Package com.opengamma.engine.value

Examples of com.opengamma.engine.value.ComputedValue

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    } else {
      final String adjusterString = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY);
      final HistoricalTimeSeriesAdjustment htsa = HistoricalTimeSeriesAdjustment.parse(adjusterString);
      value = htsa.adjust(latestDataPoint.getSecond());
    }
    return Collections.singleton(new ComputedValue(new ValueSpecification(desiredValue.getValueName(), target.toSpecification(), desiredValue.getConstraints()), value));
  }
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  public Set<ComputedValue> execute(final FunctionExecutionContext context, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Object value = inputs.getValue(desiredValue.getValueName());
    final ValueRequirement resultReq = desiredValues.iterator().next();
    final ValueSpecification resultSpec = new ValueSpecification(desiredValue.getValueName(), ComputationTargetSpecification.NULL, resultReq.getConstraints());
    return Collections.singleton(new ComputedValue(resultSpec, value));
  }
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    return Collections.singleton(specification);
  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ComputedValue value = inputs.getAllValues().iterator().next();
    final ValueSpecification specification = new ValueSpecification(_requirementName, target.toSpecification(), getResultProperties(value.getSpecification()));
    return Sets.newHashSet(new ComputedValue(specification, value.getValue()));
  }
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      try {
        final FixedIncomeStripIdentifierAndMaturityBuilder builder = new FixedIncomeStripIdentifierAndMaturityBuilder(OpenGammaExecutionContext.getRegionSource(executionContext),
            OpenGammaExecutionContext.getConventionBundleSource(executionContext), executionContext.getSecuritySource(), OpenGammaExecutionContext.getHolidaySource(executionContext));
        final SnapshotDataBundle marketData = getHelper().getMarketDataMap(inputs);
        final InterpolatedYieldCurveSpecificationWithSecurities curveSpecificationWithSecurities = builder.resolveToSecurity(getCurveSpecification(), marketData);
        return Collections.singleton(new ComputedValue(getResultSpecification(), curveSpecificationWithSecurities));
      } catch (final OpenGammaRuntimeException e) {
        throw new OpenGammaRuntimeException("Error in constructing " + _helper.getCurveName() + "_" + _helper.getCurrency() + ": " + e.getMessage());
      }
    }
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    final ValueProperties stdVolProperties = createValueProperties()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.COMMODITY_FUTURE_OPTION)
        .get();
    final ValueSpecification stdVolSpec = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), stdVolProperties);
    return Collections.singleton(new ComputedValue(stdVolSpec, stdVolSurface));
  }
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    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
        final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
      final SnapshotDataBundle map = buildMarketDataMap(executionContext, inputs);
      return Sets.newHashSet(new ComputedValue(_marketDataResult, map));
    }
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    final ValueProperties properties = createValueProperties()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION).get();
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), properties);
    if (surfaceQuoteUnits.equals(SurfaceAndCubePropertyNames.VOLATILITY_QUOTE)) {
      return Collections.singleton(new ComputedValue(spec, getSurfaceFromVolatilityQuote(surfaceData, now, calendar)));
    } else if (surfaceQuoteUnits.equals(SurfaceAndCubePropertyNames.PRICE_QUOTE)) {
      final NodalDoublesCurve futuresPrices = getFuturePricesCurve(target, curveName, inputs);
      final VolatilitySurfaceData<Double, Double> volSurface = getSurfaceFromPriceQuote(specification, surfaceData, futuresPrices, now, surfaceQuoteType, calendar);
      if (volSurface != null) {
        return Collections.singleton(new ComputedValue(spec, volSurface));
      }
      return Collections.emptySet();
    } else {
      throw new OpenGammaRuntimeException("Encountered an unexpected surfaceQuoteUnits. Valid values are found in SurfaceAndCubePropertyNames as VolatilityQuote or PriceQuote.");
    }
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      final SnapshotDataBundle marketData = new SnapshotDataBundle();
      for (final FixedIncomeStripWithIdentifier strip : getCurveSpecification().getStrips()) {
        marketData.setDataPoint(strip.getSecurity(), 0);
      }
      final InterpolatedYieldCurveSpecificationWithSecurities curveSpecificationWithSecurities = resolveToDummySecurity(getCurveSpecification(), marketData, _currency);
      return Collections.singleton(new ComputedValue(_resultSpec, curveSpecificationWithSecurities));
    }
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    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(samplingFunctionName);

    //REVIEW emcleod should "fromEnd" be hard-coded?
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(tsStart, returnSeriesEnd, true, false), WEEKEND_CALENDAR);

    final ComputedValue bundleValue = inputs.getComputedValue(ValueRequirementNames.FX_FORWARD_CURVE_HISTORICAL_TIME_SERIES);
    final HistoricalTimeSeriesBundle bundle = (HistoricalTimeSeriesBundle) bundleValue.getValue();
    final boolean includeStart = HistoricalTimeSeriesFunctionUtils.parseBoolean(bundleValue.getSpecification().getProperty(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY));
    final FXForwardCurveDefinition fxForwardCurveDefinition = (FXForwardCurveDefinition) inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_DEFINITION);

    final Tenor[] tenors = fxForwardCurveDefinition.getTenors();

    final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D returnSeriesVector = getReturnSeriesVector(bundle, tenors,
        schedule, samplingFunction, returnSeriesStart, includeStart, desiredValue);
    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.FX_FORWARD_CURVE_RETURN_SERIES, target.toSpecification(), desiredValue.getConstraints());
    return ImmutableSet.of(new ComputedValue(resultSpec, returnSeriesVector));
  }
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    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
        final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
      final NodalDoublesCurve curve = interpolateCurve((YieldCurve) inputs.getValue(_curveRequirement));
      return Sets.newHashSet(new ComputedValue(_interpolatedCurveResult, curve));
    }
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Related Classes of com.opengamma.engine.value.ComputedValue

  • com.opengamma.engine.cache.DefaultViewComputationCacheTest
  • com.opengamma.engine.cache.PrivateToSharedTransferTest
  • com.opengamma.engine.cache.WriteBehindViewComputationCacheTest
  • com.opengamma.engine.cache.WriteThroughViewComputationCacheTest
  • com.opengamma.engine.calcnode.SimpleCalculationNode
  • com.opengamma.engine.function.FunctionInputsImpl
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  • com.opengamma.engine.test.MockFunction
  • com.opengamma.engine.view.cycle.LiveDataDeltaCalculatorTest
  • com.opengamma.engine.view.cycle.SingleComputationCycle
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