Examples of FXOptionSecurity

com.opengamma.financial.security.option.FXOptionSecurity
A security for FX options.

Examples of com.opengamma.financial.security.option.FXOptionSecurity

    final ExerciseType exerciseType = bean.getOptionExerciseType().accept(new ExerciseTypeVisitorImpl());
    Currency putCurrency = currencyBeanToCurrency(bean.getPutCurrency());
    Currency callCurrency = currencyBeanToCurrency(bean.getCallCurrency());
    Expiry expiry = expiryBeanToExpiry(bean.getExpiry());
    ZonedDateTime settlementDate = Converters.zonedDateTimeBeanToDateTimeWithZone(bean.getSettlementDate());
    FXOptionSecurity sec = new FXOptionSecurity(putCurrency, callCurrency, bean.getPutAmount(), bean.getCallAmount(), expiry, settlementDate, bean.getIsLong(), exerciseType);
    return sec;
  }

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Examples of com.opengamma.financial.security.option.FXOptionSecurity

    return securities;
  }


  private static Collection<FinancialSecurity> getFXOptions() {
    final List<FinancialSecurity> securities = new ArrayList<FinancialSecurity>();
    final FXOptionSecurity vanilla1 = new FXOptionSecurity(Currency.USD, 
        Currency.EUR, 
        1000000, 
        1000000,
        new Expiry(ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 1, 6, 11, 0), ZoneOffset.UTC)),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 1, 6, 11, 0), ZoneOffset.UTC),
        true, 
        new EuropeanExerciseType());
    vanilla1.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    vanilla1.setName("FX vanilla option, put USD 1000000, receive EUR 1000000, maturity=" + vanilla1.getSettlementDate().toLocalDate());
    final FXOptionSecurity vanilla2 = new FXOptionSecurity(Currency.EUR, 
        Currency.USD, 
        1500000,
        1000000,
        new Expiry(ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 2, 1, 6, 11, 0), ZoneOffset.UTC)),
        ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 2, 1, 6, 11, 0), ZoneOffset.UTC),
        true,
        new EuropeanExerciseType());
    vanilla2.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    vanilla2.setName("FX vanilla option, put EUR 1500000, receive USD 1000000, maturity=" + vanilla2.getSettlementDate().toLocalDate());
    final FXBarrierOptionSecurity barrier1 = new FXBarrierOptionSecurity(Currency.USD,
        Currency.EUR,
        1000000,
        1000000,
        new Expiry(ZonedDateTime.of(LocalDateTime.of(TODAY.getYear() + 1, 1, 6, 11, 0), ZoneOffset.UTC)),

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Examples of com.opengamma.financial.security.option.FXOptionSecurity

      private int _count;


      @SuppressWarnings("synthetic-access")
      @Override
      public FXOptionSecurity createSecurity() {
        final FXOptionSecurity fxOption = FX_OPTIONS.get(_count++);
        return fxOption;
      }


    };
    configure(securities);

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Examples of com.opengamma.financial.security.option.FXOptionSecurity

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


  @Test
  public void testFXOptionSecurity() {
    final FXOptionSecurity security = ExposureFunctionTestHelper.getFXOptionSecurity();
    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.option.FXOptionSecurity

    assertNull(ids);
  }


  @Test
  public void testFXOptionSecurity() {
    final FXOptionSecurity security = ExposureFunctionTestHelper.getFXOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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Examples of com.opengamma.financial.security.option.FXOptionSecurity

    assertNull(ids);
  }


  @Test
  public void testFXOptionSecurity() {
    final FXOptionSecurity security = ExposureFunctionTestHelper.getFXOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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Examples of com.opengamma.financial.security.option.FXOptionSecurity

    assertEquals(ExternalId.of(ExposureFunction.CONTRACT_IDENTIFIER, "Currency"), ids.get(0));
  }


  @Test
  public void testFXOptionSecurity() {
    final FXOptionSecurity security = ExposureFunctionTestHelper.getFXOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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Examples of com.opengamma.financial.security.option.FXOptionSecurity

    assertTrue(ids.containsAll(Arrays.asList(ExternalId.of(SCHEME, "FXFUTURE_OPTION_USD"), ExternalId.of(SCHEME, "FXFUTURE_OPTION_EUR"))));
  }


  @Test
  public void testFXOptionSecurity() {
    final FXOptionSecurity security = ExposureFunctionTestHelper.getFXOptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

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Examples of com.opengamma.financial.security.option.FXOptionSecurity

@Deprecated
public class ForexLocalVolatilityPDEGridPresentValueFunction extends AbstractFunction.NonCompiledInvoker {


  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final FXOptionSecurity fxOption = (FXOptionSecurity) target.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String surfaceName = desiredValue.getConstraint(SURFACE);
    final String surfaceType = desiredValue.getConstraint(PROPERTY_SURFACE_TYPE);
    final String xAxis = desiredValue.getConstraint(PROPERTY_X_AXIS);
    final String yAxis = desiredValue.getConstraint(PROPERTY_Y_AXIS);
    final String yAxisType = desiredValue.getConstraint(PROPERTY_Y_AXIS_TYPE);
    final String forwardCurveCalculationMethod = desiredValue.getConstraint(CURVE_CALCULATION_METHOD);
    final String forwardCurveName = desiredValue.getConstraint(CURVE);
    final String h = desiredValue.getConstraint(PROPERTY_H);
    final String theta = desiredValue.getConstraint(PROPERTY_THETA);
    final String timeSteps = desiredValue.getConstraint(PROPERTY_TIME_STEPS);
    final String spaceSteps = desiredValue.getConstraint(PROPERTY_SPACE_STEPS);
    final String timeGridBunching = desiredValue.getConstraint(PROPERTY_TIME_GRID_BUNCHING);
    final String spaceGridBunching = desiredValue.getConstraint(PROPERTY_SPACE_GRID_BUNCHING);
    final String maxMoneyness = desiredValue.getConstraint(PROPERTY_MAX_MONEYNESS);
    final String pdeDirection = desiredValue.getConstraint(PROPERTY_PDE_DIRECTION);
    if (!(pdeDirection.equals(LocalVolatilityPDEValuePropertyNames.FORWARD_PDE))) {
      throw new OpenGammaRuntimeException("Can only use forward PDE; should never ask for this direction: " + pdeDirection);
    }
    final Object greekObject = inputs.getValue(getGreekRequirement(target, surfaceName, surfaceType, xAxis, yAxis, yAxisType,
        forwardCurveCalculationMethod, forwardCurveName, theta, timeSteps, spaceSteps, timeGridBunching, spaceGridBunching, maxMoneyness, h, pdeDirection));
    if (greekObject == null) {
      throw new OpenGammaRuntimeException("Could not get greeks");
    }
    final PDEResultCollection greeks = (PDEResultCollection) greekObject;
    final Object spotFXObject = inputs.getValue(getSpotRequirement(fxOption));
    if (spotFXObject == null) {
      throw new OpenGammaRuntimeException("Could not get spot FX");
    }
    final double[] strikes = greeks.getStrikes();
    final double[] lvPutPips = greeks.getGridGreeks(PDEResultCollection.GRID_PRICE);
    final double[] blackPutPips = greeks.getGridGreeks(PDEResultCollection.GRID_BLACK_PRICE);
    final double spotFX = (Double) spotFXObject;
    final Currency putCurrency = fxOption.getPutCurrency();
    final Currency callCurrency = fxOption.getCallCurrency();
    final double putAmount = fxOption.getPutAmount();
    final double callAmount = fxOption.getCallAmount();
    final ForexLocalVolatilityPDEPresentValueResultCollection result = new ForexLocalVolatilityPDEPresentValueResultCollection(strikes, lvPutPips, blackPutPips, spotFX,
        putCurrency, callCurrency, putAmount, callAmount);
    final ValueProperties properties = createValueProperties()
        .with(ValuePropertyNames.CALCULATION_METHOD, LocalVolatilityPDEValuePropertyNames.LOCAL_VOLATILITY_METHOD)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)

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Examples of com.opengamma.financial.security.option.FXOptionSecurity

  }


  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    final Security security = target.getSecurity();
    final FXOptionSecurity fxOption = (FXOptionSecurity) security;
    final Currency putCurrency = fxOption.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = fxOption.accept(ForexVisitors.getCallCurrencyVisitor());
    final String currencyPair = UnorderedCurrencyPair.of(putCurrency, callCurrency).getObjectId().getValue();
    if (getAllCurrencyPairs().contains(currencyPair)) {
      return true;
    }
    final String firstCcy = currencyPair.substring(0, 3);

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