Package com.opengamma.analytics.financial.forex.method

Examples of com.opengamma.analytics.financial.forex.method.FXMatrix

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    interpolators.put(fundingCurveName, getInterpolator(fundingCurveSpecificationWithSecurities));
    curveNodes.put(forwardCurveName, forwardNodeTimes);
    interpolators.put(forwardCurveName, getInterpolator(forwardCurveSpecificationWithSecurities));
    // TODO have use finite difference or not as an input [FIN-147]
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues, null, curveNodes, interpolators, false, new FXMatrix(currency));
    // TODO have the calculator and sensitivity calculators as an input [FIN-144], [FIN-145]
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, getCalculator());
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, getSensitivityCalculator());
    NewtonVectorRootFinder rootFinder;
    double[] yields = null;
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    final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
    }
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
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    final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
    }
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    return getResult(fxOption, spreadValue, smileBundle, target, desiredValues, inputs, spec, executionContext);
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    if (baseQuotePairs.getCurrencyPair(receiveCurrency, payCurrency).getBase().equals(receiveCurrency)) {
      spotFX = (Double) inputs.getValue(spotRequirement);
    } else {
      spotFX = 1. / (Double) inputs.getValue(spotRequirement);
    }
    final FXMatrix fxMatrix = new FXMatrix();
    fxMatrix.addCurrency(receiveCurrency, payCurrency, spotFX);
    final YieldCurveBundle yieldCurves = new YieldCurveBundle(fxMatrix, allCurveNames, curves);
    return getResult(forex, yieldCurves, fxForwardCurve, target, desiredValues, inputs, executionContext, forwardCurveDefinition);
  }
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      return DISCOUNTING;
    }

    @Override
    protected IssuerProviderInterface getKnownData(final FunctionInputs inputs) {
      final FXMatrix fxMatrix = (FXMatrix) inputs.getValue(ValueRequirementNames.FX_MATRIX);
      //TODO requires that the discounting curves are supplied externally
      IssuerProviderDiscount knownData;
      if (getExogenousRequirements().isEmpty()) {
        knownData = new IssuerProviderDiscount(fxMatrix);
      } else {
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    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
        final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
      if (inputs.getAllValues().size() == 0) {
        return Collections.singleton(new ComputedValue(_spec, new FXMatrix()));
      }
      final FXMatrix matrix = new FXMatrix();
      final Iterator<Currency> iter = _currencies.iterator();
      final Currency initialCurrency = iter.next();
      final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
      while (iter.hasNext()) {
        final Currency otherCurrency = iter.next();
        if (pairs.getCurrencyPair(initialCurrency, otherCurrency).getBase().equals(initialCurrency)) {
          final double spotRate = (Double) inputs.getValue(new ValueRequirement(ValueRequirementNames.SPOT_RATE,
              CurrencyPair.TYPE.specification(CurrencyPair.of(otherCurrency, initialCurrency))));
          matrix.addCurrency(otherCurrency, initialCurrency, spotRate);
        } else {
          final double spotRate = (Double) inputs.getValue(new ValueRequirement(ValueRequirementNames.SPOT_RATE,
              CurrencyPair.TYPE.specification(CurrencyPair.of(otherCurrency, initialCurrency))));
          matrix.addCurrency(otherCurrency, initialCurrency, 1 / spotRate);
        }
      }
      return Collections.singleton(new ComputedValue(_spec, matrix));
    }
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    final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
    }
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
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    final boolean useFiniteDifference = Boolean.parseBoolean(useFiniteDifferenceName);
    final Decomposition<?> decomposition = DecompositionFactory.getDecomposition(decompositionName);
    final Set<ComputedValue> results = new HashSet<>();
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurves, curveNodes, interpolators, useFiniteDifference,
        new FXMatrix(currency));
    final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_SPREAD_RATE_CALCULATOR);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderIRSJacobian(data, PAR_SPREAD_RATE_SENSITIVITY_CALCULATOR);
    final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
    final DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
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    final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
    }
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    if (security instanceof FXOptionSecurity) {
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      return DISCOUNTING;
    }

    @Override
    protected MulticurveProviderInterface getKnownData(final FunctionInputs inputs) {
      final FXMatrix fxMatrix = (FXMatrix) inputs.getValue(ValueRequirementNames.FX_MATRIX);
      MulticurveProviderDiscount knownData;
      if (getExogenousRequirements().isEmpty()) {
        knownData = new MulticurveProviderDiscount(fxMatrix);
      } else {
        knownData = (MulticurveProviderDiscount) inputs.getValue(ValueRequirementNames.CURVE_BUNDLE);
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