Examples of EquityVarianceSwapSecurity

Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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    assertEquals(ExternalId.of(security.getUniqueId().getScheme(), security.getUniqueId().getValue()), ids.get(0));
  }

  @Test
  public void testEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = ExposureFunctionTestHelper.getEquityVarianceSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(security.getUniqueId().getScheme(), security.getUniqueId().getValue()), ids.get(0));
  }
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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    assertNull(ids);
  }

  @Test
  public void testEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = ExposureFunctionTestHelper.getEquityVarianceSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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    assertNull(ids);
  }

  @Test
  public void testEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = ExposureFunctionTestHelper.getEquityVarianceSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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    assertNull(ids);
  }

  @Test
  public void testEquityVarianceSwapSecurity() {
    final EquityVarianceSwapSecurity security = ExposureFunctionTestHelper.getEquityVarianceSwapSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "EQUITY VARIANCE SWAP_US"), ids.get(0));
  }
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
    final EquityVarianceSwapDefinition definition = security.accept(getConverter());
    final Object spotObject = inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
    if (spotObject == null) {
      throw new OpenGammaRuntimeException("Spot value was null");
    }
    final Object yieldCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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  }

  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    final Security security = target.getSecurity();
    final EquityVarianceSwapSecurity varianceSwap = (EquityVarianceSwapSecurity) security;
    final String underlyingEquity = EquitySecurityUtils.getIndexOrEquityNameFromUnderlying(varianceSwap);
    return _equityCurveConfigAndDiscountingCurveNames.containsKey(underlyingEquity);
  }
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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  }

  @Override
  protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue,
      final String propertyName) {
    final EquityVarianceSwapSecurity varianceSwap = (EquityVarianceSwapSecurity) target.getSecurity();
    final String underlyingEquity = EquitySecurityUtils.getIndexOrEquityNameFromUnderlying(varianceSwap);
    if (!_equityCurveConfigAndDiscountingCurveNames.containsKey(underlyingEquity)) {
      s_logger.error("Could not get config for equity " + underlyingEquity + "; should never happen");
      return null;
    }
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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      final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String curveCalculationConfig = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    // 1. Get the expiry _time_ from the trade
    final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
    final double expiry = TimeCalculator.getTimeBetween(ZonedDateTime.now(executionContext.getValuationClock()), security.getLastObservationDate());

    // 2. Get the discount curve and spot value
    final Object discountObject = inputs.getValue(getDiscountRequirement(security, curveName, curveCalculationConfig));
    if (discountObject == null) {
      throw new OpenGammaRuntimeException("Could not get Discount Curve");
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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    final Set<String> curveCalculationConfigNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
      return null;
    }
    final String curveCalculationConfigName = Iterables.getOnlyElement(curveCalculationConfigNames);
    final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
    return Sets.newHashSet(getSpotRequirement(security), getDiscountRequirement(security, curveName, curveCalculationConfigName));
  }
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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  }

  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    final Security security = target.getSecurity();
    final EquityVarianceSwapSecurity varianceSwap = (EquityVarianceSwapSecurity) security;
    final String underlyingEquity = EquitySecurityUtils.getIndexOrEquityNameFromUnderlying(varianceSwap);
    return _equityCurveConfigAndDiscountingCurveNames.containsKey(underlyingEquity);
  }
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