Package com.opengamma.core.marketdatasnapshot

Examples of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

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  @Test
  public void testFedFundFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "FF Future");
    final double rate = 0.98;
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    marketValues.setDataPoint(marketDataId, rate);
    final RateFutureNode futureNode = new RateFutureNode(1, Tenor.of(Period.ZERO), Tenor.ONE_MONTH, Tenor.ONE_DAY, FED_FUND_FUTURE_ID, OVERNIGHT_ID, "Mapper");
    final IndexON index = new IndexON(OVERNIGHT_ID.getValue(), Currency.USD, ACT_360, 1);
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 5, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new RateFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    final InstrumentDefinition<?> definition = futureNode.accept(converter);
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   */
  public void testDeliverableSwapFuture() {
    final ExternalId marketDataId = ExternalId.of(SCHEME, "DSF");
    final double rate = 0.02;
    final double price = 0.99;
    final SnapshotDataBundle marketValues = new SnapshotDataBundle();
    marketValues.setDataPoint(marketDataId, rate);
    final DeliverableSwapFutureNode futureNode = new DeliverableSwapFutureNode(1, Tenor.of(Period.ZERO), Tenor.THREE_MONTHS, Tenor.TEN_YEARS, DELIVERABLE_SWAP_FUTURE_ID, FIXED_IBOR_3M_SWAP_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new DeliverableSwapFutureNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, NOW);
    final InstrumentDefinition<?> definition = futureNode.accept(converter);
    final Currency currency = Currency.USD;
    final DayCount dayCount = THIRTY_360;
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        interpolatorName = Interpolator1DFactory.LINEAR;
        leftExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
        rightExtrapolatorName = Interpolator1DFactory.LINEAR_EXTRAPOLATOR;
      }
      final CurveSpecification specification = (CurveSpecification) inputs.getValue(CURVE_SPECIFICATION);
      final SnapshotDataBundle data = (SnapshotDataBundle) inputs.getValue(CURVE_MARKET_DATA);
      final DoubleArrayList tList = new DoubleArrayList();
      final DoubleArrayList fxList = new DoubleArrayList();
      for (final CurveNodeWithIdentifier nodeWithId : specification.getNodes()) {
        final CurveNode node = nodeWithId.getCurveNode();
        if (!(node instanceof FXForwardNode)) {
          throw new OpenGammaRuntimeException("Unexpected node " + nodeWithId + " found");
        }
        final Double fxForward = data.getDataPoint(nodeWithId.getIdentifier());
        if (fxForward == null) {
          throw new OpenGammaRuntimeException("Could not get FX forward rate for " + node);
        }
        final Tenor tenor = node.getResolvedMaturity();
        tList.add(DateUtils.getDifferenceInYears(now, now.plus(tenor.getPeriod())));
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    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);

    final CurveSpecification specification = (CurveSpecification) inputs.getValue(ValueRequirementNames.CURVE_SPECIFICATION);
    final SnapshotDataBundle snapshot = (SnapshotDataBundle) inputs.getValue(ValueRequirementNames.CURVE_MARKET_DATA);
    final LocalDate spotDate = (!desiredValue.getConstraints().getValues(ISDAFunctionConstants.ISDA_CURVE_DATE).isEmpty())
        ? LocalDate.parse(desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_DATE))
        : now.toLocalDate();

    DepositConvention cashConvention = null;
    VanillaIborLegConvention floatLegConvention = null;
    SwapFixedLegConvention fixLegConvention = null;
    IborIndexConvention liborConvention = null;

    final int nNodes = specification.getNodes().size();
    final double[] marketDataForCurve = new double[nNodes];
    final ISDAInstrumentTypes[] instruments = new ISDAInstrumentTypes[nNodes];
    final Period[] tenors = new Period[nNodes];
    int k = 0;
    for (final CurveNodeWithIdentifier node : specification.getNodes()) {
      final Double marketData = snapshot.getDataPoint(node.getIdentifier());
      if (marketData == null) {
        throw new OpenGammaRuntimeException("Could not get market data for " + node.getIdentifier());
      }
      marketDataForCurve[k] = marketData;
      tenors[k] = node.getCurveNode().getResolvedMaturity().getPeriod();
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          final ValueProperties properties = ValueProperties.builder().with(CURVE, curveName).get();
          final CurveSpecification specification =
              (CurveSpecification) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties));
          final CurveDefinition definition =
              (CurveDefinition) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_DEFINITION, ComputationTargetSpecification.NULL, properties));
          final SnapshotDataBundle snapshot =
              (SnapshotDataBundle) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_MARKET_DATA, ComputationTargetSpecification.NULL, properties));
          final int nNodes = specification.getNodes().size();
          final InstrumentDerivative[] derivativesForCurve = new InstrumentDerivative[nNodes];
          final double[] parameterGuessForCurves = new double[nNodes];
          int k = 0;
          for (final CurveNodeWithIdentifier node : specification.getNodes()) { // Node points - start
            Double marketData = snapshot.getDataPoint(node.getIdentifier());
            if (marketData == null) {
              marketData = 0.99;
            }
            if (node.getCurveNode() instanceof RateFutureNode) {
              parameterGuessForCurves[k] = (1 - marketData);
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          final ValueProperties properties = ValueProperties.builder().with(CURVE, curveName).get();
          final CurveSpecification specification =
              (CurveSpecification) inputs.getValue(new ValueRequirement(CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties));
          final CurveDefinition definition =
              (CurveDefinition) inputs.getValue(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, properties));
          final SnapshotDataBundle snapshot =
              (SnapshotDataBundle) inputs.getValue(new ValueRequirement(CURVE_MARKET_DATA, ComputationTargetSpecification.NULL, properties));
          final int nNodes = specification.getNodes().size();
          final InstrumentDerivative[] derivativesForCurve = new InstrumentDerivative[nNodes];
          final double[] parameterGuessForCurves = new double[nNodes];
          int k = 0;
          for (final CurveNodeWithIdentifier node : specification.getNodes()) { // Node points - start
            final Double marketData = snapshot.getDataPoint(node.getIdentifier());
            if (marketData == null) {
              throw new OpenGammaRuntimeException("Could not get market data for " + node.getIdentifier());
            }
            final InstrumentDefinition<?> definitionForNode = node.getCurveNode().accept(getCurveNodeConverter(conventionSource, holidaySource, regionSource,
                snapshot, node.getIdentifier(), timeSeries, now));
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      if (spec == null) {
        continue;
      }
      int nInstruments = 0;
      final Interpolator1D interpolator = spec.getInterpolator();
      final SnapshotDataBundle marketData = getMarketData(inputs, targetSpec, curveName);
      final DoubleArrayList nodeTimes = new DoubleArrayList();
      FixedIncomeStripWithSecurity previousStrip = null;
      for (final FixedIncomeStripWithSecurity strip : spec.getStrips()) {
        final Double marketValue = marketData.getDataPoint(strip.getSecurityIdentifier());
        if (marketValue == null) {
          throw new OpenGammaRuntimeException("Could not get market data for " + strip);
        }
        final Security security = strip.getSecurity();
        final String[] curveNamesForSecurity = curveCalculationConfig.getCurveExposureForInstrument(curveName, strip.getInstrumentType());
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      if (spec == null) {
        continue;
      }
      int nInstruments = 0;
      final Interpolator1D interpolator = spec.getInterpolator();
      final SnapshotDataBundle marketData = getMarketData(inputs, targetSpec, curveName);
      final DoubleArrayList nodeTimes = new DoubleArrayList();
      FixedIncomeStripWithSecurity previousStrip = null;
      for (final FixedIncomeStripWithSecurity strip : spec.getStrips()) {
        final Double marketValue = marketData.getDataPoint(strip.getSecurityIdentifier());
        if (marketValue == null) {
          throw new OpenGammaRuntimeException("Could not get market data for " + strip.getSecurityIdentifier());
        }
        final Security security = strip.getSecurity();
        final String[] curveNamesForSecurity = curveCalculationConfig.getCurveExposureForInstrument(curveName, strip.getInstrumentType());
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          final ValueProperties properties = ValueProperties.builder().with(CURVE, curveName).get();
          final CurveSpecification specification =
              (CurveSpecification) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties));
          final CurveDefinition definition =
              (CurveDefinition) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_DEFINITION, ComputationTargetSpecification.NULL, properties));
          final SnapshotDataBundle snapshot =
              (SnapshotDataBundle) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_MARKET_DATA, ComputationTargetSpecification.NULL, properties));
          final int nNodes = specification.getNodes().size();
          final InstrumentDerivative[] derivativesForCurve = new InstrumentDerivative[nNodes];
          final double[] parameterGuessForCurves = new double[nNodes];
          int k = 0;
          for (final CurveNodeWithIdentifier node : specification.getNodes()) { // Node points - start
            final Double marketData = snapshot.getDataPoint(node.getIdentifier());
            if (marketData == null) {
              throw new OpenGammaRuntimeException("Could not get market data for " + node.getIdentifier());
            }
            parameterGuessForCurves[k] = 0.02; // For FX forward, the FX rate is not a good initial guess. // TODO: change this // marketData
            final InstrumentDefinition<?> definitionForNode = node.getCurveNode().accept(getCurveNodeConverter(conventionSource, holidaySource, regionSource,
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        final YieldCurveDefinition curveDefinition = (YieldCurveDefinition) definitionObject;
        final Object dataObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_MARKET_DATA);
        if (dataObject == null) {
          throw new OpenGammaRuntimeException("Couldn't get yield curve data for " + curveName);
        }
        final SnapshotDataBundle marketData = (SnapshotDataBundle) dataObject;
        final InterpolatedYieldCurveSpecification specification = getCurveSpecification(curveDefinition, spotDate);
        final InterpolatedYieldCurveSpecificationWithSecurities specificationWithSecurities = getCurveWithSecurities(
            specification,
            executionContext,
            marketData);
        final ISDAInstrumentTypes[] instruments = new ISDAInstrumentTypes[specificationWithSecurities.getStrips().size()];
        final Period[] tenors = new Period[specificationWithSecurities.getStrips().size()];
        final double[] values = new double[specificationWithSecurities.getStrips().size()];

        Period swapIvl = null;
        int i = 0;
        for (final FixedIncomeStripWithSecurity strip : specificationWithSecurities.getStrips()) {
          final String securityType = strip.getSecurity().getSecurityType();
          if (!(securityType.equals(CashSecurity.SECURITY_TYPE) || securityType.equals(SwapSecurity.SECURITY_TYPE))) {
            throw new OpenGammaRuntimeException("ISDA curves should only use Libor and swap rates");
          }
          final Double rate = marketData.getDataPoint(strip.getSecurityIdentifier());
          if (rate == null) {
            throw new OpenGammaRuntimeException("Could not get rate for " + strip);
          }
          if (CashSecurity.SECURITY_TYPE.equals(strip.getSecurity().getSecurityType())) {
            instruments[i] = ISDAInstrumentTypes.MoneyMarket;
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Related Classes of com.opengamma.core.marketdatasnapshot.SnapshotDataBundle

  • com.opengamma.engine.marketdata.snapshot.UserMarketDataSnapshot
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  • com.opengamma.financial.analytics.curve.CurveMarketDataFunction$MyCompiledFunction
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  • com.opengamma.financial.analytics.ircurve.ImpliedYieldCurveSpecificationFunction$CompiledImpl
  • com.opengamma.financial.analytics.ircurve.InterpolatedYieldAndDiscountCurveFunction
  • com.opengamma.financial.analytics.ircurve.YieldCurveMarketDataFunction
  • com.opengamma.financial.analytics.ircurve.YieldCurveMarketDataFunction$CompiledImpl
  • com.opengamma.financial.analytics.ircurve.YieldCurveMarketDataShiftFunction
  • com.opengamma.financial.analytics.ircurve.YieldCurveSpecificationFunction$CompiledImpl
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