Examples of ConfigDBCurveCalculationConfigSource

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

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    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    _securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
    _definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
    _curveCalculationConfig = new ConfigDBCurveCalculationConfigSource(configSource);
    ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
  }
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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

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   *
   * @param repo  the component repository, only used to register secondary items like lifecycle, not null
   * @return the curve calculation config source, not null
   */
  protected ConfigDBCurveCalculationConfigSource createCurveCalculationConfigSource(ComponentRepository repo) {
    return new ConfigDBCurveCalculationConfigSource(getConfigSource());
  }
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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

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    final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
    requirements.add(HistoricalTimeSeriesFunctionUtils.createFXForwardCurveHTSRequirement(currencyPair, curveName, MarketDataRequirementNames.MARKET_VALUE,
        null, start, includeStart, end, includeEnd));

    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (FXImpliedYieldCurveFunction.FX_IMPLIED.equals(curveCalculationConfig.getCalculationMethod())) {
      final Currency impliedCcy = ComputationTargetType.CURRENCY.resolve(curveCalculationConfig.getTarget().getUniqueId());
      final String baseCalculationConfigName = Iterables.getOnlyElement(curveCalculationConfig.getExogenousConfigData().entrySet()).getKey();
      final MultiCurveCalculationConfig baseCurveCalculationConfig = curveCalculationConfigSource.getConfig(baseCalculationConfigName);
      final Currency baseCcy = ComputationTargetType.CURRENCY.resolve(baseCurveCalculationConfig.getTarget().getUniqueId());
      requirements.add(getFXForwardCurveDefinitionRequirement(UnorderedCurrencyPair.of(impliedCcy, baseCcy), curveName));
    } else {
      return null;
    }
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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

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    final Period samplingPeriod = getSamplingPeriod(constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD));
    final LocalDate startDate = now.minus(samplingPeriod);
    final Schedule scheduleCalculator = getScheduleCalculator(constraints.getValues(ValuePropertyNames.SCHEDULE_CALCULATOR));
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(constraints.getValues(ValuePropertyNames.SAMPLING_FUNCTION));
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    DoubleTimeSeries<?> result = null;
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    for (final String yieldCurveName : yieldCurveNames) {
      final ValueRequirement ycnsRequirement = getYCNSRequirement(currencyString, curveCalculationConfigName, yieldCurveName, surfaceName, target);
      final DoubleLabelledMatrix1D ycns = (DoubleLabelledMatrix1D) inputs.getValue(ycnsRequirement);
      final HistoricalTimeSeriesBundle ychts = (HistoricalTimeSeriesBundle) inputs.getValue(getYCHTSRequirement(currency, yieldCurveName, samplingPeriod.toString()));
      final DoubleTimeSeries<?> pnLSeries;
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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

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    if (samplingPeriods == null || samplingPeriods.size() != 1) {
      return null;
    }
    final String samplingPeriod = samplingPeriods.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;
    }
    if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

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      resultCurveConfigName = callCurveCalculationConfigName;
    } 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;
    }
    requirements.add(getCurveSensitivitiesRequirement(putCurveName, putCurveCalculationConfigName, callCurveName, callCurveCalculationConfigName, surfaceName,
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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

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    if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
      return null;
    }
    final String curveCalculationConfigName = Iterables.getOnlyElement(curveCalculationConfigNames);
    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;
    }
    if (!curveCalculationConfig.getCalculationMethod().equals(getCalculationMethod())) {
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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

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    final String decompositionName = desiredValue.getConstraint(PROPERTY_DECOMPOSITION);
    final String useFiniteDifferenceName = desiredValue.getConstraint(PROPERTY_USE_FINITE_DIFFERENCE);
    final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(START_DATE_PROPERTY));
    final LocalDate endDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(END_DATE_PROPERTY));
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final MultiCurveCalculationConfig curveCalculationConfig = new ConfigDBCurveCalculationConfigSource(configSource).getConfig(curveCalculationConfigName);
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionBundleSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final YieldCurveFixingSeriesProvider provider = new YieldCurveFixingSeriesProvider(conventionBundleSource);
    final Set<ComputedValue> results = new HashSet<>();
    final double absoluteTolerance = Double.parseDouble(absoluteToleranceName);
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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

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    final LocalDate startDate = now.minus(samplingPeriod);
    final Schedule scheduleCalculator = getScheduleCalculator(desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR));
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION));
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    DoubleTimeSeries<?> result = null;
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    DoubleTimeSeries<?> fxSeries = null;
    boolean isInverse = true;
    if (!desiredCurrency.equals(currencyString)) {
      if (inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES) != null) {
        final Map<UnorderedCurrencyPair, DoubleTimeSeries<?>> allFXSeries = (Map<UnorderedCurrencyPair, DoubleTimeSeries<?>>) inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES);
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Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

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    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 Set<String> periodNames = constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD);
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