Package com.opengamma.financial.analytics.curve

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

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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
    final CurveConstructionConfiguration constructionConfig = (CurveConstructionConfiguration) inputs.getValue(ValueRequirementNames.CURVE_CONSTRUCTION_CONFIG);
    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?
      //TODO do we want to exclude node types that definitely don't need fixing data?
      for (final Map.Entry<String, List<CurveTypeConfiguration>> entry : group.getTypesForCurves().entrySet()) {
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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?
      //TODO do we want to exclude node types that definitely don't need fixing data?
      for (final Map.Entry<String, List<CurveTypeConfiguration>> entry : group.getTypesForCurves().entrySet()) {
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          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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      final Class<?>[] curveConstructionConfigurationClasses = new Class[] {CurveConstructionConfiguration.class};
      for (final Class<?> klass : curveConstructionConfigurationClasses) {
        searchRequest.setType(klass);
        for (final ConfigDocument configDocument : ConfigSearchIterator.iterable(getConfigMaster(), searchRequest)) {
          final String documentName = configDocument.getName();
          final CurveConstructionConfiguration config = ((ConfigItem<CurveConstructionConfiguration>) configDocument.getConfig()).getValue();

          /*
           * We need the CurveTypeConfigurations of the curves contained within the CurveConstructionConfiguration to
           * decided whether we want to add the curve building function for this CurveConstructionConfiguration.
           */
 
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          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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    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<>();
    if (curveConstructionConfiguration.getExogenousConfigurations() != null) {
      final List<String> exogenousConfigurations = curveConstructionConfiguration.getExogenousConfigurations();
      for (final String name : exogenousConfigurations) {
        //TODO deal with arbitrary depth
        final ValueProperties properties = ValueProperties.builder()
            .with(CURVE_CONSTRUCTION_CONFIG, name)
            .get();
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    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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        exogenousConfigurations = new ArrayList<>();
        for (final FudgeField field : exogenousConfigFields) {
          exogenousConfigurations.add((String) field.getValue());
        }
      }
      final CurveConstructionConfiguration configuration = new CurveConstructionConfiguration(name, curveTypes, exogenousConfigurations);
      setUniqueId(deserializer, message, configuration);
      return configuration;
    }
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Related Classes of com.opengamma.financial.analytics.curve.CurveConstructionConfiguration

  • com.opengamma.financial.analytics.model.curve.CurveFunctions$Providers
  • com.opengamma.financial.analytics.model.curve.FXMatrixFunction
  • com.opengamma.financial.analytics.model.curve.MultiCurveFunction
  • com.opengamma.financial.analytics.model.fx.FXForwardPointsFunction$FXForwardPointsCompiledFunction
  • com.opengamma.financial.analytics.model.multicurve.MultiCurvePricingFunction$MultiCurveCompiledFunction
  • com.opengamma.financial.analytics.timeseries.CurveConfigurationHistoricalTimeSeriesFunction
  • com.opengamma.financial.fudgemsg.CurveConfigurationBuilders$CurveConstructionConfigurationBuilder
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