Package com.opengamma.analytics.financial.schedule

Examples of com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunction

166
167
168
169
170
171
172
173
174
175
176
    }
    final LocalDate returnSeriesEnd = DateConstraint.evaluate(executionContext, getReturnSeriesEnd(desiredValue.getConstraints()));
    final String scheduleCalculatorName = desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR);
    final Schedule scheduleCalculator = getScheduleCalculator(scheduleCalculatorName);
    final String samplingFunctionName = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(samplingFunctionName);

    //REVIEW emcleod should "fromEnd" be hard-coded?
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(tsStart, returnSeriesEnd, true, false), WEEKEND_CALENDAR);

    final ComputedValue bundleValue = inputs.getComputedValue(ValueRequirementNames.FX_FORWARD_CURVE_HISTORICAL_TIME_SERIES);
View Full Code Here
96
97
98
99
100
101
102
103
104
105
106
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final Set<String> yieldCurveNames = constraints.getValues(ValuePropertyNames.CURVE);
    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) {
View Full Code Here
100
101
102
103
104
105
106
107
108
109
110
      desiredCurrency = currency;
    }
    final Period samplingPeriod = getSamplingPeriod(desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD));
    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);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final CreditSecurityToIdentifierVisitor identifierVisitor = new CreditSecurityToIdentifierVisitor(OpenGammaExecutionContext.getSecuritySource(executionContext));
    final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
    final String spreadCurveName = security.accept(identifierVisitor).getUniqueId().getValue();
View Full Code Here
106
107
108
109
110
111
112
113
114
115
116
117
118
119
    final Sensitivity<?> sensitivity = new ValueGreekSensitivity(valueGreek, position.getUniqueId().toString());
    final Map<UnderlyingType, DoubleTimeSeries<?>> tsReturns = new HashMap<UnderlyingType, DoubleTimeSeries<?>>();
    final Period samplingPeriod = getSamplingPeriod(samplingPeriodName);
    final LocalDate startDate = now.minus(samplingPeriod);
    final Schedule scheduleCalculator = getScheduleCalculator(scheduleCalculatorName);
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(samplingFunctionName);
    final TimeSeriesReturnCalculator returnCalculator = getTimeSeriesReturnCalculator(returnCalculatorName);
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    final LocalDateDoubleTimeSeries sampledTS = samplingFunction.getSampledTimeSeries(timeSeries.getTimeSeries(), schedule);
    for (final UnderlyingType underlyingType : valueGreek.getUnderlyingGreek().getUnderlying().getUnderlyings()) {
      if (underlyingType != UnderlyingType.SPOT_PRICE) {
        throw new OpenGammaRuntimeException("Have hard-coded to only use delta; should not have anything with " + underlyingType + " as the underlying type");
      }
      tsReturns.put(underlyingType, returnCalculator.evaluate(sampledTS));
View Full Code Here
99
100
101
102
103
104
105
106
107
108
109
110
111
    if (pvObject == null) {
      throw new OpenGammaRuntimeException("Present value was null");
    }
    final double pv = (Double) pvObject;
    final Schedule scheduleCalculator = getScheduleCalculator(scheduleCalculatorName);
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(samplingFunctionName);
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    DateDoubleTimeSeries<?> pnlSeries = samplingFunction.getSampledTimeSeries(dbTimeSeries.getTimeSeries(), schedule);
    pnlSeries = DIFFERENCE.evaluate(pnlSeries);
    pnlSeries = pnlSeries.multiply(pv);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), desiredValue.getConstraints());
    return Collections.singleton(new ComputedValue(spec, pnlSeries));
  }
View Full Code Here
241
242
243
244
245
246
247
248
249
250
251
      final Period samplingPeriod = getSamplingPeriod(desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD));
      final LocalDate startDate = now.minus(samplingPeriod);
      final String scheduleCalculatorName = desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR);
      final Schedule scheduleCalculator = getScheduleCalculator(scheduleCalculatorName);
      final String samplingFunctionName = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
      final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(samplingFunctionName);
      final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR);
      DoubleTimeSeries<?> vegaPnL = getPnLSeries(definition, specification, timeSeriesBundle, vegaMatrix, now, schedule, samplingFunction);
      vegaPnL = vegaPnL.multiply(position.getQuantity().doubleValue());
      final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
      final CurrencyPair baseCounterPair = currencyPairs.getCurrencyPair(putCurrency, callCurrency);
View Full Code Here
192
193
194
195
196
197
198
199
200
201
202
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
      final LocalDateDoubleTimeSeries timeSeries = (LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES);
      final LocalDate startDate = now.toLocalDate().minus(Period.parse(samplingPeriod));
      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
      final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
View Full Code Here
192
193
194
195
196
197
198
199
200
201
202
      final String samplingFunction = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
      final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final LocalDate startDate = now.toLocalDate().minus(Period.parse(samplingPeriod));
      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double delta = mca.getAmount(currencyNonBase);
View Full Code Here
114
115
116
117
118
119
120
121
122
123
124
    }
    final DoubleLabelledMatrix1D fundingCurveSensitivities = (DoubleLabelledMatrix1D) fundingCurveSensitivitiesObject;
    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 DoubleTimeSeries<?> result = getPnLSeries(forwardCurveSpec, forwardCurveSensitivities, historicalSource, startDate, now, schedule, samplingFunction)
        .add(getPnLSeries(fundingCurveSpec, fundingCurveSensitivities, historicalSource, startDate, now, schedule, samplingFunction));
    final ValueProperties resultProperties = getResultProperties(desiredValue, currencyString);
    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, targetSpec, resultProperties);
View Full Code Here
95
96
97
98
99
100
101
102
103
104
105
106
107
    if (pvObject == null) {
      throw new OpenGammaRuntimeException("Present value was null");
    }
    final double pv = (Double) pvObject;
    final Schedule scheduleCalculator = getScheduleCalculator(scheduleCalculatorName);
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(samplingFunctionName);
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    DateDoubleTimeSeries<?> pnlSeries = samplingFunction.getSampledTimeSeries(dbTimeSeries.getTimeSeries(), schedule);
    pnlSeries = DIFFERENCE.evaluate(pnlSeries);
    pnlSeries = pnlSeries.multiply(pv);
    final ValueProperties resultProperties = getResultProperties(desiredValue, currency.getCode());
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), resultProperties);
    return Collections.singleton(new ComputedValue(spec, pnlSeries));
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunction

  • com.opengamma.financial.analytics.model.fx.FXForwardPointsFCNSPnLFunction
  • com.opengamma.financial.analytics.model.fx.FXForwardPointsYCNSPnLFunction
  • com.opengamma.financial.analytics.model.pnl.CreditInstrumentCS01PnLFunction
  • com.opengamma.financial.analytics.model.pnl.ExternallyProvidedSensitivityPnLFunction
  • com.opengamma.financial.analytics.model.pnl.FXDigitalCallSpreadBlackDeltaPnLFunction$Compiled
  • com.opengamma.financial.analytics.model.pnl.FXOptionBlackDeltaPnLFunction$Compiled
  • com.opengamma.financial.analytics.model.pnl.FXOptionBlackVegaPnLFunction$Compiled
  • com.opengamma.financial.analytics.model.pnl.SecurityPriceSeriesFunction
  • com.opengamma.financial.analytics.model.pnl.SimpleFuturePnLFunction
  • com.opengamma.financial.analytics.model.pnl.SimpleFXFuturePnLFunction
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.