Examples of FinancialSecurity

com.opengamma.financial.security.FinancialSecurity
An abstract base class for all securities defined within the financial package.
These securities work with the functions also defined in this project. Applications can choose to use these {@code FinancialSecurity} classes,extend {@link ManageableSecurity} directly or use {@link RawSecurity}.

Examples of com.opengamma.financial.security.FinancialSecurity

      final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
      final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
      final ConfigDBVolatilitySurfaceDefinitionSource definitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
      final ConfigDBVolatilitySurfaceSpecificationSource specificationSource = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
      final Position position = target.getPosition();
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(putCurrency, callCurrency);
      final VolatilitySurfaceDefinition<Object, Object> definition = getSurfaceDefinition(currencyPair, surfaceName, definitionSource);
      final VolatilitySurfaceSpecification specification = getSurfaceSpecification(currencyPair, surfaceName, specificationSource);
      final Period samplingPeriod = getSamplingPeriod(desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD));
      final LocalDate startDate = now.minus(samplingPeriod);

View Full Code Here

Examples of com.opengamma.financial.security.FinancialSecurity

   * @return The FX option market data bundle
   * @deprecated The data bundle is deprecated
   */
  @Deprecated
  public static ForexOptionDataBundle<?> buildMarketBundle(final ZonedDateTime now, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    if (now.isAfter(security.accept(ForexVisitors.getExpiryVisitor()))) {
      throw new OpenGammaRuntimeException("FX option " + putCurrency.getCode() + "/" + callCurrency + " has expired");
    }
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
    final String callCurveName = desiredValue.getConstraint(CALL_CURVE);

View Full Code Here

Examples of com.opengamma.financial.security.FinancialSecurity

    final UnorderedCurrencyPair currenciesTarget = UnorderedCurrencyPair.of(putCurrency, callCurrency);
    return new ValueRequirement(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, ComputationTargetType.UNORDERED_CURRENCY_PAIR.specification(currenciesTarget), surfaceProperties);
  }


  public 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();
    }
    if (security instanceof NonDeliverableFXDigitalOptionSecurity) {
      return ((NonDeliverableFXDigitalOptionSecurity) 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;

View Full Code Here

Examples of com.opengamma.financial.security.FinancialSecurity


    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
        final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
      final Position position = target.getPosition();
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
      final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());


      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency currencyBase = currencyPair.getBase();
      LocalDateDoubleTimeSeries payPnLSeries = null;
      LocalDateDoubleTimeSeries receivePnLSeries = null;

View Full Code Here

Examples of com.opengamma.financial.security.FinancialSecurity

  }


  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final Position position = target.getPosition();
    final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
    final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
    final ValueProperties constraints = desiredValue.getConstraints();
    final Set<String> periodNames = constraints.getValues(SAMPLING_PERIOD);
    if (periodNames == null || periodNames.size() != 1) {
      return null;
    }
    final String samplingPeriod = periodNames.iterator().next();
    final Set<String> scheduleNames = constraints.getValues(SCHEDULE_CALCULATOR);
    if (scheduleNames == null || scheduleNames.size() != 1) {
      return null;
    }
    final Set<String> samplingFunctionNames = constraints.getValues(SAMPLING_FUNCTION);
    if (samplingFunctionNames == null || samplingFunctionNames.size() != 1) {
      return null;
    }
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context));
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.add(getBucketedCS01Requirement(security));
    requirements.add(getCreditSpreadCurveHTSRequirement(security, getCurvePrefix() + "_" + spreadCurveName, samplingPeriod));
    final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
    if (resultCurrencies != null && resultCurrencies.size() == 1) {

View Full Code Here

Examples of com.opengamma.financial.security.FinancialSecurity

  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    if (!(target.getPosition().getSecurity() instanceof FinancialSecurity)) {
      return false;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    if (!(security instanceof FXOptionSecurity || security instanceof FXBarrierOptionSecurity || security instanceof FXDigitalOptionSecurity)) {
      return false;
    }
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    return callCurrency.getCode().equals(_callCurrency) && putCurrency.getCode().equals(_putCurrency);
  }

View Full Code Here

Examples of com.opengamma.financial.security.FinancialSecurity

    final String surfaceName = Iterables.getOnlyElement(constraints.getValues(SURFACE));
    final String interpolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.X_INTERPOLATOR_NAME));
    final String leftExtrapolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME));
    final String rightExtrapolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME));
    final String currency = Iterables.getOnlyElement(currencies);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final String resultCurrency, resultCurveConfigName;
    if (currency.equals(putCurrency.getCode())) {
      resultCurrency = putCurrency.getCode();
      resultCurveConfigName = putCurveCalculationConfigName;
    } else if (currency.equals(callCurrency.getCode())) {

View Full Code Here

Examples of com.opengamma.financial.security.FinancialSecurity

    }
    if (putCurveName == null || callCurveName == null || currencyPairConfigName == null || curveCurrency == 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;
    }

View Full Code Here

Examples of com.opengamma.financial.security.FinancialSecurity

      return security instanceof FXOptionSecurity || security instanceof FXDigitalOptionSecurity;
    }


    @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 Currency currencyBase = currencyPair.getBase(); // The base currency
      final ValueProperties properties = createValueProperties()
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .withAny(FXOptionBlackFunction.PUT_CURVE)

View Full Code Here

Examples of com.opengamma.financial.security.FinancialSecurity

      }
      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 ValueProperties exposureConstraints = ValueProperties.builder()
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .with(FXOptionBlackFunction.PUT_CURVE, putCurveNames.iterator().next())
          .with(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG, putCurveCalculationConfigs.iterator().next())
          .with(FXOptionBlackFunction.CALL_CURVE, callCurveNames.iterator().next())
          .with(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG, callCurveCalculationConfigs.iterator().next())
          .with(ValuePropertyNames.SURFACE, surfaceNames.iterator().next())
          .with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, interpolatorNames.iterator().next())
          .with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorNames.iterator().next())
          .with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorNames.iterator().next()).get();
      final ValueRequirement fxCurrencyExposureRequirement = new ValueRequirement(
          ValueRequirementNames.FX_CURRENCY_EXPOSURE, ComputationTargetType.SECURITY, security.getUniqueId(), exposureConstraints);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final ValueRequirement fxSpotRequirement = ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(putCurrency, callCurrency);
      return ImmutableSet.of(fxCurrencyExposureRequirement, fxSpotRequirement);
    }

View Full Code Here

0 1 2 3 4 5

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.