Package com.opengamma.financial.security

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

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      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);
      DateDoubleTimeSeries<?> result = getPnLSeries(startDate, now.toLocalDate(), schedule, sampling, timeSeries);
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    securityRequest.setSortOrder(SecuritySearchSortOrder.NAME_ASC);

    for (SecurityDocument doc : SecuritySearchIterator.iterable(securityMaster, securityRequest)) {
      FinancialSecurity security = (FinancialSecurity) doc.getSecurity();
      try {
        security.accept(new FuturePriceCurveCreatorVisitor(configMaster, bbgRefData, _curveSpecificationNames, _curveDefinitionNames, dryRun));
      } catch (Exception ex) {
        s_logger.error("Error processing " + security.getName() + ": " + ex.getLocalizedMessage());
        continue;
      }
    }
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    final String callCurveCalculationConfigName = desiredValue.getConstraint(CALL_CURVE_CALC_CONFIG);
    final String curveCurrency = desiredValue.getConstraint(ValuePropertyNames.CURVE_CURRENCY);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final Object curveSensitivitiesObject = inputs.getValue(ValueRequirementNames.FX_CURVE_SENSITIVITIES);
    final String resultCurveConfigName;
    final String putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()).getCode();
    if (curveCurrency.equals(putCurrency)) {
      resultCurveConfigName = putCurveCalculationConfigName;
    } else {
      resultCurveConfigName = callCurveCalculationConfigName;
    }
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    }
    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    if (!(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 String surfaceName = Iterables.getOnlyElement(constraints.getValues(SURFACE));
    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 FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final String curveCurrency = Iterables.getOnlyElement(curveCurrencies);
    final String resultCurrency, resultCurveName, resultCurveConfigName;
    if (curveCurrency.equals(putCurrency.getCode())) {
      resultCurrency = putCurrency.getCode();
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    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    if (!(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 FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final String curveCurrency = Iterables.getOnlyElement(curveCurrencies);
    final String resultCurrency, resultCurveName, resultCurveConfigName;
    if (curveCurrency.equals(putCurrency.getCode())) {
      resultCurrency = putCurrency.getCode();
      resultCurveName = putCurveName;
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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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    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 String putCurrencyCurve = desiredValue.getConstraint(FXOptionBlackFunction.PUT_CURVE);
    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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