Package com.opengamma.financial.analytics.curve

Examples of com.opengamma.financial.analytics.curve.ConfigDBCurveConstructionConfigurationSource

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    if (curveConstructionConfigs == null || curveConstructionConfigs.size() != 1) {
      return null;
    }
    final String curveConstructionConfig = Iterables.getOnlyElement(curveConstructionConfigs);
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final CurveConstructionConfiguration constructionConfig = new ConfigDBCurveConstructionConfigurationSource(configSource).getCurveConstructionConfiguration(curveConstructionConfig);
    final Set<ValueRequirement> requirements = new HashSet<>();
    final List<CurveGroupConfiguration> groups = constructionConfig.getCurveGroups();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    for (final CurveGroupConfiguration group : groups) {
      //TODO do we want to put information in about whether or not to use fixing time series?
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      try {
        final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
        final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
        final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
        final ConfigDBInstrumentExposuresProvider exposureSource = new ConfigDBInstrumentExposuresProvider(configSource, securitySource);
        final ConfigDBCurveConstructionConfigurationSource constructionConfigurationSource = new ConfigDBCurveConstructionConfigurationSource(configSource);
        final Set<ValueRequirement> requirements = new HashSet<>();
        final ValueProperties.Builder commonCurveProperties = getCurveProperties(target, constraints);
        for (final String curveExposureConfig : curveExposureConfigs) {
          final Set<String> curveConstructionConfigurationNames = exposureSource.getCurveConstructionConfigurationsForConfig(curveExposureConfig, security);
          for (final String curveConstructionConfigurationName : curveConstructionConfigurationNames) {
            final ValueProperties properties = commonCurveProperties.get().copy().with(CURVE_CONSTRUCTION_CONFIG, curveConstructionConfigurationName).get();
            requirements.add(new ValueRequirement(CURVE_BUNDLE, ComputationTargetSpecification.NULL, properties));
            requirements.add(new ValueRequirement(JACOBIAN_BUNDLE, ComputationTargetSpecification.NULL, properties));
            final CurveConstructionConfiguration curveConstructionConfiguration = constructionConfigurationSource.getCurveConstructionConfiguration(curveConstructionConfigurationName);
            final String[] curveNames = CurveUtils.getCurveNamesForConstructionConfiguration(curveConstructionConfiguration);
            for (final String curveName : curveNames) {
              final ValueProperties curveProperties = ValueProperties.builder()
                  .with(CURVE, curveName)
                  .get();
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      try {
        final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
        final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
        final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
        final ConfigDBInstrumentExposuresProvider exposureSource = new ConfigDBInstrumentExposuresProvider(configSource, securitySource);
        final ConfigDBCurveConstructionConfigurationSource constructionConfigurationSource = new ConfigDBCurveConstructionConfigurationSource(configSource);
        final Set<ValueRequirement> requirements = new HashSet<>();
        for (final String curveExposureConfig : curveExposureConfigs) {
          final Set<String> curveConstructionConfigurationNames = exposureSource.getCurveConstructionConfigurationsForConfig(curveExposureConfig, security);
          for (final String curveConstructionConfigurationName : curveConstructionConfigurationNames) {
            final ValueProperties properties = ValueProperties.with(CURVE_CONSTRUCTION_CONFIG, curveConstructionConfigurationName).get();
            requirements.add(new ValueRequirement(CURVE_BUNDLE, ComputationTargetSpecification.NULL, properties));
            requirements.add(new ValueRequirement(JACOBIAN_BUNDLE, ComputationTargetSpecification.NULL, properties));
            final CurveConstructionConfiguration curveConstructionConfiguration = constructionConfigurationSource.getCurveConstructionConfiguration(curveConstructionConfigurationName);
            final String[] curveNames = CurveUtils.getCurveNamesForConstructionConfiguration(curveConstructionConfiguration);
            for (final String curveName : curveNames) {
              final ValueProperties curveProperties = ValueProperties.builder()
                  .with(CURVE, curveName)
                  .get();
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  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final CurveConstructionConfigurationSource curveConfigurationSource = new ConfigDBCurveConstructionConfigurationSource(configSource);
    final Instant versionTime = atZDT.plus(1, ChronoUnit.HOURS).truncatedTo(ChronoUnit.HOURS).toInstant();
    //TODO work out a way to use dependency graph to get curve information for this config
    final CurveConstructionConfiguration curveConstructionConfiguration = curveConfigurationSource.getCurveConstructionConfiguration(_configurationName,
        VersionCorrection.of(versionTime, versionTime));
    if (curveConstructionConfiguration == null) {
      throw new OpenGammaRuntimeException("Could not get curve construction configuration called " + _configurationName);
    }
    final Set<ValueRequirement> exogenousRequirements = new HashSet<>();
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  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final CurveConstructionConfigurationSource curveConfigurationSource = new ConfigDBCurveConstructionConfigurationSource(configSource);
    final Instant versionTime = atZDT.plus(1, ChronoUnit.HOURS).truncatedTo(ChronoUnit.HOURS).toInstant();
    //TODO work out a way to use dependency graph to get curve information for this config
    final CurveConstructionConfiguration curveConstructionConfiguration = curveConfigurationSource.getCurveConstructionConfiguration(_configurationName,
        VersionCorrection.of(versionTime, versionTime));
    if (curveConstructionConfiguration == null) {
      throw new OpenGammaRuntimeException("Could not get curve construction configuration called " + _configurationName);
    }
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
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Related Classes of com.opengamma.financial.analytics.curve.ConfigDBCurveConstructionConfigurationSource

  • com.opengamma.financial.analytics.model.curve.FXMatrixFunction
  • com.opengamma.financial.analytics.model.curve.MultiCurveFunction
  • com.opengamma.financial.analytics.model.fx.FXForwardPointsFunction$FXForwardPointsCompiledFunction
  • com.opengamma.financial.analytics.model.multicurve.MultiCurvePricingFunction$MultiCurveCompiledFunction
  • com.opengamma.financial.analytics.timeseries.CurveConfigurationHistoricalTimeSeriesFunction
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