveCurveCalculationConfig.getTarget())) {
        receiveCurrencyMatched = true;
      }
    }
    if (!payCurrencyMatched) {
      s_logger.info("Pay currency calculation config target {} was not found in {}", payCurveCalculationConfig.getTarget().getUniqueId().getValue(), currencies);
      return null;
    }
    if (!receiveCurrencyMatched) {
      s_logger.info("Receive currency calculation config target {} was not found in {}", receiveCurveCalculationConfig.getTarget().getUniqueId().getValue(), currencies);
      return null;
    }
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(payCurveCalculationConfig, curveCalculationConfigSource));
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(receiveCurveCalculationConfig, curveCalculationConfigSource));
    try {
      final Set<ValueRequirement> timeSeriesRequirements = _definitionConverter.getConversionTimeSeriesRequirements(security, security.accept(_visitor));
      if (timeSeriesRequirements == null) {
        return null;
      }
      requirements.addAll(timeSeriesRequirements);
      return requirements;
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            .get();
        return Collections.singleton(new ValueRequirement(ValueRequirementNames.PNL_SERIES, target.toSpecification(), newConstraints));
      }
      final Set<ValueRequirement> requirements = new HashSet<>();
      final String calculationMethod = Iterables.getOnlyElement(calculationMethods);
      final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
      if (CalculationPropertyNamesAndValues.DISCOUNTING.equals(calculationMethod)) {
        requirements.add(new ValueRequirement(ValueRequirementNames.FX_CURRENCY_EXPOSURE, ComputationTargetSpecification.of(target.getPosition().getSecurity()),
          ValueProperties.builder()
            .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING)
            .with(ValuePropertyNames.PAY_CURVE, payCurveNames.iterator().next())
            .with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, payCurveCalculationConfigs.iterator().next())
            .with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveNames.iterator().next())
            .with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, receiveCurveCalculationConfigs.iterator().next()).get()));
      } else if (CalculationPropertyNamesAndValues.FORWARD_POINTS.equals(calculationMethod)) {
        final Set<String> forwardCurveNames = constraints.getValues(ValuePropertyNames.FORWARD_CURVE_NAME);
        if (forwardCurveNames == null || forwardCurveNames.size() != 1) {
          return null;
        }
        final String forwardCurveName = Iterables.getOnlyElement(forwardCurveNames);
        requirements.add(new ValueRequirement(ValueRequirementNames.FX_CURRENCY_EXPOSURE, ComputationTargetSpecification.of(target.getPosition().getSecurity()),
          ValueProperties.builder()
            .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS)
            .with(ValuePropertyNames.PAY_CURVE, payCurveNames.iterator().next())
            .with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, payCurveCalculationConfigs.iterator().next())
            .with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveNames.iterator().next())
            .with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, receiveCurveCalculationConfigs.iterator().next())
            .with(ValuePropertyNames.FORWARD_CURVE_NAME, forwardCurveName).get()));
      } else {
        return null;
      }
      final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
      final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
      final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
      final String resultCurrency;
      final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency baseCurrency = baseQuotePair.getBase();
      final Currency nonBaseCurrency = baseQuotePair.getCounter();
      if (resultCurrencies != null && resultCurrencies.size() == 1) {
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    final ValueProperties constraints = desiredValue.getConstraints();
    final Set<String> cdsPriceTypes = constraints.getValues(CreditInstrumentPropertyNamesAndValues.PROPERTY_CDS_PRICE_TYPE);
    if (cdsPriceTypes == null || cdsPriceTypes.size() != 1) {
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(
        context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
    final String yieldCurveCalculationConfig = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
    final String yieldCurveCalculationMethod = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
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  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    final Security security = target.getPosition().getSecurity();
    if (!(security instanceof FXForwardSecurity || security instanceof NonDeliverableFXForwardSecurity)) {
      return false;
    }
    final FinancialSecurity fxSecurity = (FinancialSecurity) security;
    final String payCurrency = fxSecurity.accept(ForexVisitors.getPayCurrencyVisitor()).getCode();
    final String receiveCurrency = fxSecurity.accept(ForexVisitors.getReceiveCurrencyVisitor()).getCode();
    return _currencyCurveConfigAndDiscountingCurveNames.containsKey(payCurrency) && _currencyCurveConfigAndDiscountingCurveNames.containsKey(receiveCurrency);
  }
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    }
    final Set<String> hazardRateCurveCalculationMethodNames = constraints.getValues(PROPERTY_HAZARD_RATE_CURVE_CALCULATION_METHOD);
    if (hazardRateCurveCalculationMethodNames == null || hazardRateCurveCalculationMethodNames.size() != 1) {
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String spreadCurveName = security.accept(new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context))).getUniqueId().getValue();
    //TODO shouldn't need all of the yield curve properties
    final String hazardRateCurveCalculationMethod = Iterables.getOnlyElement(hazardRateCurveCalculationMethodNames);
    final String yieldCurveName = desiredValue.getConstraint(PROPERTY_YIELD_CURVE);
    final String yieldCurveCalculationConfig = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_CONFIG);
    final String yieldCurveCalculationMethod = desiredValue.getConstraint(PROPERTY_YIELD_CURVE_CALCULATION_METHOD);
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    final String surfaceName = Iterables.getOnlyElement(constraints.getValues(SURFACE));
    final String interpolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.X_INTERPOLATOR_NAME));
    final String leftExtrapolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME));
    final String rightExtrapolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME));
    final String currency = Iterables.getOnlyElement(currencies);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final String resultCurrency, resultCurveConfigName;
    if (currency.equals(putCurrency.getCode())) {
      resultCurrency = putCurrency.getCode();
      resultCurveConfigName = putCurveCalculationConfigName;
    } else if (currency.equals(callCurrency.getCode())) {
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