Examples of com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource

Package com.opengamma.core.historicaltimeseries

Examples of com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource

com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource
A source of daily historical time-series as accessed by the engine.
The interface provides access to historical time-series data on a daily basis. There may be other uses of time-series within the application, but this interface is specifically focused on the requirement for daily data.
This interface provides a simple view of the time-series as needed by the engine. This may be backed by a full-featured time-series master, or by a much simpler data structure.
This interface is read-only. Implementations must be thread-safe.

    security.addExternalId(ExternalId.of(ID_SCHEME, GUIDGenerator.generate().toString()));
    return security;
  }


  private Double getSwapRate(final Currency ccy, final LocalDate tradeDate, final Tenor maturity) {
    final HistoricalTimeSeriesSource historicalSource = getToolContext().getHistoricalTimeSeriesSource();
    final MasterConfigSource configSource = new MasterConfigSource(getToolContext().getConfigMaster());
    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()) {

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  }


  //-------------------------------------------------------------------------
  @Override
  protected HistoricalTimeSeriesSource createObject() {
    HistoricalTimeSeriesSource source = new MasterHistoricalTimeSeriesSource(getHistoricalTimeSeriesMaster(), getHistoricalTimeSeriesResolver());
    if (getCacheManager() != null) {
      source = new EHCachingHistoricalTimeSeriesSource(source, getCacheManager());
    }
    return source;
  }

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    } while (holidaySource.isHoliday(tradeDate, ccy));
    return tradeDate;
  }


  private Double getSwapRate(final Currency ccy, final LocalDate tradeDate, final Tenor maturity) {
    final HistoricalTimeSeriesSource historicalSource = getToolContext().getHistoricalTimeSeriesSource();
    final MasterConfigSource configSource = new MasterConfigSource(getToolContext().getConfigMaster());
    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()) {

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    } while (holidaySource.isHoliday(tradeDate, ccy));
    return tradeDate;
  }


  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()) {

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        if (requirements == null) {
          throw new OpenGammaRuntimeException("Can't get time series requirements for " + strip + " on " + curveName);
        }
        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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        throw new OpenGammaRuntimeException("Can't get time series requirements for " + strip + " on " + curveName);
      }
      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));
  }

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    JmsTopicContainer jmsContainer = getJmsConnector().getTopicContainerFactory().create(getJmsReferenceDataTopic(), jmsDispatcher);
    repo.registerLifecycle(jmsContainer);
  }


  private void initHistoricalTimeSeries(ComponentRepository repo) {
    HistoricalTimeSeriesSource source = new BloombergHistoricalTimeSeriesSource(getHistoricalTimeSeriesProvider());
    DataHistoricalTimeSeriesSourceResource resource = new DataHistoricalTimeSeriesSourceResource(source);
    repo.getRestComponents().publishResource(resource);
  }

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 */
public class HistoricalTimeSeriesLatestValueFunction extends AbstractFunction.NonCompiledInvoker {


  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Pair<LocalDate, Double> latestDataPoint = timeSeriesSource.getLatestDataPoint(target.getUniqueId());
    final String ageLimitValue = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY);
    final Period ageLimit = HistoricalTimeSeriesFunctionUtils.UNLIMITED_AGE_LIMIT_VALUE.equals(ageLimitValue) ? null : Period.parse(ageLimitValue);
    final Object value;
    if (checkMissing(executionContext, latestDataPoint, ageLimit)) {
      value = MissingInput.MISSING_MARKET_DATA;

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        .withAny(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY).get());
  }


  @Override
  protected HistoricalTimeSeries apply(final FunctionExecutionContext context, final OverrideOperation operation, final HistoricalTimeSeries value, final ValueSpecification valueSpec) {
    final HistoricalTimeSeriesSource htsSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(context);
    return applyOverride(context, operation, valueSpec.getProperty(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY), htsSource.getExternalIdBundle(value.getUniqueId()), value);
  }

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  @Override
  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;
    final Set<String> resolutionKeyConstraint = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY);
    if (resolutionKeyConstraint == null || resolutionKeyConstraint.size() != 1) {
      resolutionKey = "Null";
    } else {
      resolutionKey = Iterables.getOnlyElement(resolutionKeyConstraint);
    }
    final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY));
    final boolean includeStart = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY));
    final Set<String> endDateConstraint = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY);
    final String endDateString;
    if (endDateConstraint == null || endDateConstraint.size() != 1) {
      endDateString = "Now";
    } else {
      endDateString = Iterables.getOnlyElement(endDateConstraint);
    }
    final LocalDate endDate = DateConstraint.evaluate(executionContext, endDateString);
    final boolean includeEnd = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY));
    final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
    final Set<CurveNodeWithIdentifier> nodes = curveSpecification.getNodes();
    for (final CurveNodeWithIdentifier node : nodes) {
      final ExternalIdBundle identifier = ExternalIdBundle.of(node.getIdentifier());
      final HistoricalTimeSeries timeSeries = timeSeriesSource.getHistoricalTimeSeries(dataField, identifier, resolutionKey, startDate, includeStart, endDate, includeEnd);
      if (timeSeries != null) {
        bundle.add(dataField, identifier, timeSeries);
      } else {
        s_logger.warn("Could not get time series for {}", identifier);
      }

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