Examples of com.opengamma.financial.security.FinancialSecurity.accept()

Package com.opengamma.financial.security

Class com.opengamma.financial.security.FinancialSecurity

Examples of com.opengamma.financial.security.FinancialSecurity.accept()

com.opengamma.financial.security.FinancialSecurity.accept()
Accepts a visitor to manage traversal of the hierarchy. @param < T> the result type of the visitor @param visitor the visitor, not null @return the result

  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 FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
    final String callCurveName = desiredValue.getConstraint(CALL_CURVE);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final String putCurveConfig = desiredValue.getConstraint(PUT_CURVE_CALC_CONFIG);

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    final YieldAndDiscountCurve callFundingCurve = getCurve(inputs, callCurrency, callCurveName, callCurveConfig);
    final YieldAndDiscountCurve[] curves;
    final Map<String, Currency> curveCurrency = new HashMap<>();
    curveCurrency.put(fullPutCurveName, putCurrency);
    curveCurrency.put(fullCallCurveName, callCurrency);
    final InstrumentDefinition<?> definition = security.accept(new ForexSecurityConverter(baseQuotePairs));
    final String[] allCurveNames;
    final Currency ccy1;
    final Currency ccy2;
    final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
    if (spotObject == null) {

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    final String callCurveCalculationConfig = callCurveCalculationConfigs.iterator().next();
    final String surfaceName = surfaceNames.iterator().next();
    final String interpolatorName = interpolatorNames.iterator().next();
    final String leftExtrapolatorName = leftExtrapolatorNames.iterator().next();
    final String rightExtrapolatorName = rightExtrapolatorNames.iterator().next();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final ValueRequirement putFundingCurve = getCurveRequirement(putCurveName, putCurrency, putCurveCalculationConfig);
    final ValueRequirement callFundingCurve = getCurveRequirement(callCurveName, callCurrency, callCurveCalculationConfig);
    final ValueRequirement fxVolatilitySurface = getSurfaceRequirement(surfaceName, putCurrency, callCurrency, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(putCurrency, callCurrency);

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    final String surfaceName = surfaceNames.iterator().next();
    final String interpolatorName = interpolatorNames.iterator().next();
    final String leftExtrapolatorName = leftExtrapolatorNames.iterator().next();
    final String rightExtrapolatorName = rightExtrapolatorNames.iterator().next();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final ValueRequirement putFundingCurve = getCurveRequirement(putCurveName, putCurrency, putCurveCalculationConfig);
    final ValueRequirement callFundingCurve = getCurveRequirement(callCurveName, callCurrency, callCurveCalculationConfig);
    final ValueRequirement fxVolatilitySurface = getSurfaceRequirement(surfaceName, putCurrency, callCurrency, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(putCurrency, callCurrency);
    final ValueRequirement spotRequirement = ConventionBasedFXRateFunction.getSpotRateRequirement(currencyPair);

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    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION));
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaExecutionContext.getSecuritySource(executionContext));
    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
    //TODO
    final String curveName = getCurvePrefix() + "_" + spreadCurveName;
    final CurveSpecification curveSpecification = CurveUtils.getCurveSpecification(snapshotClock.instant(), configSource, now, curveName);
    DoubleTimeSeries<?> fxSeries = null;
    boolean isInverse = true;

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    final Set<String> samplingFunctionNames = constraints.getValues(SAMPLING_FUNCTION);
    if (samplingFunctionNames == null || samplingFunctionNames.size() != 1) {
      return null;
    }
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaCompilationContext.getSecuritySource(context));
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.add(getBucketedCS01Requirement(security));
    requirements.add(getCreditSpreadCurveHTSRequirement(security, getCurvePrefix() + "_" + spreadCurveName, samplingPeriod));
    final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
    if (resultCurrencies != null && resultCurrencies.size() == 1) {

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        || security instanceof NonDeliverableFXOptionSecurity
        || security instanceof NonDeliverableFXDigitalOptionSecurity);
    if (!isFXOption) {
      return false;
    }
    final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
    final String callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()).getCode();
    final Pair<String, String> pair = Pair.of(putCurrency, callCurrency);
    if (_surfaceNameByCurrencyPair.containsKey(pair)) {
      return true;
    }

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        || security instanceof NonDeliverableFXDigitalOptionSecurity);
    if (!isFXOption) {
      return false;
    }
    final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
    final String callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()).getCode();
    final Pair<String, String> pair = Pair.of(putCurrency, callCurrency);
    if (_surfaceNameByCurrencyPair.containsKey(pair)) {
      return true;
    }
    return _surfaceNameByCurrencyPair.containsKey(Pair.of(callCurrency, putCurrency));

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    }
    if (InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_rightExtrapolatorName);
    }
    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
    final String callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()).getCode();
    if (ValuePropertyNames.SURFACE.equals(propertyName)) {
      Pair<String, String> pair = Pair.of(putCurrency, callCurrency);
      if (_surfaceNameByCurrencyPair.containsKey(pair)) {
        return Collections.singleton(_surfaceNameByCurrencyPair.get(pair));

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    if (InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME.equals(propertyName)) {
      return Collections.singleton(_rightExtrapolatorName);
    }
    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
    final String callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()).getCode();
    if (ValuePropertyNames.SURFACE.equals(propertyName)) {
      Pair<String, String> pair = Pair.of(putCurrency, callCurrency);
      if (_surfaceNameByCurrencyPair.containsKey(pair)) {
        return Collections.singleton(_surfaceNameByCurrencyPair.get(pair));
      }

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