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 ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
      final ValueRequirement desiredValue = desiredValues.iterator().next();
      final String samplingPeriod = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD);
      final String scheduleCalculator = desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR);
      final String samplingFunction = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
      final LocalDateDoubleTimeSeries timeSeries = (LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES);
      final LocalDate startDate = now.toLocalDate().minus(Period.parse(samplingPeriod));
      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
      final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double delta = mca.getAmount(currencyNonBase);
      DoubleTimeSeries<?> result = getPnLSeries(startDate, now.toLocalDate(), schedule, sampling, timeSeries);

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Examples of com.opengamma.financial.security.FinancialSecurity


  @Override
  public String classifyPosition(final Position position) {
    final Security security = position.getSecurity();
    if (security instanceof FinancialSecurity) {
      final FinancialSecurity finSec = (FinancialSecurity) security;
      return finSec.accept(new FinancialSecurityVisitor<String>() {


        @Override
        public String visitGovernmentBondSecurity(final GovernmentBondSecurity security) {
          return BONDS;
        }

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Examples of com.opengamma.financial.security.FinancialSecurity

          .standardVanillaCDSSecurityVisitor(_standardVanillaCdsSecurityVisitor)
          .legacyVanillaCDSSecurityVisitor(_legacyVanillaCdsSecurityVisitor)
          .creditDefaultSwapOptionSecurityVisitor(_cdsOptionSecurityVisitor)
          .creditDefaultSwapIndexSecurityVisitor(_cdsIndexSecurityVisitor)
          .create();
      FinancialSecurity security = (FinancialSecurity) position.getSecurityLink().resolve(_secSource);
      try {
        String classification = security.accept(visitorAdapter);
        return classification == null ? UNKNOWN : classification;
      } catch (UnsupportedOperationException uoe) {
        return UNKNOWN;
      }
    }

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Examples of com.opengamma.financial.security.FinancialSecurity

      return target.getPosition().getSecurity() 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 Currency currencyBase = _currencyPairs.getCurrencyPair(putCurrency, callCurrency).getBase();
      final ValueProperties properties = createValueProperties()
          .with(ValuePropertyNames.CALCULATION_METHOD, FXDigitalCallSpreadBlackFunction.CALL_SPREAD_BLACK_METHOD)
          .withAny(FXOptionBlackFunction.PUT_CURVE)
          .withAny(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG)

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Examples of com.opengamma.financial.security.FinancialSecurity

          .with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorNames.iterator().next())
          .with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorNames.iterator().next())
          .with(FXDigitalCallSpreadBlackFunction.PROPERTY_CALL_SPREAD_VALUE, callSpreads.iterator().next()).get();
      final ValueRequirement fxCurrencyExposureRequirement = new ValueRequirement(
          ValueRequirementNames.FX_CURRENCY_EXPOSURE, ComputationTargetType.SECURITY, target.getPosition().getSecurity().getUniqueId(), exposureConstraints);
      final FinancialSecurity security = (FXDigitalOptionSecurity) target.getPosition().getSecurity();
      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);
    }

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Examples of com.opengamma.financial.security.FinancialSecurity

      final ValueRequirement desiredValue = desiredValues.iterator().next();
      final String samplingPeriod = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD);
      final String scheduleCalculator = desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR);
      final String samplingFunction = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
      final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final LocalDate startDate = now.toLocalDate().minus(Period.parse(samplingPeriod));
      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double delta = mca.getAmount(currencyNonBase);
      final HistoricalTimeSeries timeSeries = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES);
      DateDoubleTimeSeries<?> result = getPnLSeries(startDate, now.toLocalDate(), schedule, sampling, timeSeries);

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Examples of com.opengamma.financial.security.FinancialSecurity

    final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
    if (requirements == null) {
      return null;
    }
    // Add live market_value of the option
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ComputationTargetReference securityTarget = new ComputationTargetSpecification(ComputationTargetType.SECURITY, security.getUniqueId());
    final ValueRequirement securityValueReq = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, securityTarget);
    requirements.add(securityValueReq);


    return requirements;
  }

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Examples of com.opengamma.financial.security.FinancialSecurity

  }


  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
    final Set<ValueSpecification> results = super.getResults(context, target, inputs);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String bbgTicker = EquitySecurityUtils.getIndexOrEquityNameFromUnderlying(security);
    final Set<ValueSpecification> resultsWithExtraProperties = Sets.newHashSetWithExpectedSize(results.size());
    for (final ValueSpecification spec : results) {
      final String name = spec.getValueName();
      final ComputationTargetSpecification targetSpec = spec.getTargetSpecification();

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Examples of com.opengamma.financial.security.FinancialSecurity

    SecuritySearchRequest securityRequest = new SecuritySearchRequest();
    securityRequest.setName(name);
    securityRequest.setSortOrder(SecuritySearchSortOrder.NAME_ASC);


    for (SecurityDocument doc : SecuritySearchIterator.iterable(securityMaster, securityRequest)) {
      FinancialSecurity security = (FinancialSecurity) doc.getSecurity();
      try {
        security.accept(new FuturePriceCurveCreatorVisitor(configMaster, bbgRefData, _curveSpecificationNames, _curveDefinitionNames, dryRun));
      } catch (Exception ex) {
        s_logger.error("Error processing " + security.getName() + ": " + ex.getLocalizedMessage());
        continue;
      }
    }
  }

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Examples of com.opengamma.financial.security.FinancialSecurity

  }


  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative forex, final ForexOptionDataBundle<?> data, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final String putCurveCalculationConfigName = desiredValue.getConstraint(PUT_CURVE_CALC_CONFIG);
    final String callCurveCalculationConfigName = desiredValue.getConstraint(CALL_CURVE_CALC_CONFIG);
    final String curveCurrency = desiredValue.getConstraint(ValuePropertyNames.CURVE_CURRENCY);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final Object curveSensitivitiesObject = inputs.getValue(ValueRequirementNames.FX_CURVE_SENSITIVITIES);
    final String resultCurveConfigName;
    final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
    if (curveCurrency.equals(putCurrency)) {
      resultCurveConfigName = putCurveCalculationConfigName;
    } else {
      resultCurveConfigName = callCurveCalculationConfigName;
    }

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