Package com.opengamma.financial.security.option

Examples of com.opengamma.financial.security.option.SwaptionSecurity.accept()

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  }

  @Test
  public void testSwaptionSecurity() {
    final SwaptionSecurity security = ExposureFunctionTestHelper.getPaySwaptionSecurity();
    final List<ExternalId> ids = security.accept(EXPOSURE_FUNCTION);
    assertNull(ids);
  }

  @Test
  public void testXCcySwapSecurity() {
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  @Test
  public void testSwaptionSecurity() {
    final SwaptionSecurity security = ExposureFunctionTestHelper.getPaySwaptionSecurity();
    final SwapSecurity underlying = ExposureFunctionTestHelper.getPayFixedFloatSwapSecurity();
    final List<ExternalId> ids = security.accept(new SecurityAndRegionExposureFunction(ExposureFunctionTestHelper.getSecuritySource(underlying)));
    assertEquals(1, ids.size());
    assertEquals(ExternalId.of(SCHEME, "SWAPTION_DE"), ids.get(0));
  }

  @Test
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    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      throw new UnsupportedOperationException("Cannot handle FX implied curves");
    }
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames); //TODO
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
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    if (volatilityObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility");
    }
    final double volatility = (Double) volatilityObject;
    final VolatilitySurface volatilitySurface = new VolatilitySurface(ConstantDoublesSurface.from(volatility));
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames);
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
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    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      throw new UnsupportedOperationException("Cannot handle FX implied curves");
    }
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames); //TODO
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
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    }
    final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDerivative swaption = _definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries);
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
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    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (curveNames.length == 1) {
      curveNames = new String[] {curveNames[0], curveNames[0] };
    }
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
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    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (curveNames.length == 1) {
      curveNames = new String[] {curveNames[0], curveNames[0] };
    }
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
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