Examples of FXForwardCurveInstrumentProvider

Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveInstrumentProvider

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    final ValueRequirement fxForwardCurveRequirement = new ValueRequirement(ValueRequirementNames.FX_FORWARD_POINTS_CURVE_MARKET_DATA,
        ComputationTargetType.UNORDERED_CURRENCY_PAIR.specification(currencyPair), fxForwardCurveProperties);
    final ValueRequirement payFundingCurve = getPayCurveRequirement(payCurveName, payCurrency, payCurveCalculationConfig);
    final ValueRequirement receiveFundingCurve = getReceiveCurveRequirement(receiveCurveName, receiveCurrency, receiveCurveCalculationConfig);
    final ValueRequirement pairQuoteRequirement = new ValueRequirement(ValueRequirementNames.CURRENCY_PAIRS, ComputationTargetSpecification.NULL);
    final FXForwardCurveInstrumentProvider provider = specification.getCurveInstrumentProvider();
    final ValueRequirement spotRequirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument());
    return Sets.newHashSet(payFundingCurve, receiveFundingCurve, pairQuoteRequirement, fxForwardCurveRequirement, spotRequirement);
  }
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveInstrumentProvider

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        if (quoteType != FXForwardCurveSpecification.QuoteType.Points) {
          s_logger.error("Cannot handle quote type " + quoteType);
          return null;
        }
        final Set<ValueRequirement> requirements = new HashSet<>();
        final FXForwardCurveInstrumentProvider provider = specification.getCurveInstrumentProvider();
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(atZDT.toLocalDate(), tenor);
          requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier));
        }
        return requirements;
      }

      @Override
      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
          final Set<ValueRequirement> desiredValues) {
        final Clock snapshotClock = executionContext.getValuationClock();
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
        final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(target.getUniqueId());
        final FXForwardCurveDefinition definition = curveDefinitionSource.getDefinition(curveName, currencyPair.toString());
        if (definition == null) {
          throw new OpenGammaRuntimeException("Couldn't find FX forward curve definition called " + curveName + " for target " + target);
        }
        final FXForwardCurveSpecification specification = curveSpecificationSource.getSpecification(curveName, currencyPair.toString());
        if (specification == null) {
          throw new OpenGammaRuntimeException("Couldn't find FX forward curve specification called " + curveName + " for target " + target);
        }
        final FXForwardCurveInstrumentProvider provider = specification.getCurveInstrumentProvider();
        final Map<ExternalId, Double> data = new HashMap<>();
        final boolean isRegular = specification.isMarketQuoteConvention();
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(now.toLocalDate(), tenor);
          final ValueRequirement requirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier);
          if (inputs.getValue(requirement) != null) {
            final Double value = (Double) inputs.getValue(requirement);
            data.put(identifier, isRegular ? value : 1 / value);
          }
        }
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveInstrumentProvider

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  public static Set<ComputedValue> getInstrumentLabelledSensitivitiesForCurve(final DoubleMatrix1D sensitivities, final Currency domesticCurrency, final Currency foreignCurrency,
      final String[] curveNames, final YieldCurveBundle curves, final ConfigSource configSource, final LocalDate localNow, final ValueSpecification resultSpec) {
    final String currencyPair = UnorderedCurrencyPair.of(domesticCurrency, foreignCurrency).toString();
    final FXForwardCurveSpecification fxForwardCurveSpecification = new ConfigDBFXForwardCurveSpecificationSource(configSource).getSpecification(curveNames[0], currencyPair);
    final FXForwardCurveDefinition fxForwardCurveDefinition = new ConfigDBFXForwardCurveDefinitionSource(configSource).getDefinition(curveNames[0], currencyPair);
    final FXForwardCurveInstrumentProvider curveInstrumentProvider = fxForwardCurveSpecification.getCurveInstrumentProvider();
    final Tenor[] tenors = fxForwardCurveDefinition.getTenors();
    final int length = tenors.length;
    final Double[] keys = new Double[length];
    final Object[] labels = new Object[length];
    final double[] values = new double[length];
    if (!(curves.getCurve(curveNames[0]) instanceof YieldCurve)) { //TODO: make it more generic
      throw new IllegalArgumentException("Can only handle YieldCurve");
    }
    final Double[] xData = ((YieldCurve) curves.getCurve(curveNames[0])).getCurve().getXData();
    for (int i = 0; i < length; i++) {
      keys[i] = xData[i];
      labels[i] = curveInstrumentProvider.getInstrument(localNow, tenors[i]);
      values[i] = sensitivities.getEntry(i);
    }
    final DoubleLabelledMatrix1D labelledMatrix = new DoubleLabelledMatrix1D(keys, labels, values);
    return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix));
  }
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