Package com.opengamma.financial.security.fx

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

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    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
      final Position position = target.getPosition();
      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);
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        final ValueSpecification input = Iterables.getOnlyElement(inputs.keySet());
        if (ValueRequirementNames.PNL_SERIES.equals(input.getValueName())) {
          return Collections.singleton(input);
        }
      }
      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();
      String resultCurrency = null;
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    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
      final Position position = target.getPosition();
      final ValueRequirement desiredValue = desiredValues.iterator().next();
      final ValueProperties constraints = desiredValue.getConstraints();
      final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
      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 CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency baseCurrency = currencyPair.getBase();
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double exposure = mca.getAmount(currencyNonBase);
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      if (curveCurrencies == null || curveCurrencies.size() != 1) {
        return null;
      }
      final String payCurveCalculationConfigName = Iterables.getOnlyElement(payCurveCalculationConfigNames);
      final String receiveCurveCalculationConfigName = Iterables.getOnlyElement(receiveCurveCalculationConfigNames);
      final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
      final String payCurveName = Iterables.getOnlyElement(payCurveNames);
      final String receiveCurveName = Iterables.getOnlyElement(receiveCurveNames);
      final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
      final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
      final Currency curveCurrency = Currency.parse(Iterables.getOnlyElement(curveCurrencies));
      final String curveName;
      final String curveCalculationConfigName;
      if (curveCurrency.equals(payCurrency)) {
        curveName = payCurveName;
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    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
      final Builder builder = createValueProperties();
      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();
      String resultCurrency = null;
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        final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
      final Position position = target.getPosition();
      final ValueRequirement desiredValue = desiredValues.iterator().next();
      final ValueProperties constraints = desiredValue.getConstraints();
      final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
      final FXForwardSecurity security = (FXForwardSecurity) position.getSecurity();
      final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D ycReturnSeries = (TenorLabelledLocalDateDoubleTimeSeriesMatrix1D) inputs.getValue(ValueRequirementNames.YIELD_CURVE_RETURN_SERIES);
      final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D fcReturnSeries = (TenorLabelledLocalDateDoubleTimeSeriesMatrix1D) inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_RETURN_SERIES);
      final DoubleLabelledMatrix1D sensitivities = (DoubleLabelledMatrix1D) inputs.getValue(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES);
      final Currency payCurrency = security.getPayCurrency();
      final Currency receiveCurrency = security.getReceiveCurrency();
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final String curveCurrency = desiredValue.getConstraint(CURVE_CURRENCY);

      final Currency baseCurrency = currencyPair.getBase();
      final ValueProperties resultProperties = desiredValues.iterator().next().getConstraints();
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      private int _count;

      @SuppressWarnings("synthetic-access")
      @Override
      public FXForwardSecurity createSecurity() {
        final FXForwardSecurity fxForward = FX_FORWARDS.get(_count++);
        return fxForward;
      }

    };
    configure(securities);
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  }

  private static Collection<FinancialSecurity> getSimpleFX() {
    final List<FinancialSecurity> securities = new ArrayList<FinancialSecurity>();
    int year = TODAY.getYear();
    final FXForwardSecurity fxForward1 = new FXForwardSecurity(Currency.USD, 1000000, Currency.EUR, 1000000,
        ZonedDateTime.of(LocalDateTime.of(year + 1, 2, 1, 11, 0), ZoneOffset.UTC),
        ExternalSchemes.countryRegionId(Country.of("US")));
    fxForward1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    fxForward1.setName("FX forward, pay USD 1000000, receive EUR 1000000, maturity=" + fxForward1.getForwardDate().toLocalDate());
    final FXForwardSecurity fxForward2 = new FXForwardSecurity(Currency.CHF, 2000000, Currency.EUR, 1000000,
        ZonedDateTime.of(LocalDateTime.of(year + 1, 2, 1, 11, 0), ZoneOffset.UTC),
        ExternalSchemes.countryRegionId(Country.of("US")));
    fxForward2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    fxForward2.setName("FX forward, pay CHF 2000000, receive EUR 1000000, maturity=" + fxForward2.getForwardDate().toLocalDate());
    securities.add(fxForward1);
    securities.add(fxForward2);
    return securities;
  }
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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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    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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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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