Package com.opengamma.engine

Examples of com.opengamma.engine.ComputationTargetSpecification

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    }
    final InterpolatedYieldCurveSpecificationWithSecurities forwardCurveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) forwardCurveSpecObject;
    final InterpolatedYieldCurveSpecificationWithSecurities fundingCurveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) fundingCurveSpecObject;
    final ValueProperties forwardCurveProperties = getSensitivityProperties(currencyString, forwardCurveName, fundingCurveName, curveCalculationMethodName, forwardCurveName);
    final ValueProperties fundingCurveProperties = getSensitivityProperties(currencyString, forwardCurveName, fundingCurveName, curveCalculationMethodName, fundingCurveName);
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final Object forwardCurveSensitivitiesObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, targetSpec, forwardCurveProperties));
    if (forwardCurveSensitivitiesObject == null) {
      throw new OpenGammaRuntimeException("Could not get sensitivities for " + forwardCurveName);
    }
    final DoubleLabelledMatrix1D forwardCurveSensitivities = (DoubleLabelledMatrix1D) forwardCurveSensitivitiesObject;
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    final String curveCalculationMethodName = getPropertyName(curveCalculationMethodNames);
    final String forwardCurveName = getPropertyName(forwardCurveNames);
    final String fundingCurveName = getPropertyName(fundingCurveNames);
    final ValueProperties forwardSensitivityProperties = getSensitivityProperties(currencyString, forwardCurveName, fundingCurveName, curveCalculationMethodName, forwardCurveName);
    final ValueProperties fundingSensitivityProperties = getSensitivityProperties(currencyString, forwardCurveName, fundingCurveName, curveCalculationMethodName, fundingCurveName);
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ValueRequirement forwardCurveRequirement = new ValueRequirement(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, targetSpec, forwardSensitivityProperties);
    final ValueRequirement fundingCurveRequirement = new ValueRequirement(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, targetSpec, fundingSensitivityProperties);
    final ValueProperties.Builder forwardCurveSpecProperties = ValueProperties.builder().with(ValuePropertyNames.CURVE, forwardCurveName);
    final ComputationTargetSpecification curveSpec = ComputationTargetSpecification.of(currency);
    final ValueRequirement forwardCurveSpecRequirement = new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, curveSpec, forwardCurveSpecProperties.get());
    final ValueProperties.Builder fundingCurveSpecProperties = ValueProperties.builder().with(ValuePropertyNames.CURVE, fundingCurveName);
    final ValueRequirement fundingCurveSpecRequirement = new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, curveSpec, fundingCurveSpecProperties.get());
    return Sets.newHashSet(forwardCurveRequirement, fundingCurveRequirement, forwardCurveSpecRequirement, fundingCurveSpecRequirement);
  }
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    final String useFiniteDifferenceName = desiredValue.getConstraint(PROPERTY_USE_FINITE_DIFFERENCE);
    final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(START_DATE_PROPERTY));
    final LocalDate endDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(END_DATE_PROPERTY));
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final MultiCurveCalculationConfig curveCalculationConfig = new ConfigDBCurveCalculationConfigSource(configSource).getConfig(curveCalculationConfigName);
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionBundleSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final YieldCurveFixingSeriesProvider provider = new YieldCurveFixingSeriesProvider(conventionBundleSource);
    final Set<ComputedValue> results = new HashSet<>();
    final double absoluteTolerance = Double.parseDouble(absoluteToleranceName);
    final double relativeTolerance = Double.parseDouble(relativeToleranceName);
    final int iterations = Integer.parseInt(iterationsName);
    final boolean useFiniteDifference = Boolean.parseBoolean(useFiniteDifferenceName);
    final Decomposition<?> decomposition = DecompositionFactory.getDecomposition(decompositionName);
    final Currency currency = Currency.of(targetSpec.getUniqueId().getValue());
    final LinkedHashSet<String> curveNames = new LinkedHashSet<>();
    int totalStrips = 0;
    final FixedIncomeStripIdentifierAndMaturityBuilder builder = new FixedIncomeStripIdentifierAndMaturityBuilder(OpenGammaExecutionContext.getRegionSource(executionContext),
        OpenGammaExecutionContext.getConventionBundleSource(executionContext), executionContext.getSecuritySource(), OpenGammaExecutionContext.getHolidaySource(executionContext));
    for (final String curveName : curveCalculationConfig.getYieldCurveNames()) {
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    if (requirements == null) {
      return null;
    }
    // Add live market_value of the option
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ComputationTargetReference securityTarget = new ComputationTargetSpecification(ComputationTargetType.SECURITY, security.getUniqueId());
    final ValueRequirement securityValueReq = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, securityTarget);
    requirements.add(securityValueReq);

    return requirements;
  }
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    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String bbgTicker = EquitySecurityUtils.getIndexOrEquityNameFromUnderlying(security);
    final Set<ValueSpecification> resultsWithExtraProperties = Sets.newHashSetWithExpectedSize(results.size());
    for (final ValueSpecification spec : results) {
      final String name = spec.getValueName();
      final ComputationTargetSpecification targetSpec = spec.getTargetSpecification();
      final ValueProperties properties = spec.getProperties().copy()
          .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.EQUITY_OPTION)
          .with(ValuePropertyNames.UNDERLYING_TICKER, bbgTicker)
          .get();
      resultsWithExtraProperties.add(new ValueSpecification(name, targetSpec, properties));
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    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
      final ValueProperties curveProperties = getCurveProperties(_impliedCurveName, _impliedConfiguration.getCalculationConfigName());
      final ValueProperties jacobianProperties = getJacobianProperties(_impliedConfiguration.getCalculationConfigName());
      final ComputationTargetSpecification targetSpec = target.toSpecification();
      final ValueSpecification curve = new ValueSpecification(YIELD_CURVE, targetSpec, curveProperties);
      final ValueSpecification jacobian = new ValueSpecification(YIELD_CURVE_JACOBIAN, targetSpec, jacobianProperties);
      return Sets.newHashSet(curve, jacobian);
    }
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  protected ValueRequirement getCurrencyConversionTSRequirement(final Position position, final String currencyString, final Set<String> resultCurrencies) {
    final String resultCurrency = Iterables.getOnlyElement(resultCurrencies);
    if (!resultCurrency.equals(currencyString)) {
      final ValueProperties.Builder properties = ValueProperties.builder();
      properties.with(ValuePropertyNames.CURRENCY, resultCurrencies);
      final ComputationTargetSpecification targetSpec = ComputationTargetSpecification.of(position.getSecurity());
      return new ValueRequirement(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES, targetSpec, properties.get());
    }
    return null;
  }
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  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) {
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
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    final String samplingPeriodName = samplingPeriodNames.iterator().next();
    final String scheduleCalculatorName = scheduleCalculatorNames.iterator().next();
    final String samplingFunctionName = samplingFunctionNames.iterator().next();
    final String returnCalculatorName = returnCalculatorNames.iterator().next();
    final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    requirements.add(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec, ValueProperties.builder()
        .withAny(ValuePropertyNames.CURRENCY)
        .with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriodName)
        .with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorName)
        .with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName)
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  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    final Set<ValueSpecification> result = new HashSet<ValueSpecification>();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ValueProperties properties = createValueProperties().get();
    for (final Pair<UnderlyingType, String> underlying : _underlyings) {
      result.add(new ValueSpecification(underlying.getSecond(), targetSpec, properties));
    }
    return result;
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Related Classes of com.opengamma.engine.ComputationTargetSpecification

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  • com.opengamma.engine.fudgemsg.CalculationJobItemFudgeBuilder
  • com.opengamma.engine.fudgemsg.ComputationTargetFudgeBuilderTest
  • com.opengamma.engine.fudgemsg.ComputationTargetReferenceFudgeBuilderTest
  • com.opengamma.engine.fudgemsg.ValueSpecificationFudgeBuilder
  • com.opengamma.engine.function.dsl.BaseNonCompiledInvokerTest
  • com.opengamma.engine.function.dsl.FunctionGate
  • com.opengamma.engine.function.dsl.functions.BaseNonCompiledInvoker
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