Examples of ConventionBundle

Examples of com.opengamma.financial.convention.ConventionBundle

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        .with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionNames.iterator().next())
        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorNames.iterator().next()).get()));
    requirements.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,
        DateConstraint.VALUATION_TIME.minus(samplingPeriodName), true, DateConstraint.VALUATION_TIME, true));
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Examples of com.opengamma.financial.convention.ConventionBundle

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    final DefaultConventionBundleSource cbs = new DefaultConventionBundleSource(cbm);
    final Set<ExternalId> externalInitialRateId = newHashSet();
    for (final Currency currency : currencies) {
      for (final String swapType : new String[]{"SWAP", "3M_SWAP", "6M_SWAP"}) {
        final String product = currency.getCode() + "_" + swapType;
        final ConventionBundle convention = cbs.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, product));
        if (convention != null) {
          final ExternalId initialRate = convention.getSwapFloatingLegInitialRate();
          final ConventionBundle realIdConvention = cbs.getConventionBundle(initialRate);
          if (realIdConvention != null) {
            externalInitialRateId.add(realIdConvention.getIdentifiers().getExternalId(ExternalSchemes.BLOOMBERG_TICKER));
          } else {
            s_logger.error("No convention for {}", initialRate.toString());
          }
        } else {
          s_logger.warn("No convention for {} product", product);
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Examples of com.opengamma.financial.convention.ConventionBundle

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        timeSeries.add(input.getSpecification().getProperty(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY), timeSeriesSource.getExternalIdBundle(ts.getUniqueId()), ts);
      }
    }
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM")); //TODO
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeries marketTimeSeries = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMMarket());
    final HistoricalTimeSeries riskFreeTimeSeries = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMRiskFreeRate());
    final TimeSeriesReturnCalculator returnCalculator = getReturnCalculator(constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR));
    DoubleTimeSeries<?> marketReturn = returnCalculator.evaluate(marketTimeSeries.getTimeSeries());
    final DoubleTimeSeries<?> riskFreeTS = riskFreeTimeSeries.getTimeSeries().divide(100 * DAYS_IN_YEAR);
    marketReturn = marketReturn.subtract(riskFreeTS);
    DoubleTimeSeries<?> assetReturn = assetPnL.divide(assetFairValue);
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Examples of com.opengamma.financial.convention.ConventionBundle

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        .with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorName.iterator().next())
        .with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName.iterator().next())
        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName.iterator().next()).get()));
    requirements.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, target.toSpecification()));
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM")); //TODO
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult marketTimeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (marketTimeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(marketTimeSeries,
        MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriod), true, DateConstraint.VALUATION_TIME, true));
    final HistoricalTimeSeriesResolutionResult riskFreeTimeSeries = resolver.resolve(bundle.getCAPMRiskFreeRate(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (riskFreeTimeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(riskFreeTimeSeries,
        MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriod), true, DateConstraint.VALUATION_TIME, true));
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Examples of com.opengamma.financial.convention.ConventionBundle

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        .with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorName.iterator().next())
        .with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName.iterator().next())
        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName.iterator().next()).get());
    final ValueRequirement fairValueRequirement = new ValueRequirement(ValueRequirementNames.FAIR_VALUE, target.toSpecification());
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM")); //TODO country-specific
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    final ValueRequirement timeSeriesRequirement = HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries,
        MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriodName), true, DateConstraint.VALUATION_TIME, true);
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Examples of com.opengamma.financial.convention.ConventionBundle

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    final ConventionBundleSource source = new DefaultConventionBundleSource(repo);
    final BusinessDayConvention modified = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Modified Following");
    final BusinessDayConvention following = BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following");
    final DayCount actact = DayCountFactory.INSTANCE.getDayCount("Actual/360");

    final ConventionBundle conventions = source.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD LIBOR O/N"));
    AssertJUnit.assertEquals("USD LIBOR O/N", conventions.getName());
    AssertJUnit.assertEquals("US00O/N Index", conventions.getIdentifiers().getValue(ExternalSchemes.BLOOMBERG_TICKER));
    AssertJUnit.assertEquals("USD LIBOR O/N", conventions.getIdentifiers().getValue(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME));
    final UniqueId uidON = conventions.getUniqueId();
    AssertJUnit.assertEquals(InMemoryConventionBundleMaster.IN_MEMORY_UNIQUE_SCHEME.getName(), uidON.getScheme());
    AssertJUnit.assertEquals(actact, conventions.getDayCount());
    AssertJUnit.assertEquals(following, conventions.getBusinessDayConvention());
    AssertJUnit.assertEquals(0, (int) conventions.getSettlementDays());

    final ConventionBundle conventions2 = source.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD LIBOR 3m"));
    AssertJUnit.assertEquals("USD LIBOR 3m", conventions2.getName());
    AssertJUnit.assertEquals("US0003M Index", conventions2.getIdentifiers().getValue(ExternalSchemes.BLOOMBERG_TICKER));
    AssertJUnit.assertEquals("USD LIBOR 3m", conventions2.getIdentifiers().getValue(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME));
    final UniqueId uid3M = conventions2.getUniqueId ();
    AssertJUnit.assertEquals(InMemoryConventionBundleMaster.IN_MEMORY_UNIQUE_SCHEME.getName(), uid3M.getScheme ());
    AssertJUnit.assertEquals(actact, conventions2.getDayCount());
    AssertJUnit.assertEquals(modified, conventions2.getBusinessDayConvention());
    AssertJUnit.assertEquals(2, (int) conventions2.getSettlementDays());

    assertFalse(uidON.equals (uid3M));

  }
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Examples of com.opengamma.financial.convention.ConventionBundle

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    SecurityMaster securityMaster = toolContext.getSecurityMaster();
    byte[] rawData = new byte[] {0};
    StringBuilder sb = new StringBuilder();
    sb.append("Created ").append(currencies.size()).append(" libor securities:\n");
    for (Currency ccy : currencies) {
      ConventionBundle swapConvention = getSwapConventionBundle(ccy, toolContext.getConventionBundleSource());
      ConventionBundle liborConvention = getLiborConventionBundle(swapConvention, toolContext.getConventionBundleSource());
      sb.append("\t").append(liborConvention.getIdentifiers()).append("\n");
      RawSecurity rawSecurity = new RawSecurity(LIBOR_RATE_SECURITY_TYPE, rawData);
      rawSecurity.setExternalIdBundle(liborConvention.getIdentifiers());
      SecurityDocument secDoc = new SecurityDocument();
      secDoc.setSecurity(rawSecurity);
      securityMaster.add(secDoc);
    }
    s_logger.info(sb.toString());
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Examples of com.opengamma.financial.convention.ConventionBundle

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    }
    s_logger.info(sb.toString());
  }

  private static ConventionBundle getSwapConventionBundle(Currency ccy, ConventionBundleSource conventionSource) {
    ConventionBundle swapConvention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, ccy.getCode() + "_SWAP"));
    if (swapConvention == null) {
      throw new OpenGammaRuntimeException("Couldn't get swap convention for " + ccy.getCode());
    }
    return swapConvention;
  }
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Examples of com.opengamma.financial.convention.ConventionBundle

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    }
    return swapConvention;
  }

  private static ConventionBundle getLiborConventionBundle(ConventionBundle swapConvention, ConventionBundleSource conventionSource) {
    ConventionBundle liborConvention = conventionSource.getConventionBundle(swapConvention.getSwapFloatingLegInitialRate());
    if (liborConvention == null) {
      throw new OpenGammaRuntimeException("Couldn't get libor convention for " + swapConvention.getSwapFloatingLegInitialRate());
    }
    return liborConvention;
  }
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Examples of com.opengamma.financial.convention.ConventionBundle

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        final String interpolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_INTERPOLATOR);
        final String leftExtrapolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR);
        final String rightExtrapolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR);
        final String forwardTenorName = desiredValue.getConstraint(ForwardSwapCurveMarketDataFunction.PROPERTY_FORWARD_TENOR);
        final String conventionName = currency.getCode() + "_SWAP";
        final ConventionBundle convention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
        if (convention == null) {
          throw new OpenGammaRuntimeException("Could not get convention named " + conventionName);
        }
        final DayCount dayCount = convention.getSwapFloatingLegDayCount();
        if (dayCount == null) {
          throw new OpenGammaRuntimeException("Could not get daycount");
        }
        final Integer settlementDays = convention.getSwapFloatingLegSettlementDays();
        if (settlementDays == null) {
          throw new OpenGammaRuntimeException("Could not get number of settlement days");
        }
        final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, currency);
        final LocalDate localNow = now.toLocalDate();
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