Examples of com.opengamma.core.historicaltimeseries.HistoricalTimeSeries

Package com.opengamma.core.historicaltimeseries

Examples of com.opengamma.core.historicaltimeseries.HistoricalTimeSeries

com.opengamma.core.historicaltimeseries.HistoricalTimeSeries
A historical time-series providing a value for a series of dates.
This provides a time-series on a daily basis that is associated with a unique identifier.
This interface is read-only. Implementations may be mutable.

    final ExternalId swapRateForMaturityIdentifier = getSwapRateFor(configSource, ccy, tradeDate, maturity);
    if (swapRateForMaturityIdentifier == null) {
      throw new OpenGammaRuntimeException("Couldn't get swap rate identifier for " + ccy + " [" + maturity + "]" + " from " + tradeDate);
    }


    final HistoricalTimeSeries fixedRateSeries = historicalSource.getHistoricalTimeSeries("PX_LAST",
        swapRateForMaturityIdentifier.toBundle(), HistoricalTimeSeriesRatingFieldNames.DEFAULT_CONFIG_NAME, tradeDate.minusDays(30), true, tradeDate, true);
    if (fixedRateSeries == null) {
      throw new OpenGammaRuntimeException("Time series for " + swapRateForMaturityIdentifier + " was null");
    }
    if (fixedRateSeries.getTimeSeries().isEmpty()) {
      throw new OpenGammaRuntimeException("Time series for " + swapRateForMaturityIdentifier + " was empty");
    }
    return fixedRateSeries.getTimeSeries().getLatestValue();
  }

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      //TODO [LAPANA-29] Should be able to do this for index options too
      if (includeUnderlying) {
        try {
          final HistoricalTimeSeriesInfoDocument loadedTs = getOrLoadTimeSeries(option.getIdentifier());
          final HistoricalTimeSeries ts = getToolContext().getHistoricalTimeSeriesSource().getHistoricalTimeSeries(loadedTs.getUniqueId(), LocalDate.now().minusWeeks(1), true, LocalDate.now(), true);
          if (ts.getTimeSeries().isEmpty()) {
            s_logger.info("No recent time series points for " + option.getIdentifier());
            //   leave in for now
            //          continue; //This option is not liquid enough for us
          }
        } catch (final Exception ex) {

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    s_logger.info("Got option chain {}", optionChain);
    return optionChain;
  }


  private double getOrLoadMostRecentPoint(HistoricalTimeSeriesInfoDocument timeSeriesInfo) {
    HistoricalTimeSeries timeSeries = getAllowedRecentPoints(timeSeriesInfo);
    if (timeSeries == null || timeSeries.getTimeSeries().isEmpty()) {
      if (timeSeries == null) {
        timeSeriesInfo = loadTimeSeries(timeSeriesInfo);
      } else if (timeSeries.getTimeSeries().isEmpty()) {
        timeSeries = updateTimeSeries(timeSeries);
      }
      timeSeries = getAllowedRecentPoints(timeSeriesInfo);
      if (timeSeries == null || timeSeries.getTimeSeries().isEmpty()) {
        throw new OpenGammaRuntimeException("Couldn't load recent points for " + timeSeriesInfo);
      }
    }
    final Double latestValue = timeSeries.getTimeSeries().getLatestValue();
    if (latestValue == null) {
      throw new OpenGammaRuntimeException("Unexpected null latest vaule");
    }
    return latestValue;
  }

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    return latestValue;
  }


  private HistoricalTimeSeries getAllowedRecentPoints(final HistoricalTimeSeriesInfoDocument timeSeriesInfo) {
    final LocalDate from = oldestTimeSeriesAllowed();
    final HistoricalTimeSeries timeSeries = getToolContext().getHistoricalTimeSeriesSource().getHistoricalTimeSeries(timeSeriesInfo.getUniqueId().toLatest(), from, true, LocalDate.now(), true);
    return timeSeries;
  }

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    final ExternalId swapRateForMaturityIdentifier = getSwapRateFor(configSource, ccy, tradeDate, maturity);
    if (swapRateForMaturityIdentifier == null) {
      throw new OpenGammaRuntimeException("Couldn't get swap rate identifier for " + ccy + " [" + maturity + "]" + " from " + tradeDate);
    }


    final HistoricalTimeSeries fixedRateSeries = historicalSource.getHistoricalTimeSeries("PX_LAST",
        swapRateForMaturityIdentifier.toBundle(), HistoricalTimeSeriesRatingFieldNames.DEFAULT_CONFIG_NAME, tradeDate.minusDays(30), true, tradeDate, true);
    if (fixedRateSeries == null) {
      throw new OpenGammaRuntimeException("Time series for " + swapRateForMaturityIdentifier + " was null");
    }
    if (fixedRateSeries.getTimeSeries().isEmpty()) {
      throw new OpenGammaRuntimeException("Time series for " + swapRateForMaturityIdentifier + " was empty");
    }
    return fixedRateSeries.getTimeSeries().getLatestValue() / 100;
  }

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    final DayCount dayCount = convention.getDayCount();
    final ExternalId cashRate = getCashRate(currency, start.toLocalDate(), Tenor.ofMonths(length));
    if (cashRate == null) {
      return null;
    }
    final HistoricalTimeSeries timeSeries = getHistoricalSource().getHistoricalTimeSeries(MarketDataRequirementNames.MARKET_VALUE, cashRate.toBundle(), null, start.toLocalDate(), true,
        start.toLocalDate(), true);
    if ((timeSeries == null) || timeSeries.getTimeSeries().isEmpty()) {
      return null;
    }
    final double rate = timeSeries.getTimeSeries().getEarliestValue() * getRandom(0.8, 1.2);
    final double amount = 10000 * (getRandom(1500) + 200);
    final CashSecurity security = new CashSecurity(currency, region, start, maturity, dayCount, rate, amount);
    security.setName(createName(currency, amount, rate, maturity));
    return security;
  }

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  private Double getSpotRate(final CurrencyPair ccys, final LocalDate tradeDate) {
    final HistoricalTimeSeriesSource historicalSource = getToolContext().getHistoricalTimeSeriesSource();
    final String ticker = ccys.getBase().getCode() + ccys.getCounter().getCode() + " Curncy";
    final ExternalIdBundle idBundle = ExternalIdBundle.of(ExternalSchemes.bloombergTickerSecurityId(ticker));
    final HistoricalTimeSeries spotSeries = historicalSource.getHistoricalTimeSeries("PX_LAST",
        idBundle, HistoricalTimeSeriesRatingFieldNames.DEFAULT_CONFIG_NAME, tradeDate.minusDays(30), true, tradeDate, true);
    if (spotSeries == null) {
      throw new OpenGammaRuntimeException("Could not get spot rate series for " + ticker);
    }
    if (spotSeries.getTimeSeries().isEmpty()) {
      throw new OpenGammaRuntimeException("Series for " + ticker + " was empty");
    }
    return spotSeries.getTimeSeries().getLatestValue();
  }

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      return null;
    }
    // look up the rate timeseries identifier out of the bundle
    final ExternalId tsIdentifier = getTimeSeriesIdentifier(liborConvention);
    // look up the value on our chosen trade date
    final HistoricalTimeSeries initialRateSeries = getHistoricalSource().getHistoricalTimeSeries(MarketDataRequirementNames.MARKET_VALUE, tsIdentifier.toBundle(), null, tradeDate.toLocalDate(),
        true, tradeDate.toLocalDate(), true);
    if (initialRateSeries == null || initialRateSeries.getTimeSeries().isEmpty()) {
      s_logger.error("couldn't get series for {} on {}", tsIdentifier, tradeDate);
      return null;
    }
    Double initialRate = initialRateSeries.getTimeSeries().getEarliestValue();
    // get the identifier for the swap rate for the maturity we're interested in (assuming the fixed rate will be =~ swap rate)
    final ExternalId swapRateForMaturityIdentifier = getSwapRateFor(ccy, tradeDate.toLocalDate(), maturity, forward);
    if (swapRateForMaturityIdentifier == null) {
      s_logger.error("Couldn't get swap rate identifier for {} [{}] from {}", new Object[] {ccy, maturity, tradeDate });
      return null;
    }
    final HistoricalTimeSeries fixedRateSeries = getHistoricalSource().getHistoricalTimeSeries(MarketDataRequirementNames.MARKET_VALUE, swapRateForMaturityIdentifier.toBundle(),
        null, tradeDate.toLocalDate(), true,
        tradeDate.toLocalDate(), true);
    if (fixedRateSeries == null) {
      s_logger.error("can't find time series for {} on {}", swapRateForMaturityIdentifier, tradeDate);
      return null;
    }
    Double fixedRate = (fixedRateSeries.getTimeSeries().getEarliestValue() + getRandom().nextDouble()) / 100d;
    Double notional = (double) getRandom(100000) * 1000;
    ZonedDateTime maturityDate = forwardDate.plus(maturity.getPeriod());
    String counterparty = "CParty";
    SwapLeg fixedLeg = new FixedInterestRateLeg(swapConvention.getSwapFixedLegDayCount(),
        swapConvention.getSwapFixedLegFrequency(),

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        }
        timeSeriesRequirements.addAll(requirements);
      }
      final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
      for (final 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);
      }
    }
    final ValueProperties properties = createValueProperties().with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName).get();
    return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES, targetSpec, properties), timeSeries));
  }

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    final ZoneId zone = _valuationTime.getZone(); //TODO time zone set to midnight UTC
    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(_valuationTime, settlementDays, calendar).toLocalDate().atStartOfDay(zone);
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, tenor, businessDayConvention, calendar, endOfMonth).toLocalDate().atStartOfDay(zone);
    final CouponFixedCompoundingDefinition fixedCoupon = CouponFixedCompoundingDefinition.from(currency, settlementDate, paymentDate, notional, tenor.getYears(),
        rate);
    final HistoricalTimeSeries ts = _timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, priceIndexConvention.getPriceIndexId());
    if (ts == null) {
      throw new OpenGammaRuntimeException("Could not get price index time series with id " + priceIndexConvention.getPriceIndexId());
    }
    final LocalDateDoubleTimeSeries localDateTS = ts.getTimeSeries();
    final DoubleTimeSeries<ZonedDateTime> priceIndexTimeSeries = convertTimeSeries(zone, localDateTS);
    final int conventionalMonthLag = inflationLegConvention.getMonthLag();
    final int monthLag = inflationLegConvention.getMonthLag();
    final IndexPrice index = new IndexPrice(priceIndexConvention.getName(), currency);
    switch (inflationNode.getInflationNodeType()) {

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