Package com.opengamma.engine

Examples of com.opengamma.engine.ComputationTarget

74
75
76
77
78
79
80
81
82
83
84
          .with(ValuePropertyNames.CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
          .with(ISDAFunctionConstants.ISDA_IMPLEMENTATION, ISDAFunctionConstants.ISDA_IMPLEMENTATION_APPROX)
          .with(ISDAFunctionConstants.ISDA_HAZARD_RATE_STRUCTURE, ISDAFunctionConstants.ISDA_HAZARD_RATE_FLAT)
          .get());
   
    Set<ValueRequirement> result = testItem.getRequirements(functionCompilationContext, new ComputationTarget(ComputationTargetType.SECURITY, CDS_SECURITY), requirement);

    Assert.assertNotNull(result);
    Assert.assertEquals(result.size(), 2);

    TreeSet<String> r = new TreeSet<String>();
View Full Code Here
92
93
94
95
96
97
98
            "[ValueReq[SpotRate, CTSpec[SECURITY, dummy_scheme~dummy_value], EMPTY], ValueReq[YieldCurve, CTSpec[CURRENCY, CurrencyISO~GBP], {CalculationMethod=[ISDA]}]]");
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void getResults1() {
    testItem.getResults(null, new ComputationTarget(ComputationTargetType.SECURITY, CDS_SECURITY));
  }
View Full Code Here
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
    final ConfigSource configurationSource = OpenGammaCompilationContext.getConfigSource(context);
    final MultiCurveCalculationConfig impliedConfiguration = configurationSource.getLatestByName(MultiCurveCalculationConfig.class, _curveCalculationConfig);
    if (impliedConfiguration == null) {
      throw new OpenGammaRuntimeException("Multi-curve calculation called " + _curveCalculationConfig + " was null");
    }
    ComputationTarget target = context.getComputationTargetResolver().resolve(impliedConfiguration.getTarget());
    if (!(target.getValue() instanceof Currency)) {
      throw new OpenGammaRuntimeException("Target of curve calculation configuration was not a currency");
    }
    final Currency impliedCurrency = (Currency) target.getValue();
    if (!IMPLIED_DEPOSIT.equals(impliedConfiguration.getCalculationMethod())) {
      throw new OpenGammaRuntimeException("Curve calculation method was not " + IMPLIED_DEPOSIT + " for configuration called " + _curveCalculationConfig);
    }
    final String[] impliedCurveNames = impliedConfiguration.getYieldCurveNames();
    if (impliedCurveNames.length != 1) {
      throw new OpenGammaRuntimeException("Can only handle configurations with a single implied curve");
    }
    final LinkedHashMap<String, String[]> originalConfigurationName = impliedConfiguration.getExogenousConfigData();
    if (originalConfigurationName == null || originalConfigurationName.size() != 1) {
      throw new OpenGammaRuntimeException("Need a configuration with one exogenous configuration");
    }
    final Map.Entry<String, String[]> entry = Iterables.getOnlyElement(originalConfigurationName.entrySet());
    final String[] originalCurveNames = entry.getValue();
    if (originalCurveNames.length != 1) {
      s_logger.warn("Found more than one exogenous configuration name; using only the first");
    }
    final MultiCurveCalculationConfig originalConfiguration = configurationSource.getLatestByName(MultiCurveCalculationConfig.class, entry.getKey());
    if (originalConfiguration == null) {
      throw new OpenGammaRuntimeException("Multi-curve calculation called " + entry.getKey() + " was null");
    }
    target = context.getComputationTargetResolver().resolve(originalConfiguration.getTarget());
    if (!(target.getValue() instanceof Currency)) {
      throw new OpenGammaRuntimeException("Target of curve calculation configuration was not a currency");
    }
    final Currency originalCurrency = (Currency) target.getValue();
    if (!originalCurrency.equals(impliedCurrency)) {
      throw new OpenGammaRuntimeException("Currency targets for configurations " + _curveCalculationConfig + " and " + entry.getKey() + " did not match");
    }
    final YieldCurveDefinition impliedDefinition = configurationSource.getLatestByName(YieldCurveDefinition.class, impliedCurveNames[0] + "_" + impliedCurrency.getCode());
    if (impliedDefinition == null) {
View Full Code Here
112
113
114
115
116
117
118
119
120
121
122
  private DependencyGraph createGraph() {
    DependencyGraph graph = new DependencyGraph("testGraph");
    ComputationTargetSpecification targetSpecification = new ComputationTargetSpecification(ComputationTargetType.CURRENCY,
                                                                                            Currency.GBP.getUniqueId());
    DependencyNode yieldCurveNode = new DependencyNode(targetSpecification);
    ComputationTarget target = new ComputationTarget(targetSpecification, Currency.GBP);
    yieldCurveNode.setFunction(new MockFunction(target));
    yieldCurveNode.addOutputValue(new ValueSpecification("YieldCurveMarketData",
                                                         targetSpecification,
                                                         ValueProperties.builder().with("Curve", "Forward3M").with("Function", "someFunction").get()));
    graph.addDependencyNode(yieldCurveNode);
View Full Code Here
45
46
47
48
49
50
51
52
53
    _function.init(_functionCompilationContext);
  }

  @Test
  public void testGetResults1() {
    final ComputationTarget ct = new ComputationTarget(CurrencyPair.TYPE, CurrencyPair.parse("USD/EUD"));
    final Set<ValueSpecification> results = _function.getResults(_functionCompilationContext, ct);
    assertEquals(3, results.size());
  }
View Full Code Here
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
    assertEquals(3, results.size());
  }

  @Test
  public void testGetRequirements() {
    ComputationTarget target = new ComputationTarget(CurrencyPair.TYPE, CurrencyPair.parse("GBP/USD"));
    Set<ValueRequirement> requirements = _function.getRequirements(_functionCompilationContext, target, new ValueRequirement(ValueRequirementNames.SPOT_RATE, target.toSpecification()));
    assertEquals(Iterables.getOnlyElement(requirements),
        new ValueRequirement(ValueRequirementNames.SPOT_RATE, new ComputationTargetRequirement(CurrencyMatrixResolver.TYPE, ExternalId.of(CurrencyMatrixResolver.IDENTIFIER_SCHEME, "Foo")),
            ValueProperties.with(AbstractCurrencyMatrixSourcingFunction.SOURCE_CURRENCY_PROPERTY, "USD").with(AbstractCurrencyMatrixSourcingFunction.TARGET_CURRENCY_PROPERTY, "GBP").get()));
    requirements = _function.getRequirements(_functionCompilationContext, target,
        new ValueRequirement(ValueRequirementNames.SPOT_RATE, target.toSpecification(), ValueProperties.with(CurrencyMatrixLookupFunction.CURRENCY_MATRIX_NAME_PROPERTY, "Bar").get()));
    assertEquals(Iterables.getOnlyElement(requirements),
        new ValueRequirement(ValueRequirementNames.SPOT_RATE, new ComputationTargetRequirement(CurrencyMatrixResolver.TYPE, ExternalId.of(CurrencyMatrixResolver.IDENTIFIER_SCHEME, "Bar")),
            ValueProperties.with(AbstractCurrencyMatrixSourcingFunction.SOURCE_CURRENCY_PROPERTY, "USD").with(AbstractCurrencyMatrixSourcingFunction.TARGET_CURRENCY_PROPERTY, "GBP").get()));
    requirements = _function.getRequirements(_functionCompilationContext, target,
        new ValueRequirement(ValueRequirementNames.SPOT_RATE, target.toSpecification(), ValueProperties.with(CurrencyMatrixLookupFunction.CURRENCY_MATRIX_NAME_PROPERTY, "Bar", "Foo").get()));
    assertEquals(
        Iterables.getOnlyElement(requirements),
        new ValueRequirement(ValueRequirementNames.SPOT_RATE, new ComputationTargetRequirement(CurrencyMatrixResolver.TYPE, ExternalIdBundle.of(
            ExternalId.of(CurrencyMatrixResolver.IDENTIFIER_SCHEME, "Foo"), ExternalId.of(CurrencyMatrixResolver.IDENTIFIER_SCHEME, "Bar"))),
            ValueProperties.with(AbstractCurrencyMatrixSourcingFunction.SOURCE_CURRENCY_PROPERTY, "USD").with(AbstractCurrencyMatrixSourcingFunction.TARGET_CURRENCY_PROPERTY, "GBP").get()));
    requirements = _function.getRequirements(_functionCompilationContext, target,
        new ValueRequirement(ValueRequirementNames.SPOT_RATE, target.toSpecification(), ValueProperties.withAny(CurrencyMatrixLookupFunction.CURRENCY_MATRIX_NAME_PROPERTY).get()));
    assertEquals(Iterables.getOnlyElement(requirements),
        new ValueRequirement(ValueRequirementNames.SPOT_RATE, new ComputationTargetRequirement(CurrencyMatrixResolver.TYPE, ExternalId.of(CurrencyMatrixResolver.IDENTIFIER_SCHEME, "Foo")),
            ValueProperties.with(AbstractCurrencyMatrixSourcingFunction.SOURCE_CURRENCY_PROPERTY, "USD").with(AbstractCurrencyMatrixSourcingFunction.TARGET_CURRENCY_PROPERTY, "GBP").get()));
  }
View Full Code Here
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
            ValueProperties.with(AbstractCurrencyMatrixSourcingFunction.SOURCE_CURRENCY_PROPERTY, "USD").with(AbstractCurrencyMatrixSourcingFunction.TARGET_CURRENCY_PROPERTY, "GBP").get()));
  }

  @Test
  public void testGetResults2() {
    ComputationTarget target = new ComputationTarget(CurrencyPair.TYPE, CurrencyPair.parse("GBP/USD"));
    Set<ValueSpecification> results = _function.getResults(
        _functionCompilationContext,
        target,
        ImmutableMap.of(
            new ValueSpecification(ValueRequirementNames.SPOT_RATE, new ComputationTargetSpecification(CurrencyMatrixResolver.TYPE, UniqueId.of("Matrix", "0")), ValueProperties.with(
                ValuePropertyNames.FUNCTION, "Test").get()),
            new ValueRequirement(ValueRequirementNames.SPOT_RATE, new ComputationTargetRequirement(CurrencyMatrixResolver.TYPE, ExternalId.of(CurrencyMatrixResolver.IDENTIFIER_SCHEME, "Foo")))));
    assertEquals(
        Iterables.getOnlyElement(results),
        new ValueSpecification(ValueRequirementNames.SPOT_RATE, target.toSpecification(), ValueProperties.with(ValuePropertyNames.FUNCTION, "currencyMatrixLookup")
            .with(CurrencyMatrixLookupFunction.CURRENCY_MATRIX_NAME_PROPERTY, "Foo").get()));
  }
View Full Code Here
60
61
62
63
64
65
66
67
68
69
    SimpleCurrencyMatrix matrix = new SimpleCurrencyMatrix();
    matrix.setUniqueId(UniqueId.of("Matrix", "Test"));
    matrix.setLiveData(_currencyUSD, _currencyGBP, new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, ExternalId.of("LiveData", "USD_GBP")));
    matrix.setFixedConversion(_currencyEUR, _currencyGBP, _rateEUR_GBP);
    matrix.setCrossConversion(_currencyEUR, _currencyUSD, _currencyGBP);
    _matrixTarget = new ComputationTarget(CurrencyMatrixResolver.TYPE, matrix);
    _function = new CurrencyMatrixSpotSourcingFunction();
    _function.setUniqueId("currencyMatrixSourcing");
    _function.init(_functionCompilationContext);
  }
View Full Code Here
156
157
158
159
160
161
162
163
164
165
166
167
168
    }
    rowIdSet.add(rowId);
  }

  private String getTargetName(final ComputationTargetSpecification targetSpec) {
    final ComputationTarget target = getComputationTargetResolver().resolve(targetSpec, VersionCorrection.LATEST);
    if (target != null) {
      return target.getName();
    } else {
      final UniqueId uid = targetSpec.getUniqueId();
      if (uid != null) {
        return uid.toString();
      } else {
View Full Code Here
299
300
301
302
303
304
305
306
307
308
309
310
311
      final ComputationTargetSpecification targetSpec = valueSpec.getTargetSpecification();
      // TODO I don't think LATEST will do long term. resolution time available on the result model
      if (targetSpec.getType() == ComputationTargetType.NULL) {
        return getNullTargetName(valueSpec);
      } else {
        ComputationTarget target = _computationTargetResolver.resolve(targetSpec, VersionCorrection.LATEST);
        if (target != null) { // doubt this branch ever happens - don't think it will be executed for NULL targets.
          return target.getName();
        } else {
          UniqueId uid = targetSpec.getUniqueId();
          if (uid != null) {
            return uid.toString();
          } else {
View Full Code Here
TOP

Related Classes of com.opengamma.engine.ComputationTarget

  • com.opengamma.core.position.PositionOrTrade
  • com.opengamma.core.security.Security
  • com.opengamma.core.security.SecurityLink
  • com.opengamma.engine.calcnode.SimpleCalculationNode
  • com.opengamma.engine.depgraph.DependencyGraphBuilder
  • com.opengamma.engine.depgraph.DependencyGraphTest
  • com.opengamma.engine.depgraph.DependencyNodeTest
  • com.opengamma.engine.depgraph.DepGraphConversionTest
  • com.opengamma.engine.depgraph.DepGraphTestHelper
  • com.opengamma.engine.depgraph.FunctionApplicationStep
    • 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.