Package com.opengamma.financial.security

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

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      if (samplingPeriods == null || samplingPeriods.size() != 1) {
        return null;
      }
      final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final UnorderedCurrencyPair currencies = UnorderedCurrencyPair.of(putCurrency, callCurrency);
      final String surfaceName = Iterables.getOnlyElement(surfaceNames);
      final String samplingPeriod = Iterables.getOnlyElement(samplingPeriods);
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final String vegaResultCurrency = getResultCurrency(target, currencyPair);
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      final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
      final ConfigDBVolatilitySurfaceDefinitionSource definitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
      final ConfigDBVolatilitySurfaceSpecificationSource specificationSource = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
      final Position position = target.getPosition();
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(putCurrency, callCurrency);
      final VolatilitySurfaceDefinition<Object, Object> definition = getSurfaceDefinition(currencyPair, surfaceName, definitionSource);
      final VolatilitySurfaceSpecification specification = getSurfaceSpecification(currencyPair, surfaceName, specificationSource);
      final Period samplingPeriod = getSamplingPeriod(desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD));
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      final ConfigDBVolatilitySurfaceDefinitionSource definitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
      final ConfigDBVolatilitySurfaceSpecificationSource specificationSource = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
      final Position position = target.getPosition();
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(putCurrency, callCurrency);
      final VolatilitySurfaceDefinition<Object, Object> definition = getSurfaceDefinition(currencyPair, surfaceName, definitionSource);
      final VolatilitySurfaceSpecification specification = getSurfaceSpecification(currencyPair, surfaceName, specificationSource);
      final Period samplingPeriod = getSamplingPeriod(desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD));
      final LocalDate startDate = now.minus(samplingPeriod);
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   * @deprecated The data bundle is deprecated
   */
  @Deprecated
  public static ForexOptionDataBundle<?> buildMarketBundle(final ZonedDateTime now, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    if (now.isAfter(security.accept(ForexVisitors.getExpiryVisitor()))) {
      throw new OpenGammaRuntimeException("FX option " + putCurrency.getCode() + "/" + callCurrency + " has expired");
    }
    final ValueRequirement desiredValue = desiredValues.iterator().next();
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   */
  @Deprecated
  public static ForexOptionDataBundle<?> buildMarketBundle(final ZonedDateTime now, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    if (now.isAfter(security.accept(ForexVisitors.getExpiryVisitor()))) {
      throw new OpenGammaRuntimeException("FX option " + putCurrency.getCode() + "/" + callCurrency + " has expired");
    }
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
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  @Deprecated
  public static ForexOptionDataBundle<?> buildMarketBundle(final ZonedDateTime now, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    if (now.isAfter(security.accept(ForexVisitors.getExpiryVisitor()))) {
      throw new OpenGammaRuntimeException("FX option " + putCurrency.getCode() + "/" + callCurrency + " has expired");
    }
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
    final String callCurveName = desiredValue.getConstraint(CALL_CURVE);
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      return ((FXDigitalOptionSecurity) target.getSecurity()).getPaymentCurrency().getCode();
    }
    if (security instanceof NonDeliverableFXDigitalOptionSecurity) {
      return ((NonDeliverableFXDigitalOptionSecurity) 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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    }
    if (security instanceof NonDeliverableFXDigitalOptionSecurity) {
      return ((NonDeliverableFXDigitalOptionSecurity) 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) throws AsynchronousExecution {
      final Position position = target.getPosition();
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
      final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());

      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency currencyBase = currencyPair.getBase();
      LocalDateDoubleTimeSeries payPnLSeries = null;
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    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 FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
      final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());

      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency currencyBase = currencyPair.getBase();
      LocalDateDoubleTimeSeries payPnLSeries = null;
      LocalDateDoubleTimeSeries receivePnLSeries = null;
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