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

  protected static String getResultCurrency(final ComputationTarget target, final CurrencyPair baseQuotePair) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    if (security instanceof FXDigitalOptionSecurity) {
      return ((FXDigitalOptionSecurity) target.getSecurity()).getPaymentCurrency().getCode();
    }
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    Currency ccy;
    if (baseQuotePair.getBase().equals(putCurrency)) {
      ccy = callCurrency;
    } else {

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    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    if (security instanceof FXDigitalOptionSecurity) {
      return ((FXDigitalOptionSecurity) target.getSecurity()).getPaymentCurrency().getCode();
    }
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    Currency ccy;
    if (baseQuotePair.getBase().equals(putCurrency)) {
      ccy = callCurrency;
    } else {
      ccy = putCurrency;

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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    // Create the derivative
    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);

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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    // Create the derivative
    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 fullPutCurveName = putCurveName + "_" + putCurrency.getCode();

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    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      allCurveNames = new String[] {fullPutCurveName, fullCallCurveName };
    } else {
      allCurveNames = new String[] {fullCallCurveName, fullPutCurveName };
    }
    final InstrumentDefinition<?> definition = security.accept(new ForexSecurityConverter(baseQuotePairs));
    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final InstrumentDerivative fxOption = definition.toDerivative(now, allCurveNames);


    // Get market data
    final ForexOptionDataBundle<?> marketData = FXOptionFunctionUtils.buildMarketBundle(now, inputs, target, desiredValues);

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    final String callCurveCalculationConfig = Iterables.getOnlyElement(callCurveCalculationConfigs);
    final String surfaceName = Iterables.getOnlyElement(surfaceNames);
    final String interpolatorName = Iterables.getOnlyElement(interpolatorNames);
    final String leftExtrapolatorName = Iterables.getOnlyElement(leftExtrapolatorNames);
    final String rightExtrapolatorName = Iterables.getOnlyElement(rightExtrapolatorNames);
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final ValueRequirement putFundingCurve = getCurveRequirementForFXOption(ComputationTargetSpecification.of(putCurrency), putCurveName, putCurveCalculationConfig, true,
        otherProperties);
    final ValueRequirement callFundingCurve = getCurveRequirementForFXOption(ComputationTargetSpecification.of(callCurrency), callCurveName, callCurveCalculationConfig, false,
        otherProperties);

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    final String surfaceName = Iterables.getOnlyElement(surfaceNames);
    final String interpolatorName = Iterables.getOnlyElement(interpolatorNames);
    final String leftExtrapolatorName = Iterables.getOnlyElement(leftExtrapolatorNames);
    final String rightExtrapolatorName = Iterables.getOnlyElement(rightExtrapolatorNames);
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final ValueRequirement putFundingCurve = getCurveRequirementForFXOption(ComputationTargetSpecification.of(putCurrency), putCurveName, putCurveCalculationConfig, true,
        otherProperties);
    final ValueRequirement callFundingCurve = getCurveRequirementForFXOption(ComputationTargetSpecification.of(callCurrency), callCurveName, callCurveCalculationConfig, false,
        otherProperties);
    final ValueRequirement fxVolatilitySurface = getSurfaceRequirement(surfaceName, putCurrency, callCurrency, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);

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    if (putCurveName == null || callCurveName == null || currencyPairConfigName == null) {
      return null;
    }
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      s_logger.error("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
      return null;

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      return null;
    }
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      s_logger.error("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
      return null;
    }

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    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final Object curveSensitivitiesObject = inputs.getValue(ValueRequirementNames.FX_CURVE_SENSITIVITIES);
    if (curveSensitivitiesObject == null) {
      throw new OpenGammaRuntimeException("Could not get curve sensitivities");
    }
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS);
    if (baseQuotePairsObject == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote pair data");
    }

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