Package com.opengamma.financial.analytics.conversion

Examples of com.opengamma.financial.analytics.conversion.ForexSecurityConverter

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    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);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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    } else if (daysForward.equalsIgnoreCase("+1") || daysForward.equalsIgnoreCase("1")) {
      daysFwdOrBackward = 1;
    } else {
      throw new OpenGammaRuntimeException("Property 'DaysForward' must be set to either 1 or -1.");
    }
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final String fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
    final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
    final YieldAndDiscountCurve putFundingCurve = FXOptionFunctionUtils.getCurveForCurrency(inputs, putCurrency, putCurveName, putCurveConfig);
    final YieldAndDiscountCurve callFundingCurve = FXOptionFunctionUtils.getCurveForCurrency(inputs, callCurrency, callCurveName, callCurveConfig);
    final YieldAndDiscountCurve[] curves;
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    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);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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    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);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final ForexSecurityConverter fxConverter = new ForexSecurityConverter(baseQuotePairs);
    return new Compiled(FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter).fraSecurityVisitor(fraConverter)
        .swapSecurityVisitor(swapConverter).interestRateFutureSecurityVisitor(irFutureConverter).bondSecurityVisitor(bondConverter).fxForwardVisitor(fxConverter)
        .nonDeliverableFxForwardVisitor(fxConverter).create(), new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver));
  }
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    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final ForexSecurityConverter fxConverter = new ForexSecurityConverter(baseQuotePairs);
    return new Compiled(FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter).fraSecurityVisitor(fraConverter)
        .swapSecurityVisitor(swapConverter).interestRateFutureSecurityVisitor(irFutureConverter).bondSecurityVisitor(bondConverter).fxForwardVisitor(fxConverter)
        .nonDeliverableFxForwardVisitor(fxConverter).create(), new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver));
  }
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    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final ForexSecurityConverter fxConverter = new ForexSecurityConverter(baseQuotePairs);
    return new Compiled(FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter).fraSecurityVisitor(fraConverter)
        .swapSecurityVisitor(swapConverter).interestRateFutureSecurityVisitor(irFutureConverter).bondSecurityVisitor(bondConverter).fxForwardVisitor(fxConverter)
        .nonDeliverableFxForwardVisitor(fxConverter).create(), new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver));
  }
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Related Classes of com.opengamma.financial.analytics.conversion.ForexSecurityConverter

  • com.opengamma.analytics.financial.forex.definition.ForexDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexNonDeliverableForwardDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexOptionDigitalDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexOptionSingleBarrierDefinition
  • com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinition
  • com.opengamma.analytics.financial.model.option.definition.Barrier
  • com.opengamma.financial.analytics.cashflow.FixedCashFlowFunction
  • com.opengamma.financial.analytics.cashflow.FloatingCashFlowFunction
  • com.opengamma.financial.analytics.cashflow.NettedFixedCashFlowFunction
  • com.opengamma.financial.analytics.model.forex.forward.FXForwardFunction
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