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

          .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);
    }


    // FunctionInvoker

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      final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
      final LocalDateDoubleTimeSeries timeSeries = (LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES);
      final LocalDate startDate = now.toLocalDate().minus(Period.parse(samplingPeriod));
      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
      final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double delta = mca.getAmount(currencyNonBase);

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      final LocalDateDoubleTimeSeries timeSeries = (LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES);
      final LocalDate startDate = now.toLocalDate().minus(Period.parse(samplingPeriod));
      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
      final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double delta = mca.getAmount(currencyNonBase);
      DoubleTimeSeries<?> result = getPnLSeries(startDate, now.toLocalDate(), schedule, sampling, timeSeries);

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  @Override
  public String classifyPosition(final Position position) {
    final Security security = position.getSecurity();
    if (security instanceof FinancialSecurity) {
      final FinancialSecurity finSec = (FinancialSecurity) security;
      return finSec.accept(new FinancialSecurityVisitor<String>() {


        @Override
        public String visitGovernmentBondSecurity(final GovernmentBondSecurity security) {
          return BONDS;
        }

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          .creditDefaultSwapOptionSecurityVisitor(_cdsOptionSecurityVisitor)
          .creditDefaultSwapIndexSecurityVisitor(_cdsIndexSecurityVisitor)
          .create();
      FinancialSecurity security = (FinancialSecurity) position.getSecurityLink().resolve(_secSource);
      try {
        String classification = security.accept(visitorAdapter);
        return classification == null ? UNKNOWN : classification;
      } catch (UnsupportedOperationException uoe) {
        return UNKNOWN;
      }
    }

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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 Currency currencyBase = _currencyPairs.getCurrencyPair(putCurrency, callCurrency).getBase();
      final ValueProperties properties = createValueProperties()
          .with(ValuePropertyNames.CALCULATION_METHOD, FXDigitalCallSpreadBlackFunction.CALL_SPREAD_BLACK_METHOD)
          .withAny(FXOptionBlackFunction.PUT_CURVE)

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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 Currency currencyBase = _currencyPairs.getCurrencyPair(putCurrency, callCurrency).getBase();
      final ValueProperties properties = createValueProperties()
          .with(ValuePropertyNames.CALCULATION_METHOD, FXDigitalCallSpreadBlackFunction.CALL_SPREAD_BLACK_METHOD)
          .withAny(FXOptionBlackFunction.PUT_CURVE)
          .withAny(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG)

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          .with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorNames.iterator().next())
          .with(FXDigitalCallSpreadBlackFunction.PROPERTY_CALL_SPREAD_VALUE, callSpreads.iterator().next()).get();
      final ValueRequirement fxCurrencyExposureRequirement = new ValueRequirement(
          ValueRequirementNames.FX_CURRENCY_EXPOSURE, ComputationTargetType.SECURITY, target.getPosition().getSecurity().getUniqueId(), exposureConstraints);
      final FinancialSecurity security = (FXDigitalOptionSecurity) target.getPosition().getSecurity();
      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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          .with(FXDigitalCallSpreadBlackFunction.PROPERTY_CALL_SPREAD_VALUE, callSpreads.iterator().next()).get();
      final ValueRequirement fxCurrencyExposureRequirement = new ValueRequirement(
          ValueRequirementNames.FX_CURRENCY_EXPOSURE, ComputationTargetType.SECURITY, target.getPosition().getSecurity().getUniqueId(), exposureConstraints);
      final FinancialSecurity security = (FXDigitalOptionSecurity) target.getPosition().getSecurity();
      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);
    }


    // FunctionInvoker

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      final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final LocalDate startDate = now.toLocalDate().minus(Period.parse(samplingPeriod));
      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double delta = mca.getAmount(currencyNonBase);
      final HistoricalTimeSeries timeSeries = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES);

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