Examples of EquityVarianceSwapSecurity

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

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    return new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
  }

  @Override
  protected ValueSpecification getValueSpecification(final ComputationTarget target, final String curveName, final String curveCalculationConfig, final String surfaceName) {
    final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
    final ValueProperties properties = createValueProperties()
        .with(ValuePropertyNames.CURVE, curveName)
        .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(ValuePropertyNames.CURVE_CURRENCY, security.getCurrency().getCode())
        .with(ValuePropertyNames.CURRENCY, security.getCurrency().getCode())
        .with(ValuePropertyNames.CALCULATION_METHOD, CALCULATION_METHOD)
        .get();
    return new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
  }
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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    return Collections.singleton(new ComputedValue(resultSpec, matrix));
  }

  @Override
  protected ValueSpecification getValueSpecification(final ComputationTarget target) {
    final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
    final ValueProperties properties = createValueProperties()
        .with(ValuePropertyNames.CURRENCY, security.getCurrency().getCode())
        .withAny(ValuePropertyNames.CURVE)
        .withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
        .withAny(ValuePropertyNames.SURFACE)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.EQUITY_OPTION)
        .with(ValuePropertyNames.CALCULATION_METHOD, CALCULATION_METHOD)
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Examples of com.opengamma.financial.security.equity.EquityVarianceSwapSecurity

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    return new ValueSpecification(ValueRequirementNames.VEGA_QUOTE_MATRIX, target.toSpecification(), properties);
  }

  @Override
  protected ValueSpecification getValueSpecification(final ComputationTarget target, final String curveName, final String curveCalculationConfig, final String surfaceName) {
    final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
    final ValueProperties properties = createValueProperties()
        .with(ValuePropertyNames.CURRENCY, security.getCurrency().getCode())
        .with(ValuePropertyNames.CURVE, curveName)
        .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.EQUITY_OPTION)
        .with(ValuePropertyNames.CALCULATION_METHOD, CALCULATION_METHOD)
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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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