Package com.opengamma.financial.security.fx

Examples of com.opengamma.financial.security.fx.FXForwardSecurity

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    assertEquals(ExternalId.of(SCHEME, "FX_DIGITAL_OPTION"), ids.get(0));
  }

  @Test
  public void testFXForwardSecurity() {
    final FXForwardSecurity security = ExposureFunctionTestHelper.getFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "FX_FORWARD"), ids.get(0));
  }
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    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "FX_DIGITAL_OPTION_USD"), ExternalId.of(SCHEME, "FX_DIGITAL_OPTION_EUR"))));
  }

  @Test
  public void testFXForwardSecurity() {
    final FXForwardSecurity security = ExposureFunctionTestHelper.getFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "FX_FORWARD_USD"), ExternalId.of(SCHEME, "FX_FORWARD_EUR"))));
  }
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    assertNull(ids);
  }

  @Test
  public void testFXForwardSecurity() {
    final FXForwardSecurity security = ExposureFunctionTestHelper.getFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "USD"), ExternalId.of(SCHEME, "EUR"))));
  }

  @Test
  public void testFXForwardSecurity() {
    final FXForwardSecurity security = ExposureFunctionTestHelper.getFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(2, ids.size());
    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "USD"), ExternalId.of(SCHEME, "EUR"))));
  }
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    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "321"));
    return security;
  }

  public static FXForwardSecurity getFXForwardSecurity() {
    final FXForwardSecurity security = new FXForwardSecurity(EUR, 10000, USD, 12000, DateUtils.getUTCDate(2014, 1, 1), DE);
    security.setUniqueId(UniqueId.of(UniqueId.EXTERNAL_SCHEME.getName(), "9385"));
    return security;
  }
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    ManageableSecurity security = nonDeliverable ?
        // todo - expiry should be used in construction of NonDeliverableFXForwardSecurity
        new NonDeliverableFXForwardSecurity(payCurrency, payAmount, receiveCurrency, receiveAmount, forwardDate,
                                            region, trade.getSettlementCurrency().equals(trade.getReceiveCurrency())) :
        new FXForwardSecurity(payCurrency, payAmount, receiveCurrency, receiveAmount, forwardDate, region);

    return securityArray(addIdentifier(security));
  }
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      return Sets.newHashSet(new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), ValueProperties.all().withoutAny(ValuePropertyNames.CURVE_CURRENCY)));
    }

    @Override
    public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
      final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
      final ValueProperties constraints = desiredValue.getConstraints();
      final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
      final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
      final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
      String resultCurrency;
      if (resultCurrencies == null || resultCurrencies.size() != 1) {
        final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
        final Currency baseCurrency = baseQuotePair.getBase();
        resultCurrency = baseCurrency.getCode();
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    final double payAmount = 0;
    final Currency receiveCurrency = differentCurrency(payCurrency);
    final double receiveAmount = 0;
    final ZonedDateTime forwardDate = ZonedDateTime.now().plusMonths(7);
    final ExternalId region = region();
    final FXForwardSecurity security = new FXForwardSecurity(payCurrency, payAmount, receiveCurrency, receiveAmount, forwardDate, region);
    store(security);
    return security;
  }
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    assertNull(ids);
  }

  @Test
  public void testFXForwardSecurity() {
    final FXForwardSecurity security = ExposureFunctionTestHelper.getFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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      return ImmutableSet.of(fxCurrencyExposureRequirement, fxSpotReturnSeriesRequirement);
    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
      final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(security.getPayCurrency(), security.getReceiveCurrency());
      if (currencyPair == null) {
        return null;
      }
      final Currency currencyBase = currencyPair.getBase();
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Related Classes of com.opengamma.financial.security.fx.FXForwardSecurity

  • com.opengamma.examples.bloomberg.loader.ExampleFxForwardPortfolioLoader
  • com.opengamma.examples.simulated.generator.FxForwardPortfolioGeneratorTool
  • com.opengamma.examples.simulated.loader.ExampleMultiAssetPortfolioLoader
  • com.opengamma.financial.analytics.curve.exposure.ContractCategoryExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.CurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.ExposureFunctionTestHelper
  • com.opengamma.financial.analytics.curve.exposure.RegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndCurrencyExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndRegionExposureFunctionTest
  • com.opengamma.financial.analytics.curve.exposure.SecurityAndSettlementExchangeExposureFunctionTest
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