Package com.opengamma.core.config

Examples of com.opengamma.core.config.ConfigSource

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    }
    final String givenName = surfaceNames.iterator().next();
    final String fullName = givenName + "_" + target.getUniqueId().getValue();

    // 2. Look up the specification
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBVolatilitySurfaceSpecificationSource volSpecSource = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final VolatilitySurfaceSpecification specification = volSpecSource.getSpecification(fullName, InstrumentTypeProperties.COMMODITY_FUTURE_OPTION);
    if (specification == null) {
      s_logger.error("Could not get volatility surface specification with name " + fullName);
      return null;
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  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
    final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
    final VolatilitySurfaceSpecification specification = source.getSpecification(fullSpecificationName, InstrumentTypeProperties.IR_FUTURE_OPTION);
    if (specification == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName);
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    if (surfaceNames == null || surfaceNames.size() != 1) {
      s_logger.error("Can only get a single surface; asked for {}", surfaceNames);
      return null;
    }
    final String surfaceName = surfaceNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
    final VolatilitySurfaceSpecification specification = source.getSpecification(fullSpecificationName, InstrumentTypeProperties.IR_FUTURE_OPTION);
    if (specification == null) {
      s_logger.error("Could not get volatility surface specification named {}", fullSpecificationName);
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  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final ZonedDateTime atInstantZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
    final LocalDate curveDate = atInstantZDT.toLocalDate();
    final InterpolatedYieldCurveSpecificationBuilder curveSpecificationBuilder = OpenGammaCompilationContext.getInterpolatedYieldCurveSpecificationBuilder(context);
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final YieldCurveDefinition definition = configSource.getLatestByName(YieldCurveDefinition.class, _curveName + "_" + _currency.getCode());
    final InterpolatedYieldCurveSpecification curveSpecification = buildDummyCurve(curveDate, definition);
    return new CompiledImpl(atInstantZDT.with(LocalTime.MIDNIGHT).toInstant(), atInstantZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000).toInstant(), curveSpecification);
  }
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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();
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  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
    final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
    final VolatilitySurfaceSpecification specification = source.getSpecification(fullSpecificationName, InstrumentTypeProperties.BOND_FUTURE_OPTION);
    if (specification == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName);
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    if (surfaceNames == null || surfaceNames.size() != 1) {
      s_logger.error("Can only get a single surface; asked for {}", surfaceNames);
      return null;
    }
    final String surfaceName = surfaceNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBVolatilitySurfaceSpecificationSource source = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
    final VolatilitySurfaceSpecification specification = source.getSpecification(fullSpecificationName, InstrumentTypeProperties.BOND_FUTURE_OPTION);
    if (specification == null) {
      s_logger.error("Could not get volatility surface specification named {}", fullSpecificationName);
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  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final String idName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String curveName = idName;
    final CurveSpecification curveSpecification = CurveUtils.getCurveSpecification(now.toInstant(), configSource, now.toLocalDate(), curveName);
    final String dataField = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
    final String resolutionKey;
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    return new Triple<>(atZDT.with(LocalTime.MIDNIGHT).toInstant(),
      expiry, specification);
  }

  private VolatilityCubeDefinition getDefinition(final FunctionCompilationContext context) {
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    return configSource.getLatestByName(VolatilityCubeDefinition.class, _definitionName + "_" + _currency);
  }
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    _interpolator = new GridInterpolator2D(tInterpolator, kInterpolator);
  }

  @Override
  public void init(final FunctionCompilationContext context) {
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBVolatilitySurfaceDefinitionSource volSurfaceDefinitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
    _definition = volSurfaceDefinitionSource.getDefinition(_definitionName, _instrumentType);
    if (_definition == null) {
      throw new OpenGammaRuntimeException("Couldn't find Volatility Surface Definition for " + _instrumentType + " called " + _definitionName);
    }
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Related Classes of com.opengamma.core.config.ConfigSource

  • com.opengamma.component.factory.source.ConfigSourceComponentFactory
  • com.opengamma.component.factory.source.UserFinancialConfigSourceComponentFactory
  • com.opengamma.engine.function.blacklist.ConfigDBFunctionBlacklistPolicySourceTest
  • com.opengamma.financial.analytics.model.bondfutureoption.BondFutureOptionBlackFunction
  • com.opengamma.financial.analytics.model.curve.forward.ForwardSwapCurveMarketDataFunction
  • com.opengamma.financial.analytics.model.curve.forward.FXForwardPointsCurveMarketDataFunction
  • com.opengamma.financial.analytics.model.curve.future.EquityFuturePriceCurveFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveSeriesFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveFunction
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