Package com.opengamma.core.historicaltimeseries

Examples of com.opengamma.core.historicaltimeseries.HistoricalTimeSeries

67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
  //-------------------------------------------------------------------------
  public void getHistoricalTimeSeries_UniqueId() {
    LocalDate[] dates = {LocalDate.of(2011, 6, 30)};
    double[] values = {12.34d};
    ImmutableLocalDateDoubleTimeSeries timeSeries = ImmutableLocalDateDoubleTimeSeries.of(dates, values);
    HistoricalTimeSeries series = new SimpleHistoricalTimeSeries(UID, timeSeries);
   
    when(_underlyingSource.getHistoricalTimeSeries(UID)).thenReturn(series);
   
    // Fetching same series twice should return same result
    HistoricalTimeSeries series1 = _cachingSource.getHistoricalTimeSeries(UID);
    HistoricalTimeSeries series2 = _cachingSource.getHistoricalTimeSeries(UID);
    assertEquals(series, series1);
    assertEquals(series, series2);
    assertEquals(series1, series2);
   
    // underlying source should only have been called once if cache worked as expected
View Full Code Here
90
91
92
93
94
95
96
97
98
99
100
      @QueryParam("includeEnd") boolean includeEnd,
      @QueryParam("maxPoints") Integer maxPoints) {
    final UniqueId uniqueId = ObjectId.parse(idStr).atVersion(version);
    final LocalDate start = (startStr != null ? LocalDate.parse(startStr) : null);
    final LocalDate end = (endStr != null ? LocalDate.parse(endStr) : null);
    final HistoricalTimeSeries result;
    if (start == null && end == null && maxPoints == null) {
      result = getHistoricalTimeSeriesSource().getHistoricalTimeSeries(uniqueId);
    } else if (maxPoints != null) {
      result = getHistoricalTimeSeriesSource().getHistoricalTimeSeries(uniqueId, start, includeStart, end, includeEnd, maxPoints);
    } else {
View Full Code Here
127
128
129
130
131
132
133
134
135
136
137
      @QueryParam("includeEnd") boolean includeEnd,
      @QueryParam("maxPoints") Integer maxPoints) {
    final ExternalIdBundle bundle = ExternalIdBundle.parse(idStrs);
    final LocalDate start = (startStr != null ? LocalDate.parse(startStr) : null);
    final LocalDate end = (endStr != null ? LocalDate.parse(endStr) : null);
    final HistoricalTimeSeries result;
    if (idValidityDateStr != null) {
      final LocalDate idValidityDate = ("ALL".equals(idValidityDateStr) ? null : LocalDate.parse(idValidityDateStr));
      if (start == null && end == null && maxPoints == null) {
        result = getHistoricalTimeSeriesSource().getHistoricalTimeSeries(
            bundle, idValidityDate, dataSource, dataProvider, dataField);
View Full Code Here
170
171
172
173
174
175
176
177
178
179
180
      @QueryParam("includeEnd") boolean includeEnd,
      @QueryParam("maxPoints") Integer maxPoints) {
    final ExternalIdBundle bundle = ExternalIdBundle.parse(idStrs);
    final LocalDate start = (startStr != null ? LocalDate.parse(startStr) : null);
    final LocalDate end = (endStr != null ? LocalDate.parse(endStr) : null);
    final HistoricalTimeSeries result;
    if (idValidityDateStr != null) {
      final LocalDate idValidityDate = ("ALL".equals(idValidityDateStr) ? null : LocalDate.parse(idValidityDateStr));
      if (start == null && end == null && maxPoints == null) {
        result = getHistoricalTimeSeriesSource().getHistoricalTimeSeries(
            dataField, bundle, idValidityDate, resolutionKey);
View Full Code Here
361
362
363
364
365
366
367
368
369
370
371
372
  @Override
  public Pair<LocalDate, Double> getLatestDataPoint(UniqueId uniqueId, LocalDate start, boolean includeStart, LocalDate end, boolean includeEnd) {
    ArgumentChecker.notNull(uniqueId, "uniqueId");
   
    HistoricalTimeSeries hts = getHistoricalTimeSeries(uniqueId, start, includeStart, end, includeEnd);
    Pair<LocalDate, Double> latestPoint = null;
    if (hts != null && hts.getTimeSeries() != null) {
      latestPoint = Pair.of(hts.getTimeSeries().getLatestTime(), hts.getTimeSeries().getLatestValue());
    }
    return latestPoint;
  }
View Full Code Here
377
378
379
380
381
382
383
384
 
  protected HistoricalTimeSeries getHistoricalTimeSeries(ExternalIdBundle identifierBundle) {
    UniqueId uniqueId = toUniqueId(identifierBundle);
   
    LocalDateDoubleTimeSeries ts = getLocalDateDoubleTimeSeries(identifierBundle);
    HistoricalTimeSeries hts = new SimpleHistoricalTimeSeries(uniqueId, ts);
    return hts;
  }
View Full Code Here
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
      timeSeriesRequirements.addAll(requirements);
    }
    final HistoricalTimeSeriesBundle timeSeries = new HistoricalTimeSeriesBundle();
    final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
    for (ValueRequirement timeSeriesRequirement : timeSeriesRequirements) {
      final HistoricalTimeSeries hts = HistoricalTimeSeriesFunction.executeImpl(executionContext, timeSeriesSource,
          timeSeriesRequirement.getTargetReference().getSpecification(), timeSeriesRequirement);
      if (hts == null) {
        throw new OpenGammaRuntimeException("Can't get time series for " + timeSeriesRequirement);
      }
      timeSeries.add(timeSeriesRequirement.getConstraint(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY), timeSeriesSource.getExternalIdBundle(hts.getUniqueId()), hts);
    }
    return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES, target.toSpecification(), desiredValue
        .getConstraints()), timeSeries));
  }
View Full Code Here
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
        final HistoricalTimeSeriesBundle bundleForCurve = (HistoricalTimeSeriesBundle) inputs.getValue(bundleRequirement);
        final CurveSpecification curveSpec = (CurveSpecification) inputs.getValue(specRequirement);
        for (final CurveNodeWithIdentifier node : curveSpec.getNodes()) {
          String dataField = node.getDataField();
          ExternalIdBundle ids = ExternalIdBundle.of(node.getIdentifier());
          HistoricalTimeSeries ts = bundleForCurve.get(dataField, ids);
          if (ts != null) {
            bundle.add(dataField, ids, bundleForCurve.get(dataField, ids));
          } else {
            s_logger.info("Could not get historical time series for {}", ids);
          }
          if (node instanceof PointsCurveNodeWithIdentifier) {
            final PointsCurveNodeWithIdentifier pointsNode = (PointsCurveNodeWithIdentifier) node;
            dataField = pointsNode.getUnderlyingDataField();
            ids = ExternalIdBundle.of(pointsNode.getUnderlyingIdentifier());
            ts = bundleForCurve.get(dataField, ids);
            if (ts != null) {
              bundle.add(dataField, ids, bundleForCurve.get(dataField, ids));
            } else {
              s_logger.info("Could not get historical time series for {}", ids);
            }
          }
          if (node.getCurveNode() instanceof ZeroCouponInflationNode) {
            final ZeroCouponInflationNode inflationNode = (ZeroCouponInflationNode) node.getCurveNode();
            final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
            Convention convention = conventionSource.getConvention(inflationNode.getInflationLegConvention());
            if (convention == null) {
              throw new OpenGammaRuntimeException("Convention with id " + inflationNode.getInflationLegConvention() + " was null");
            }
            if (!(convention instanceof InflationLegConvention)) {
              throw new OpenGammaRuntimeException("Cannot handle convention type " + convention.getClass());
            }
            final InflationLegConvention inflationLegConvention = (InflationLegConvention) convention;
            convention = conventionSource.getConvention(inflationLegConvention.getPriceIndexConvention());
            if (convention == null) {
              throw new OpenGammaRuntimeException("Convention with id " + inflationLegConvention.getPriceIndexConvention() + " was null");
            }
            if (!(convention instanceof PriceIndexConvention)) {
              throw new OpenGammaRuntimeException("Cannot handle convention type " + convention.getClass());
            }
            ids = ExternalIdBundle.of(((PriceIndexConvention) convention).getPriceIndexId());
            final HistoricalTimeSeries priceIndexSeries = bundleForCurve.get(dataField, ids);
            if (priceIndexSeries != null) {
              if (priceIndexSeries.getTimeSeries().isEmpty()) {
                s_logger.info("Could for get historical time series for {}", ids);
              } else {
                bundle.add(dataField, ids, bundleForCurve.get(dataField, ids));
              }
            } else {
View Full Code Here
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
      final LocalDate date = LocalDate.parse(dateString);
      final Map<LocalDate, MultipleCurrencyAmount> cashFlows;
      if (inputs.getAllValues().isEmpty()) {
        cashFlows = NETTING_CASH_FLOW_CALCULATOR.getCashFlows(definition, date);
      } else {
        final HistoricalTimeSeries fixingSeries = (HistoricalTimeSeries) Iterables.getOnlyElement(inputs.getAllValues()).getValue();
        if (fixingSeries == null) {
          cashFlows = NETTING_CASH_FLOW_CALCULATOR.getCashFlows(definition, date);
        } else {
          cashFlows = NETTING_CASH_FLOW_CALCULATOR.getCashFlows(definition, fixingSeries.getTimeSeries(), date);
        }
      }
      final ValueProperties properties = createValueProperties().with(PROPERTY_DATE, dateString).get();
      return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.NETTED_FIXED_CASH_FLOWS, target.toSpecification(), properties),
          new FixedPaymentMatrix(cashFlows)));
View Full Code Here
178
179
180
181
182
183
184
185
186
187
188
189
190
            Map<ExternalIdBundle, LocalDateDoubleTimeSeries> resultMap = _historicalTimeSeriesProvider.getHistoricalTimeSeries(
                Collections.singleton(bundleWithDates.toBundle()), BloombergConstants.BLOOMBERG_DATA_SOURCE_NAME, dataProvider, dataField, LocalDateRange.of(start, end, true));
            LocalDateDoubleTimeSeries timeSeries = resultMap.get(bundleWithDates.toBundle());
            UniqueId tsUid = _htsMaster.updateTimeSeriesDataPoints(added.getInfo().getTimeSeriesObjectId(), timeSeries);
           
            HistoricalTimeSeries hts = _htsMaster.getTimeSeries(tsUid);
            assertNotNull(hts);
            assertEquals(timeSeries, hts.getTimeSeries());
            result.add(Pair.of(added, hts));
          }
        }
      }
    }
View Full Code Here
TOP

Related Classes of com.opengamma.core.historicaltimeseries.HistoricalTimeSeries

  • com.opengamma.bbg.BloombergHistoricalTimeSeriesSourceTest
  • com.opengamma.bbg.BloombergHistoricalTimeSeriesSourceTest$BHDPgetHistoricalTimeSeriesWithDates
  • com.opengamma.bbg.loader.hts.AbstractHistoricalTimeSeriesDBTest
  • com.opengamma.bbg.loader.hts.BloombergHistoricalTimeSeriesLoader
  • com.opengamma.bbg.loader.hts.BloombergHistoricalTimeSeriesLoaderTest
  • com.opengamma.bbg.loader.hts.BloombergHTSMasterUpdaterTest
  • com.opengamma.core.historicaltimeseries.impl.DataHistoricalTimeSeriesSourceResource
  • com.opengamma.core.historicaltimeseries.impl.EHCachingHistoricalTimeSeriesSource
  • com.opengamma.core.historicaltimeseries.impl.EHCachingHistoricalTimeSeriesSourceTest
  • com.opengamma.core.historicaltimeseries.impl.HistoricalTimeSeriesSourceTest
    • 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.