Examples of FXForwardSecurity

Examples of com.opengamma.financial.security.fx.FXForwardSecurity

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    assertNull(ids);
  }

  @Test
  public void testFXForwardSecurity() {
    final FXForwardSecurity security = ExposureFunctionTestHelper.getFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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Examples of com.opengamma.financial.security.fx.FXForwardSecurity

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    assertEquals(ExternalId.of(security.getUniqueId().getScheme(), security.getUniqueId().getValue()), ids.get(0));
  }

  @Test
  public void testFXForwardSecurity() {
    final FXForwardSecurity security = ExposureFunctionTestHelper.getFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(security.getUniqueId().getScheme(), security.getUniqueId().getValue()), ids.get(0));
  }
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Examples of com.opengamma.financial.security.fx.FXForwardSecurity

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    assertNull(ids);
  }

  @Test
  public void testFXForwardSecurity() {
    final FXForwardSecurity security = ExposureFunctionTestHelper.getFXForwardSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }
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Examples of com.opengamma.financial.security.fx.FXForwardSecurity

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  }

  @Override
  protected Set<ComputedValue> getResult(final Forex fxForward, final YieldCurveBundle data, final ComputationTarget target, final Set<ValueRequirement> desiredValues,
      final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    final FXForwardSecurity security = (FXForwardSecurity) target.getSecurity();
    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final String payCurveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
    final String receiveCurveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_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 payCurrency = security.getPayCurrency().getCode();
    if (curveCurrency.equals(payCurrency)) {
      resultCurveConfigName = payCurveCalculationConfigName;
    } else {
      resultCurveConfigName = receiveCurveCalculationConfigName;
    }
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Examples of com.opengamma.financial.security.fx.FXForwardSecurity

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  @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 ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final FXForwardSecurity security = (FXForwardSecurity) position.getSecurity();
    final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(FX_CURRENCY_EXPOSURE);
    final Currency payCurrency = security.getPayCurrency();
    final Currency receiveCurrency = security.getReceiveCurrency();
    final CurrencyPairs currencyPairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
    final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
    final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
    final double exposure = mca.getAmount(currencyNonBase);
    final LocalDateDoubleTimeSeries fxSpotReturnSeries = (LocalDateDoubleTimeSeries) inputs.getValue(RETURN_SERIES);
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Examples of com.opengamma.financial.security.fx.FXForwardSecurity

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  }

  @Override
  protected Set<ComputedValue> getResult(final Forex fxForward, final YieldCurveBundle data, final ComputationTarget target, final Set<ValueRequirement> desiredValues,
      final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    final FXForwardSecurity security = (FXForwardSecurity) target.getSecurity();
    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final String curveCurrency = desiredValue.getConstraint(ValuePropertyNames.CURVE_CURRENCY);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final Object curveCalculationConfigObject = inputs.getValue(ValueRequirementNames.CURVE_CALCULATION_CONFIG);
    if (curveCalculationConfigObject == null) {
      throw new OpenGammaRuntimeException("Could not get curve calculation configuration");
    }
    final MultiCurveCalculationConfig curveCalculationConfig = (MultiCurveCalculationConfig) curveCalculationConfigObject;
    final Object curveSensitivitiesObject = inputs.getValue(ValueRequirementNames.FX_CURVE_SENSITIVITIES);
    if (curveSensitivitiesObject == null) {
      throw new OpenGammaRuntimeException("Could not get curve sensitivities");
    }
    final MultipleCurrencyInterestRateCurveSensitivity curveSensitivities = (MultipleCurrencyInterestRateCurveSensitivity) curveSensitivitiesObject;
    final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
    final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
    final String fullCurveName = curveName + "_" + curveCurrency;
    if (curveCalculationConfig.getCalculationMethod().equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
      final ConfigDBFXForwardCurveDefinitionSource definitionSource = new ConfigDBFXForwardCurveDefinitionSource(configSource);
      final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(payCurrency, receiveCurrency);
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Examples of com.opengamma.financial.security.fx.FXForwardSecurity

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   */
  @Test
  public void fxForward() {
    ZonedDateTime forwardDate = zdt(2012, 12, 21, 11, 0, 0, 0, ZoneOffset.UTC);
    ExternalId regionId = ExternalId.of("Reg", "123");
    FXForwardSecurity security = new FXForwardSecurity(Currency.USD, 150, Currency.GBP, 100, forwardDate, regionId);
    assertEquals("FX Forward", s_defaultMappings.valueFor(TYPE, security));
    assertEquals("GBP/USD", s_defaultMappings.valueFor(PRODUCT, security));
    assertEquals(forwardDate, s_defaultMappings.valueFor(MATURITY, security));
    FXAmounts expected = FXAmounts.forForward(security.getPayCurrency(),
                                              security.getReceiveCurrency(),
                                              security.getPayAmount(),
                                              security.getReceiveAmount(),
                                              s_currencyPairs);
    assertEquals(expected, s_defaultMappings.valueFor(QUANTITY, security));
    assertEquals(1.5d, s_defaultMappings.valueFor(RATE, security));
  }
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Examples of com.opengamma.financial.security.fx.FXForwardSecurity

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    ExternalId optionId = ExternalId.of("sec", "eqo");
    ExternalId forwardId = ExternalId.of("sec", "fx");
    EquitySecurity equity = new EquitySecurity("exch", "excd", "ACME", Currency.USD);
    ExternalId region = ExternalId.of("regionScheme", "regionValue");
    ZonedDateTime now = ZonedDateTime.now();
    FXForwardSecurity fxForward = new FXForwardSecurity(Currency.AUD, 123, Currency.CAD, 321, now, region);
    FXOptionSecurity fxOption = new FXOptionSecurity(Currency.AUD, Currency.CAD, 123, 321, new Expiry(now),
                                                     now, true, new AmericanExerciseType());
    SelectorResolver resolver = mock(SelectorResolver.class);
    when(resolver.resolveSecurity(equityId)).thenReturn(equity);
    when(resolver.resolveSecurity(forwardId)).thenReturn(fxForward);
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