Package com.opengamma.util.money

Examples of com.opengamma.util.money.Currency

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    return swapSecurity;
  }

  @Override
  public CapFloorCMSSpreadSecurity createSecurity() {
    final Currency currency = getRandomCurrency();
    final boolean payer = getRandom().nextBoolean();
    final boolean cap = getRandom().nextBoolean();
    final ZonedDateTime startDate = previousWorkingDay(ZonedDateTime.now().minusDays(getRandom(365) + 7), currency);
    final double notional = (double) getRandom(100000) * 1000;
    Tenor tenor1;
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      return Boolean.FALSE;
    }

    @Override
    public Boolean visitCross(CurrencyMatrixCross cross) {
      final Currency sourceCurrency = _currentSourceCurrency;
      final Currency targetCurrency = _currentTargetCurrency;
      // Declare as missing to avoid a loop forming
      missing(sourceCurrency, targetCurrency);
      boolean result = hasInputFor(sourceCurrency, cross.getCrossCurrency()) && hasInputFor(cross.getCrossCurrency(), targetCurrency);
      if (result) {
        // Is present after all
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  @Override
  public SwaptionSecurity createSecurity() {
    final int optionLength = getRandom(OPTION_LENGTH);
    ZonedDateTime expiry = ZonedDateTime.now().plusMonths(optionLength);
    final SwapSecurity underlying = createUnderlying(expiry.plusMonths(2), expiry);
    final Currency currency = FinancialSecurityUtils.getCurrency(underlying);
    expiry = nextWorkingDay(expiry, currency);
    final boolean isPayer = getRandom().nextBoolean();
    final boolean isLong = getRandom().nextBoolean();
    final boolean isCashSettled = getRandom().nextBoolean();
    final ZonedDateTime settlementDate = nextWorkingDay(expiry.plusDays(2), currency);
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  protected Bundle createBundle() {
    return new Bundle();
  }

  protected FXBarrierOptionSecurity createFXBarrierOptionSecurity(final Bundle bundle) {
    final Currency putCurrency = bundle._firstCurrency;
    final Currency callCurrency = bundle._secondCurrency;
    final double putAmount = putCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
    final ZonedDateTime settlementDate = nextWorkingDay(bundle._tradeDate.plusDays(bundle._daysOffset), bundle._firstCurrency, bundle._secondCurrency);
    final Expiry expiry = new Expiry(settlementDate, ExpiryAccuracy.DAY_MONTH_YEAR);
    final Double fxRate = getApproxFXRate(settlementDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
    if (fxRate == null) {
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        putAmountString + ", call " + callCurrency + " " + callAmountString + " on " + dateString);
    return fxBarrierOptionSecurity;
  }

  protected FXDigitalOptionSecurity createFXDigitalOptionSecurity(final Bundle bundle) {
    final Currency putCurrency = bundle._firstCurrency;
    final Currency callCurrency = bundle._secondCurrency;
    final Currency paymentCurrency = bundle._paymentCurrency;
    final double putAmount = putCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
    final ZonedDateTime expiry = nextWorkingDay(bundle._tradeDate.plusDays(bundle._daysOffset), putCurrency, callCurrency);
    final Double rate = getApproxFXRate(expiry.toLocalDate(), Pair.of(putCurrency, callCurrency));
    if (rate == null) {
      return null;
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    final Double fxRate = getApproxFXRate(forwardDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
    if (fxRate == null) {
      return null;
    }
    final double callAmount = NOTIONAL * fxRate;
    final Currency payCurrency = bundle._long ? bundle._secondCurrency : bundle._firstCurrency;
    final Currency receiveCurrency = bundle._long ? bundle._firstCurrency : bundle._secondCurrency;
    final String dateString = forwardDate.toString(DATE_FORMATTER);
    final FXForwardSecurity fxForwardSecurity = new FXForwardSecurity(payCurrency, callAmount, receiveCurrency, putAmount, forwardDate, REGION);
    final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
    final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
    fxForwardSecurity.setName("Pay " + payCurrency + " " + callAmountString + ", receive " + receiveCurrency + " " + putAmountString + " on " + dateString);
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    final Double fxRate = getApproxFXRate(forwardDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
    if (fxRate == null) {
      return null;
    }
    final double callAmount = NOTIONAL * fxRate;
    final Currency payCurrency = bundle._long ? bundle._secondCurrency : bundle._firstCurrency;
    final Currency receiveCurrency = bundle._long ? bundle._firstCurrency : bundle._secondCurrency;
    final String dateString = forwardDate.toString(DATE_FORMATTER);
    final NonDeliverableFXForwardSecurity security = new NonDeliverableFXForwardSecurity(payCurrency, callAmount, receiveCurrency, putAmount, forwardDate,
        REGION, getRandom(BOOLEAN_VALUES));
   
    final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
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    security.setName("Pay " + payCurrency + " " + callAmountString + ", receive " + receiveCurrency + " " + putAmountString + " on " + dateString);
    return security;
  }

  protected FXOptionSecurity createFXOptionSecurity(final Bundle bundle) {
    final Currency putCurrency = bundle._firstCurrency;
    final Currency callCurrency = bundle._secondCurrency;
    final double putAmount = bundle._firstCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
    final ZonedDateTime settlementDate = bundle._tradeDate.plusDays(bundle._daysOffset);
    final Double fxRate = getApproxFXRate(settlementDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
    if (fxRate == null) {
      return null;
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    fxOptionSecurity.setName((bundle._long ? "Long " : "Short ") + "put " + putCurrency + " " + putAmountString + ", call " + callCurrency + " " + callAmountString + " on " + dateString);
    return fxOptionSecurity;
  }
 
  protected NonDeliverableFXOptionSecurity createNDFXOptionSecurity(final Bundle bundle) {
    final Currency putCurrency = bundle._firstCurrency;
    final Currency callCurrency = bundle._secondCurrency;
    final double putAmount = bundle._firstCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
    final ZonedDateTime settlementDate = bundle._tradeDate.plusDays(bundle._daysOffset);
    final Double fxRate = getApproxFXRate(settlementDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
    if (fxRate == null) {
      return null;
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    public Bundle() {
      _long = getRandom().nextBoolean();
      _up = getRandom().nextBoolean();
      _firstCurrency = getRandomCurrency();
      Currency secondCurrency;
      do {
        secondCurrency = getRandomCurrency();
      } while (secondCurrency == _firstCurrency);
      _secondCurrency = secondCurrency;
      _daysOffset = 100 + getRandom().nextInt(600);
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Related Classes of com.opengamma.util.money.Currency

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