Package com.opengamma.core.marketdatasnapshot.impl

Examples of com.opengamma.core.marketdatasnapshot.impl.ManageableUnstructuredMarketDataSnapshot

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    final ManageableMarketDataSnapshot marketDataSnapshot = new ManageableMarketDataSnapshot();
    marketDataSnapshot.setName("Test");

    final HashMap<YieldCurveKey, YieldCurveSnapshot> yieldCurves = new HashMap<YieldCurveKey, YieldCurveSnapshot>();

    final ManageableUnstructuredMarketDataSnapshot globalValues = new ManageableUnstructuredMarketDataSnapshot();
    marketDataSnapshot.setGlobalValues(globalValues);
    marketDataSnapshot.setYieldCurves(yieldCurves);

    final MarketDataSnapshotDocument addDoc = new MarketDataSnapshotDocument(marketDataSnapshot);
    final MarketDataSnapshotDocument added = _snpMaster.add(addDoc);
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  //-------------------------------------------------------------------------
  @Test
  public void test_complex_example() throws Exception {
    final ManageableMarketDataSnapshot snapshot1 = new ManageableMarketDataSnapshot();
    snapshot1.setName("Test");
    final ManageableUnstructuredMarketDataSnapshot globalValues = new ManageableUnstructuredMarketDataSnapshot();
    snapshot1.setGlobalValues(globalValues);

    final HashMap<YieldCurveKey, YieldCurveSnapshot> yieldCurves = new HashMap<YieldCurveKey, YieldCurveSnapshot>();

    final ExternalIdBundle specA = ExternalId.of("XXX", "AAA").toBundle();
    final ExternalIdBundle specB = ExternalIdBundle.of(ExternalId.of("XXX", "B1"), ExternalId.of("XXX", "B2"));

    globalValues.putValue(specA, "X", new ValueSnapshot(Double.valueOf(12), null));
    globalValues.putValue(specA, "Y", new ValueSnapshot(Double.valueOf(1), null));
    globalValues.putValue(specA, "Z", new ValueSnapshot(null, null));
    globalValues.putValue(specB, "X", new ValueSnapshot(Double.valueOf(12), Double.valueOf(11)));

    final ManageableYieldCurveSnapshot manageableYieldCurveSnapshot = new ManageableYieldCurveSnapshot();
    manageableYieldCurveSnapshot.setValuationTime(Instant.now());
    manageableYieldCurveSnapshot.setValues(globalValues);
    yieldCurves.put(new YieldCurveKey(Currency.GBP, "Default"), manageableYieldCurveSnapshot);
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  }

  @Override
  ManageableYieldCurveSnapshot buildSnapshot(ViewComputationResultModel resultModel, YieldCurveKey key,
      SnapshotDataBundle bundle) {
    ManageableUnstructuredMarketDataSnapshot values = getUnstructured(bundle);
    ManageableYieldCurveSnapshot ret = new ManageableYieldCurveSnapshot();
    ret.setValues(values);
    ret.setValuationTime(resultModel.getViewCycleExecutionOptions().getValuationTime());
    return ret;
  }
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  @Override
  VolatilityCubeSnapshot buildSnapshot(ViewComputationResultModel resultModel, VolatilityCubeKey key, VolatilityCubeData volatilityCubeData) {
    ManageableVolatilityCubeSnapshot ret = new ManageableVolatilityCubeSnapshot();
   
    ManageableUnstructuredMarketDataSnapshot otherValues = getUnstructured(volatilityCubeData.getOtherData());

    Map<VolatilityPoint, ValueSnapshot> values = new HashMap<VolatilityPoint, ValueSnapshot>();
   
    //fill with nulls
    VolatilityCubeDefinition definition = _cubeDefinitionSource.getDefinition(key.getCurrency(), key.getName());
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    return ret;
  }

  public StructuredMarketDataSnapshot createSnapshot(final ExternalIdBundleResolver resolver, final ViewComputationResultModel results,
      final Map<String, DependencyGraph> graphs, final ViewCycle viewCycle, final String basisViewName) {
    final ManageableUnstructuredMarketDataSnapshot globalValues = getGlobalAndUnresolvedValues(resolver, results, graphs);

    final Map<YieldCurveKey, YieldCurveSnapshot> yieldCurves = _yieldCurveSnapper.getValues(results, graphs, viewCycle);
    final Map<CurveKey, CurveSnapshot> curves = _curveSnapper.getValues(results, graphs, viewCycle);
    final Map<VolatilitySurfaceKey, VolatilitySurfaceSnapshot> surfaces = _volatilitySurfaceSnapper.getValues(results, graphs, viewCycle);
    final Map<VolatilityCubeKey, VolatilityCubeSnapshot> cubes = _volatilityCubeSnapper.getValues(results, graphs, viewCycle);
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    return ret;
  }

  private ManageableUnstructuredMarketDataSnapshot getGlobalAndUnresolvedValues(final ExternalIdBundleResolver resolver, final ViewComputationResultModel results,
      final Map<String, DependencyGraph> graphs) {
    final ManageableUnstructuredMarketDataSnapshot snapshot = new ManageableUnstructuredMarketDataSnapshot();
    for (final Entry<String, DependencyGraph> graphEntry : graphs.entrySet()) {
      final DependencyGraph graph = graphEntry.getValue();
      Set<ValueSpecification> resolvedValues = Sets.newHashSet();
      for (ComputedValue computedValue : results.getAllMarketData()) {
        resolvedValues.add(computedValue.getSpecification());
        final DependencyNode nodeProducing = graph.getNodeProducing(computedValue.getSpecification());
        if ((nodeProducing != null) && isTerminalUnstructuredOutput(nodeProducing, graph)) {
          ExternalIdBundle identifiers = resolveExternalIdBundle(resolver, computedValue.getSpecification());
          if (identifiers != null) {
            snapshot.putValue(identifiers, computedValue.getSpecification().getValueName(), new ValueSnapshot(computedValue.getValue()));
          }
        }
      }
      //missing values go over the wire as nulls
      SetView<ValueSpecification> missingValues = Sets.difference(graph.getAllRequiredMarketData(), resolvedValues);
      for (ValueSpecification missingValue : missingValues) {
        ExternalIdBundle missingExternalIdBundle = resolveExternalIdBundle(resolver, missingValue);
        snapshot.putValue(missingExternalIdBundle, missingValue.getValueName(), null);
      }
    }
    return snapshot;
  }
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  }

  @Override
  CurveSnapshot buildSnapshot(ViewComputationResultModel resultModel, CurveKey key,
      SnapshotDataBundle bundle) {
    ManageableUnstructuredMarketDataSnapshot values = getUnstructured(bundle);
      ManageableCurveSnapshot ret = new ManageableCurveSnapshot();
    ret.setValues(values);
    ret.setValuationTime(resultModel.getViewCycleExecutionOptions().getValuationTime());
    return ret;
  }
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    return ret;
  }

  protected static ManageableUnstructuredMarketDataSnapshot getUnstructured(final SnapshotDataBundle bundle) {
    final Set<Entry<ExternalIdBundle, Double>> bundlePoints = bundle.getDataPointSet();
    final ManageableUnstructuredMarketDataSnapshot snapshot = new ManageableUnstructuredMarketDataSnapshot();
    for (final Map.Entry<ExternalIdBundle, Double> bundlePoint : bundle.getDataPointSet()) {
      snapshot.putValue(bundlePoint.getKey(), MarketDataRequirementNames.MARKET_VALUE, new ValueSnapshot(bundlePoint.getValue()));
    }
    return snapshot;
  }
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    //Temporary maps for data structures
    HashMap<String, ManageableCurveSnapshot> curvesBuilder = new HashMap<>();
    HashMap<String, Pair<YieldCurveKey, ManageableYieldCurveSnapshot>> yieldCurveBuilder = new HashMap<>();
    HashMap<String, Pair<VolatilitySurfaceKey, ManageableVolatilitySurfaceSnapshot>> surfaceBuilder = new HashMap<>();
    ManageableUnstructuredMarketDataSnapshot globalBuilder = new ManageableUnstructuredMarketDataSnapshot();

    while (true) {
      Map<String, String> currentRow = _sheetReader.loadNextRow();

      // When rows are complete create snapshot elements from temporary structures
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                                Map<String, String> currentRow) {
    String name = currentRow.get(SnapshotColumns.NAME.get());

    if (!yieldCurveBuilder.containsKey(name)) {
      ManageableYieldCurveSnapshot curve = new ManageableYieldCurveSnapshot();
      ManageableUnstructuredMarketDataSnapshot snapshot = new ManageableUnstructuredMarketDataSnapshot();
      YieldCurveKey key = new YieldCurveKey(Currency.of(currentRow.get(SnapshotColumns.YIELD_CURVE_CURRENCY.get())),
                                            currentRow.get(SnapshotColumns.NAME.get()));

      curve.setValuationTime(Instant.parse(currentRow.get(SnapshotColumns.INSTANT.get())));
      snapshot.putValue(createExternalIdBundle(currentRow),
                        currentRow.get(SnapshotColumns.VALUE_NAME.get()),
                        createValueSnapshot(currentRow));
      curve.setValues(snapshot);
      yieldCurveBuilder.put(name, Pair.of(key, curve));
    } else {
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Related Classes of com.opengamma.core.marketdatasnapshot.impl.ManageableUnstructuredMarketDataSnapshot

  • com.opengamma.core.marketdatasnapshot.ValueSnapshot
  • com.opengamma.engine.marketdata.snapshot.UserMarketDataSnapshotTest
  • com.opengamma.financial.marketdatasnapshot.CurveSnapper
  • com.opengamma.financial.marketdatasnapshot.MarketDataSnapshotterImpl
  • com.opengamma.financial.marketdatasnapshot.StructuredSnapper
  • com.opengamma.financial.marketdatasnapshot.VolatilityCubeSnapper
  • com.opengamma.financial.marketdatasnapshot.YieldCurveSnapper
  • com.opengamma.id.ExternalIdBundle
  • com.opengamma.integration.copier.snapshot.reader.FileSnapshotReader
  • com.opengamma.masterdb.marketdatasnapshot.DbMarketDataSnapshotMasterTest
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