Examples of ConfigDBCurveCalculationConfigSource

com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

      }
      final Set<String> curveCalculationMethods = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_METHOD);
      final String curveCalculationMethod;
      if (curveCalculationMethods == null) {
        final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
        final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
        final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
        curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
      } else {
        curveCalculationMethod = Iterables.getOnlyElement(curveCalculationMethods);
      }
      final Set<String> calculationMethods = constraints.getValues(ValuePropertyNames.CALCULATION_METHOD);
      final ValueRequirement ycnsRequirement = getYCNSRequirement(payCurveName, payCurveCalculationConfigName, receiveCurveName, receiveCurveCalculationConfigName,
          curveCurrency.getCode(), curveName, curveCalculationMethods, calculationMethods, security);
      final ValueProperties returnSeriesBaseConstraints = desiredValue.getConstraints().copy()
          .withoutAny(ValuePropertyNames.RECEIVE_CURVE)
          .withoutAny(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG)
          .withoutAny(ValuePropertyNames.PAY_CURVE)
          .withoutAny(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG)
          .withoutAny(ValuePropertyNames.CURVE_CURRENCY)
          .withoutAny(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS)
          .withoutAny(ValuePropertyNames.CURVE_CALCULATION_METHOD)
          .withoutAny(ValuePropertyNames.CALCULATION_METHOD).get();
      final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
      final String resultCurrency;
      final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency tradeBaseCurrency = baseQuotePair.getBase();
      final Currency tradeNonBaseCurrency = baseQuotePair.getCounter();
      final Set<ValueRequirement> requirements = new HashSet<>();
      if (resultCurrencies != null && resultCurrencies.size() == 1) {
        final Currency ccy = Currency.of(Iterables.getOnlyElement(resultCurrencies));
        if (!(ccy.equals(payCurrency) || ccy.equals(receiveCurrency))) {
          requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(tradeBaseCurrency, ccy)));
          resultCurrency = ccy.getCode();
        } else if (ccy.equals(tradeNonBaseCurrency)) {
          requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(tradeNonBaseCurrency, tradeBaseCurrency)));
          resultCurrency = tradeNonBaseCurrency.getCode();
        } else {
          requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(tradeNonBaseCurrency, tradeBaseCurrency)));
          resultCurrency = tradeBaseCurrency.getCode();
        }
      } else {
        resultCurrency = tradeBaseCurrency.getCode();
      }
      final ValueRequirement returnSeriesRequirement;
      if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
        final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
        final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
        final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
        final LinkedHashMap<String, String[]> exogenousConfigData = curveCalculationConfig.getExogenousConfigData();
        if (exogenousConfigData != null) {
          final String underlyingCurveConfigName = Iterables.getOnlyElement(exogenousConfigData.entrySet()).getKey();
          final MultiCurveCalculationConfig underlyingCurveConfig = curveCalculationConfigSource.getConfig(underlyingCurveConfigName);
          final Currency baseCurrency = Currency.of(underlyingCurveConfig.getTarget().getUniqueId().getValue());
          returnSeriesRequirement = getReturnSeriesRequirement(curveName, baseCurrency, curveCurrency, curveCalculationConfigName,
              returnSeriesBaseConstraints, resultCurrency);
        } else {
          returnSeriesRequirement = getReturnSeriesRequirement(curveName, curveCurrency, curveCalculationConfigName, returnSeriesBaseConstraints,

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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

    final IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    // Append _CCY to be consistent with curve names from YieldCurveFunctionUtils.getAllYieldCurves

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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

      return null;
    }
    final String surfaceName = surfaceNames.iterator().next() + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target);
    final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
      return null;
    }
    final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());

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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

    final Trade trade = target.getTrade();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String currency = FinancialSecurityUtils.getCurrency(trade.getSecurity()).getCode();
    final String fullCurveName = curveName + "_" + currency;

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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

    if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
      return null;
    }
    final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();

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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

    final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get yield curve spec");
    }
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig resultCurveCalculationConfig = curveCalculationConfigSource.getConfig(resultCurveConfigName);
    final String calculationMethod = resultCurveCalculationConfig.getCalculationMethod();
    final String fullCurveName = curveName + "_" + curveCurrency;
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final MultipleCurrencyInterestRateCurveSensitivity curveSensitivities = (MultipleCurrencyInterestRateCurveSensitivity) curveSensitivitiesObject;
    final Map<String, List<DoublesPair>> sensitivitiesForCurrency = curveSensitivities.getSensitivity(Currency.of(curveCurrency)).getSensitivities();

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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

      resultCurveConfigName = receiveCurveCalculationConfig;
    } else {
      return null;
    }
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig resultCurveCalculationConfig = curveCalculationConfigSource.getConfig(resultCurveConfigName);
    if (resultCurveCalculationConfig == null) {
      s_logger.error("Could not find curve calculation configuration named " + resultCurveConfigName + " for currency " + resultCurrency);
      return null;
    }
    final String resultCurveCalculationMethod = resultCurveCalculationConfig.getCalculationMethod();

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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

      invertFXQuotes = false;
    } else {
      invertFXQuotes = true;
    }
    if (domesticCurveName == null) {
      final ConfigDBCurveCalculationConfigSource curveConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
      final String[] curveNames = curveConfigSource.getConfig(curveCalculationConfigName).getYieldCurveNames();
      if (curveNames.length != 1) {
        throw new OpenGammaRuntimeException("Can only handle a single curve at the moment");
      }
      domesticCurveName = curveNames[0];
    }

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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

    }
    final String domesticCurveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBFXForwardCurveDefinitionSource fxCurveDefinitionSource = new ConfigDBFXForwardCurveDefinitionSource(configSource);
    final ConfigDBFXForwardCurveSpecificationSource fxCurveSpecificationSource = new ConfigDBFXForwardCurveSpecificationSource(configSource);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig domesticCurveCalculationConfig = curveCalculationConfigSource.getConfig(domesticCurveCalculationConfigName);
    if (domesticCurveCalculationConfig == null) {
      s_logger.error("Could not get domestic curve calculation config called {}", domesticCurveCalculationConfigName);
      return null;
    }
    if (!domesticCurveCalculationConfig.getCalculationMethod().equals(FX_IMPLIED)) {
      return null;
    }
    final Set<String> rootFinderAbsoluteTolerance = constraints.getValues(MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE);
    if (rootFinderAbsoluteTolerance == null || rootFinderAbsoluteTolerance.size() != 1) {
      return null;
    }
    final Set<String> rootFinderRelativeTolerance = constraints.getValues(MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE);
    if (rootFinderRelativeTolerance == null || rootFinderRelativeTolerance.size() != 1) {
      return null;
    }
    final Set<String> maxIterations = constraints.getValues(MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_MAX_ITERATIONS);
    if (maxIterations == null || maxIterations.size() != 1) {
      return null;
    }
    final Set<String> decomposition = constraints.getValues(MultiYieldCurvePropertiesAndDefaults.PROPERTY_DECOMPOSITION);
    if (decomposition == null || decomposition.size() != 1) {
      return null;
    }
    final Set<String> useFiniteDifference = constraints.getValues(MultiYieldCurvePropertiesAndDefaults.PROPERTY_USE_FINITE_DIFFERENCE);
    if (useFiniteDifference == null || useFiniteDifference.size() != 1) {
      return null;
    }
    final Set<String> interpolatorName = constraints.getValues(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
    if (interpolatorName == null || interpolatorName.size() != 1) {
      return null;
    }
    final Set<String> leftExtrapolatorName = constraints.getValues(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
    if (leftExtrapolatorName == null || leftExtrapolatorName.size() != 1) {
      return null;
    }
    final Set<String> rightExtrapolatorName = constraints.getValues(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
    if (rightExtrapolatorName == null || rightExtrapolatorName.size() != 1) {
      return null;
    }
    if (domesticCurveCalculationConfig.getExogenousConfigData() == null) {
      s_logger.error("Need an externally-supplied curve to imply data; tried {}", domesticCurveCalculationConfigName);
      return null;
    }
    if (domesticCurveCalculationConfig.getYieldCurveNames().length != 1) {
      s_logger.error("Can only handle one curve at the moment");
      return null;
    }
    if (!domesticCurveCalculationConfig.getTarget().equals(target.toSpecification())) {
      s_logger.info("Invalid target, was {} - expected {}", target, domesticCurveCalculationConfig.getTarget());
      return null;
    }
    final Map<String, String[]> exogenousConfigs = domesticCurveCalculationConfig.getExogenousConfigData();
    if (exogenousConfigs.size() != 1) {
      s_logger.error("Can only handle curves with one foreign curve config");
      return null;
    }
    final Map.Entry<String, String[]> foreignCurveConfigNames = exogenousConfigs.entrySet().iterator().next();
    final MultiCurveCalculationConfig foreignConfig = curveCalculationConfigSource.getConfig(foreignCurveConfigNames.getKey());
    if (foreignConfig == null) {
      s_logger.error("Foreign config was null; tried {}", foreignCurveConfigNames.getKey());
      return null;
    }
    final ComputationTargetSpecification foreignCurrencySpec = foreignConfig.getTarget();

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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final YieldCurveBundle bundle = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);

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