Package com.opengamma.financial.security

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

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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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    }
    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    if (!(security instanceof FXOptionSecurity || security instanceof FXBarrierOptionSecurity || security instanceof FXDigitalOptionSecurity)) {
      return false;
    }
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    return callCurrency.getCode().equals(_callCurrency) && putCurrency.getCode().equals(_putCurrency);
  }

  @Override
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    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    if (!(security instanceof FXOptionSecurity || security instanceof FXBarrierOptionSecurity || security instanceof FXDigitalOptionSecurity)) {
      return false;
    }
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    return callCurrency.getCode().equals(_callCurrency) && putCurrency.getCode().equals(_putCurrency);
  }

  @Override
  protected void getDefaults(final PropertyDefaults defaults) {
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    final String interpolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.X_INTERPOLATOR_NAME));
    final String leftExtrapolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME));
    final String rightExtrapolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME));
    final String currency = Iterables.getOnlyElement(currencies);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final String resultCurrency, resultCurveConfigName;
    if (currency.equals(putCurrency.getCode())) {
      resultCurrency = putCurrency.getCode();
      resultCurveConfigName = putCurveCalculationConfigName;
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    final String leftExtrapolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME));
    final String rightExtrapolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME));
    final String currency = Iterables.getOnlyElement(currencies);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final String resultCurrency, resultCurveConfigName;
    if (currency.equals(putCurrency.getCode())) {
      resultCurrency = putCurrency.getCode();
      resultCurveConfigName = putCurveCalculationConfigName;
    } else if (currency.equals(callCurrency.getCode())) {
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    if (putCurveName == null || callCurveName == null || currencyPairConfigName == null || curveCurrency == 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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    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
      final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyBase = currencyPair.getBase(); // The base currency
      final ValueProperties properties = createValueProperties()
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
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    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
      final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyBase = currencyPair.getBase(); // The base currency
      final ValueProperties properties = createValueProperties()
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .withAny(FXOptionBlackFunction.PUT_CURVE)
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          .with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, interpolatorNames.iterator().next())
          .with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorNames.iterator().next())
          .with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorNames.iterator().next()).get();
      final ValueRequirement fxCurrencyExposureRequirement = new ValueRequirement(
          ValueRequirementNames.FX_CURRENCY_EXPOSURE, ComputationTargetType.SECURITY, security.getUniqueId(), exposureConstraints);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final ValueRequirement fxSpotRequirement = ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(putCurrency, callCurrency);
      return ImmutableSet.of(fxCurrencyExposureRequirement, fxSpotRequirement);
    }
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