Examples of SwaptionSecurity

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

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     * @param fxMatrix The FX matrix, not null
     * @return The Black surface and curve data
     */
    protected BlackSwaptionFlatProvider getBlackSurface(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final FXMatrix fxMatrix) {
      final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
      final SwaptionSecurity security = (SwaptionSecurity) target.getTrade().getSecurity();
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(INTERPOLATED_VOLATILITY_SURFACE);
      final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
          SwaptionUtils.getSwapGenerator(security, definition, securitySource));
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Examples of com.opengamma.financial.security.option.SwaptionSecurity

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  @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 SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String fullCurveName = curveName + "_" + currency.getCode();
    final Object volatilityObject = inputs.getValue(MarketDataRequirementNames.IMPLIED_VOLATILITY);
    if (volatilityObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility");
    }
    final double volatility = (Double) volatilityObject;
    final VolatilitySurface volatilitySurface = new VolatilitySurface(ConstantDoublesSurface.from(volatility));
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    if (curveNames.length == 1) {
      curveNames = new String[] {curveNames[0], curveNames[0] };
    }
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      throw new UnsupportedOperationException("Cannot handle FX implied curves");
    }
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames); //TODO
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
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Examples of com.opengamma.financial.security.option.SwaptionSecurity

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  @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 SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    String[] curveNames = curveCalculationConfig.getYieldCurveNames(); //TODO
    if (curveNames.length == 1) {
      curveNames = new String[] {curveNames[0], curveNames[0] };
    }
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceName, currency));
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface");
    }
    final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDerivative swaption = _definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries);
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
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Examples of com.opengamma.financial.security.option.SwaptionSecurity

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      @Override
      public boolean canApplyTo(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
        final Security security = target.getTrade().getSecurity();
        if (security instanceof SwaptionSecurity) {
          final SwaptionSecurity swaptionSecurity = (SwaptionSecurity) security;
          return !swaptionSecurity.isCashSettled();
        }
        return false;
      }

      @Override
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Examples of com.opengamma.financial.security.option.SwaptionSecurity

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  @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 SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final Object volatilityObject = inputs.getValue(MarketDataRequirementNames.IMPLIED_VOLATILITY);
    if (volatilityObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility");
    }
    final double volatility = (Double) volatilityObject;
    final VolatilitySurface volatilitySurface = new VolatilitySurface(ConstantDoublesSurface.from(volatility));
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (curveNames.length == 1) {
      curveNames = new String[] {curveNames[0], curveNames[0] };
    }
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
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Examples of com.opengamma.financial.security.option.SwaptionSecurity

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    protected abstract String getCalculationMethod();

    protected SABRSwaptionProvider getSABRSurfaces(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
        final FXMatrix fxMatrix, final DayCount dayCount) {
      final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
      final SwaptionSecurity security = (SwaptionSecurity) target.getTrade().getSecurity();
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) inputs.getValue(SABR_SURFACES);
      final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
      final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
      final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
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Examples of com.opengamma.financial.security.option.SwaptionSecurity

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    }
  }

  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    final SwaptionSecurity swaption = (SwaptionSecurity) target.getSecurity();
    final String currencyName = FinancialSecurityUtils.getCurrency(swaption).getCode();
    return _currencyCurveConfigAndSurfaceNames.containsKey(currencyName);
  }
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Examples of com.opengamma.financial.security.option.SwaptionSecurity

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  @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 SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceName, currency));
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface");
    }
    final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (curveNames.length == 1) {
      curveNames = new String[] {curveNames[0], curveNames[0] };
    }
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
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Examples of com.opengamma.financial.security.option.SwaptionSecurity

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     * @param fxMatrix The FX matrix, not null
     * @return The Black surface and curve data
     */
    protected BlackSwaptionFlatProvider getSwaptionBlackSurface(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final FXMatrix fxMatrix) {
      final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
      final SwaptionSecurity security = (SwaptionSecurity) target.getTrade().getSecurity();
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final double volatility = (Double) inputs.getValue(MarketDataRequirementNames.IMPLIED_VOLATILITY);
      final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(ConstantDoublesSurface.from(volatility),
          SwaptionUtils.getSwapGenerator(security, definition, securitySource));
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