Package com.opengamma.financial.analytics.curve.credit

Examples of com.opengamma.financial.analytics.curve.credit.ConfigDBCurveDefinitionSource

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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 CurveDefinitionSource curveDefinitionSource = new ConfigDBCurveDefinitionSource(configSource);
    final Instant versionTime = atZDT.plus(1, ChronoUnit.HOURS).truncatedTo(ChronoUnit.HOURS).toInstant();
    final CurveDefinition curveDefinition = curveDefinitionSource.getCurveDefinition(_curveName, VersionCorrection.of(versionTime, versionTime));
    if (curveDefinition == null) {
      throw new OpenGammaRuntimeException("Could not get curve definition called " + _curveName);
    }
    final ValueProperties properties = createValueProperties()
        .with(ValuePropertyNames.CURVE, _curveName)
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    ArgumentChecker.notNull(valuationTime, "valuation time");
    ArgumentChecker.notNull(configSource, "config source");
    ArgumentChecker.notNull(curveDate, "curve date");
    ArgumentChecker.notNull(curveName, "curve name");
    final Instant versionTime = valuationTime.plus(1, ChronoUnit.HOURS).truncatedTo(ChronoUnit.HOURS);
    final CurveDefinitionSource curveDefinitionSource = new ConfigDBCurveDefinitionSource(configSource);
    final CurveDefinition curveDefinition = curveDefinitionSource.getCurveDefinition(curveName, VersionCorrection.of(versionTime, versionTime));
    if (curveDefinition == null) {
      throw new OpenGammaRuntimeException("Could not get curve definition called " + curveName);
    }
    final CurveSpecificationBuilder curveSpecificationBuilder = new ConfigDBCurveSpecificationBuilder(configSource);
    return curveSpecificationBuilder.buildCurve(valuationTime, curveDate, curveDefinition);
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    ArgumentChecker.notNull(configSource, "config source");
    ArgumentChecker.notNull(valuationTime, "valuation time");
    ArgumentChecker.notNull(conventionSource, "convention source");
    ArgumentChecker.notNull(curveNodeCurrencyVisitor, "curve node currency visitor");
    final Instant versionTime = valuationTime.plus(1, ChronoUnit.HOURS).truncatedTo(ChronoUnit.HOURS);
    final CurveDefinitionSource curveDefinitionSource = new ConfigDBCurveDefinitionSource(configSource);
    final Set<Currency> currencies = new TreeSet<>();
    for (final CurveGroupConfiguration group : configuration.getCurveGroups()) {
      for (final Map.Entry<String, List<CurveTypeConfiguration>> entry : group.getTypesForCurves().entrySet()) {
        final String curveName = entry.getKey();
        final CurveDefinition curveDefinition = curveDefinitionSource.getCurveDefinition(curveName, VersionCorrection.of(versionTime, versionTime));
        if (curveDefinition == null) {
          throw new OpenGammaRuntimeException("Could not get curve definition called " + curveName);
        }
        for (final CurveNode node : curveDefinition.getNodes()) {
          currencies.addAll(node.accept(curveNodeCurrencyVisitor));
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Related Classes of com.opengamma.financial.analytics.curve.credit.ConfigDBCurveDefinitionSource

  • com.opengamma.financial.analytics.curve.CurveDefinition
  • com.opengamma.financial.analytics.curve.CurveDefinitionFunction
  • com.opengamma.financial.analytics.curve.CurveUtils
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