Examples of FinancialSecurity

Examples of com.opengamma.financial.security.FinancialSecurity

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        .with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorName)
        .with(ValuePropertyNames.CURRENCY, getResultCurrency(target, baseQuotePair));
  }

  protected static String getResultCurrency(final ComputationTarget target, final CurrencyPair baseQuotePair) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    if (security instanceof FXDigitalOptionSecurity) {
      return ((FXDigitalOptionSecurity) target.getSecurity()).getPaymentCurrency().getCode();
    }
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    Currency ccy;
    if (baseQuotePair.getBase().equals(putCurrency)) {
      ccy = callCurrency;
    } else {
      ccy = putCurrency;
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Examples of com.opengamma.financial.security.FinancialSecurity

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  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    // Create the derivative
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
    final String callCurveName = desiredValue.getConstraint(CALL_CURVE);

    final String fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
    final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
    final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS);
    if (baseQuotePairsObject == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote pair data");
    }
    final CurrencyPairs baseQuotePairs = (CurrencyPairs) baseQuotePairsObject;
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    final String[] allCurveNames;
    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      allCurveNames = new String[] {fullPutCurveName, fullCallCurveName };
    } else {
      allCurveNames = new String[] {fullCallCurveName, fullPutCurveName };
    }
    final InstrumentDefinition<?> definition = security.accept(new ForexSecurityConverter(baseQuotePairs));
    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final InstrumentDerivative fxOption = definition.toDerivative(now, allCurveNames);

    // Get market data
    final ForexOptionDataBundle<?> marketData = FXOptionFunctionUtils.buildMarketBundle(now, inputs, target, desiredValues);
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Examples of com.opengamma.financial.security.FinancialSecurity

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    return Collections.singleton(new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get()));
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ValueProperties constraints = desiredValue.getConstraints();
    final Set<String> putCurveNames = constraints.getValues(PUT_CURVE);
    if (putCurveNames == null || putCurveNames.size() != 1) {
      return null;
    }
    final Set<String> callCurveNames = constraints.getValues(CALL_CURVE);
    if (callCurveNames == null || callCurveNames.size() != 1) {
      return null;
    }
    final Set<String> putCurveCalculationConfigs = constraints.getValues(PUT_CURVE_CALC_CONFIG);
    if (putCurveCalculationConfigs == null || putCurveCalculationConfigs.size() != 1) {
      return null;
    }
    final Set<String> callCurveCalculationConfigs = constraints.getValues(CALL_CURVE_CALC_CONFIG);
    if (callCurveCalculationConfigs == null || callCurveCalculationConfigs.size() != 1) {
      return null;
    }
    final Set<String> surfaceNames = constraints.getValues(SURFACE);
    if (surfaceNames == null || surfaceNames.size() != 1) {
      return null;
    }
    final Set<String> interpolatorNames = constraints.getValues(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
    if (interpolatorNames == null || interpolatorNames.size() != 1) {
      return null;
    }
    final Set<String> leftExtrapolatorNames = constraints.getValues(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
    if (leftExtrapolatorNames == null || leftExtrapolatorNames.size() != 1) {
      return null;
    }
    final Set<String> rightExtrapolatorNames = constraints.getValues(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
    if (rightExtrapolatorNames == null || rightExtrapolatorNames.size() != 1) {
      return null;
    }
    final ValueProperties otherProperties = ValueProperties.builder().get();
    final String putCurveName = Iterables.getOnlyElement(putCurveNames);
    final String callCurveName = Iterables.getOnlyElement(callCurveNames);
    final String putCurveCalculationConfig = Iterables.getOnlyElement(putCurveCalculationConfigs);
    final String callCurveCalculationConfig = Iterables.getOnlyElement(callCurveCalculationConfigs);
    final String surfaceName = Iterables.getOnlyElement(surfaceNames);
    final String interpolatorName = Iterables.getOnlyElement(interpolatorNames);
    final String leftExtrapolatorName = Iterables.getOnlyElement(leftExtrapolatorNames);
    final String rightExtrapolatorName = Iterables.getOnlyElement(rightExtrapolatorNames);
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final ValueRequirement putFundingCurve = getCurveRequirementForFXOption(ComputationTargetSpecification.of(putCurrency), putCurveName, putCurveCalculationConfig, true,
        otherProperties);
    final ValueRequirement callFundingCurve = getCurveRequirementForFXOption(ComputationTargetSpecification.of(callCurrency), callCurveName, callCurveCalculationConfig, false,
        otherProperties);
    final ValueRequirement fxVolatilitySurface = getSurfaceRequirement(surfaceName, putCurrency, callCurrency, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
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Examples of com.opengamma.financial.security.FinancialSecurity

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    }
    if (putCurveName == null || callCurveName == null || currencyPairConfigName == null) {
      return null;
    }
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      s_logger.error("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
      return null;
    }
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Examples of com.opengamma.financial.security.FinancialSecurity

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  private static final Logger s_logger = LoggerFactory.getLogger(FXOptionBlackValueRhoFunction.class);

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final Object curveSensitivitiesObject = inputs.getValue(ValueRequirementNames.FX_CURVE_SENSITIVITIES);
    if (curveSensitivitiesObject == null) {
      throw new OpenGammaRuntimeException("Could not get curve sensitivities");
    }
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS);
    if (baseQuotePairsObject == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote pair data");
    }
    final CurrencyPairs baseQuotePairs = (CurrencyPairs) baseQuotePairsObject;
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Examples of com.opengamma.financial.security.FinancialSecurity

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        currencyPairConfigName = specification.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
        break;
      }
    }
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      s_logger.error("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
      return null;
    }
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Examples of com.opengamma.financial.security.FinancialSecurity

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    }
    return vegaPnL;
  }

  private String getResultCurrency(final ComputationTarget target, final CurrencyPair currencyPair) {
    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    Currency ccy;
    if (putCurrency.equals(currencyPair.getBase())) {
      ccy = callCurrency;
    } else {
      ccy = putCurrency;
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Examples of com.opengamma.financial.security.FinancialSecurity

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   * @param target The target
   * @param baseQuotePair The base quote pair
   * @return The currency of the result
   */
  protected String getResultCurrency(final ComputationTarget target, final CurrencyPair baseQuotePair) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    if (security instanceof FXDigitalOptionSecurity) {
      return ((FXDigitalOptionSecurity) target.getSecurity()).getPaymentCurrency().getCode();
    } else if (security instanceof NonDeliverableFXDigitalOptionSecurity) {
      return ((NonDeliverableFXDigitalOptionSecurity) target.getSecurity()).getPaymentCurrency().getCode();
    }
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    if (baseQuotePair.getBase().equals(putCurrency)) {
      return callCurrency.getCode();
    }
    return putCurrency.getCode();
  }
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Examples of com.opengamma.financial.security.FinancialSecurity

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      return security instanceof FXOptionSecurity || security instanceof NonDeliverableFXOptionSecurity;
    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
      final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final String currencyBase = currencyPair.getBase().getCode(); // The base currency
      final ValueProperties properties = createValueProperties()
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .withAny(FXOptionBlackFunction.PUT_CURVE)
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Examples of com.opengamma.financial.security.FinancialSecurity

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      }
      final Set<String> samplingPeriods = constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD);
      if (samplingPeriods == null || samplingPeriods.size() != 1) {
        return null;
      }
      final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final UnorderedCurrencyPair currencies = UnorderedCurrencyPair.of(putCurrency, callCurrency);
      final String surfaceName = Iterables.getOnlyElement(surfaceNames);
      final String samplingPeriod = Iterables.getOnlyElement(samplingPeriods);
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final String vegaResultCurrency = getResultCurrency(target, currencyPair);
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