Package com.opengamma.financial.analytics.conversion

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

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    final YieldAndDiscountCurve callFundingCurve = getCurve(inputs, callCurrency, callCurveName, callCurveConfig);
    final YieldAndDiscountCurve[] curves;
    final Map<String, Currency> curveCurrency = new HashMap<>();
    curveCurrency.put(fullPutCurveName, putCurrency);
    curveCurrency.put(fullCallCurveName, callCurrency);
    final InstrumentDefinition<?> definition = security.accept(new ForexSecurityConverter(baseQuotePairs));
    final String[] allCurveNames;
    final Currency ccy1;
    final Currency ccy2;
    final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
    if (spotObject == null) {
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    if (baseQuotePair.getBase().equals(putCurrency)) { // To get Base/quote in market standard order.
      allCurveNames = new String[] {fullPutCurveName, fullCallCurveName };
    } else {
      allCurveNames = new String[] {fullCallCurveName, fullPutCurveName };
    }
    final InstrumentDefinition<?> definition = security.accept(new ForexSecurityConverter(baseQuotePairs));
    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final InstrumentDerivative fxOption = definition.toDerivative(now, allCurveNames);

    // Get market data
    final ForexOptionDataBundle<?> marketData = FXOptionFunctionUtils.buildMarketBundle(now, inputs, target, desiredValues);
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    }
    return new String[] {fullCallCurveName, fullPutCurveName };
  }

  protected InstrumentDerivative getDerivative(final FinancialSecurity security, final String[] allCurveNames, final CurrencyPairs baseQuotePairs, final ZonedDateTime now) {
    final InstrumentDefinition<?> definition = security.accept(new ForexSecurityConverter(baseQuotePairs));
    return definition.toDerivative(now, allCurveNames);
  }
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    final YieldAndDiscountCurve[] curves;
    final String[] allCurveNames;
    curves = new YieldAndDiscountCurve[] {payCurve, receiveCurve };
    allCurveNames = new String[] {fullPayCurveName, fullReceiveCurveName };
    // Implementation note: The ForexSecurityConverter create the Forex with currency order pay/receive. The curve are passed in the same order.
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final InstrumentDefinition<?> definition = security.accept(converter);
    final Forex forex = (Forex) definition.toDerivative(now, allCurveNames);
    final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties.get());
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      allCurveNames = new String[] {fullPayCurveName, fullReceiveCurveName};
    } else {
      curves = new YieldAndDiscountCurve[] {receiveFundingCurve, payFundingCurve};
      allCurveNames = new String[] {fullReceiveCurveName, fullPayCurveName};
    }
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final ForexDefinition definition = (ForexDefinition) security.accept(converter);
    final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue);
    final ValueSpecification spec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get());
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
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      curves = new YieldAndDiscountCurve[] {callFundingCurve, putFundingCurve };
      allCurveNames = new String[] {fullCallCurveName, fullPutCurveName };
      ccy1 = callCurrency;
      ccy2 = putCurrency;
    }
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final InstrumentDefinition<InstrumentDerivative> definition = (InstrumentDefinition<InstrumentDerivative>) security.accept(converter);
    final InstrumentDerivative fxOption = definition.toDerivative(now, allCurveNames);
    final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
    final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
    if (spotObject == null) {
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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 YieldAndDiscountCurve[] curves;
    final String[] allCurveNames;
    curves = new YieldAndDiscountCurve[] {payCurve, receiveCurve };
    allCurveNames = new String[] {fullPayCurveName, fullReceiveCurveName };
    // Implementation note: The ForexSecurityConverter create the Forex with currency order pay/receive. The curve are passed in the same order.
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final InstrumentDefinition<?> definition = security.accept(converter);
    final Forex forex = (Forex) definition.toDerivative(now, allCurveNames);
    final FXForwardCurveInstrumentProvider provider = forwardCurveSpecification.getCurveInstrumentProvider();
    final ValueRequirement spotRequirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument());
    final double spotFX;
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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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