Package com.opengamma.financial.analytics.forwardcurve

Examples of com.opengamma.financial.analytics.forwardcurve.ConfigDBForwardSwapCurveSpecificationSource

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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 ConfigDBForwardSwapCurveDefinitionSource curveDefinitionSource = new ConfigDBForwardSwapCurveDefinitionSource(configSource);
    final ConfigDBForwardSwapCurveSpecificationSource curveSpecificationSource = new ConfigDBForwardSwapCurveSpecificationSource(configSource);
    return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000)) {

      @Override
      public ComputationTargetType getTargetType() {
        return ComputationTargetType.CURRENCY;
      }

      @Override
      public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
        final ValueProperties properties = createValueProperties()
            .withAny(ValuePropertyNames.CURVE)
            .withAny(PROPERTY_FORWARD_CURVE_INTERPOLATOR)
            .withAny(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR)
            .withAny(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR)
            .withAny(ForwardSwapCurveMarketDataFunction.PROPERTY_FORWARD_TENOR)
            .with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, ForwardSwapCurveMarketDataFunction.FORWARD_SWAP_QUOTES).get();
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.FORWARD_CURVE, target.toSpecification(), properties);
        return Collections.singleton(spec);
      }

      @Override
      public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
        final ValueProperties constraints = desiredValue.getConstraints();
        final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE);
        if (curveNames == null || curveNames.size() != 1) {
          s_logger.error("Did not supply a single curve name; asked for {}", curveNames);
          return null;
        }
        final Set<String> forwardTenors = constraints.getValues(ForwardSwapCurveMarketDataFunction.PROPERTY_FORWARD_TENOR);
        if (forwardTenors == null || forwardTenors.size() != 1) {
          s_logger.error("Did not supply a single forward tenor; asked for {}", forwardTenors);
          return null;
        }
        final Set<String> forwardCurveInterpolatorNames = constraints.getValues(PROPERTY_FORWARD_CURVE_INTERPOLATOR);
        if (forwardCurveInterpolatorNames == null || forwardCurveInterpolatorNames.size() != 1) {
          return null;
        }
        final Set<String> forwardCurveLeftExtrapolatorNames = constraints.getValues(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR);
        if (forwardCurveLeftExtrapolatorNames == null || forwardCurveLeftExtrapolatorNames.size() != 1) {
          return null;
        }
        final Set<String> forwardCurveRightExtrapolatorNames = constraints.getValues(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR);
        if (forwardCurveRightExtrapolatorNames == null || forwardCurveRightExtrapolatorNames.size() != 1) {
          return null;
        }
        final String curveName = curveNames.iterator().next();
        final String forwardTenor = forwardTenors.iterator().next();
        final ValueProperties properties = ValueProperties.builder()
            .with(ValuePropertyNames.CURVE, curveName)
            .with(ForwardSwapCurveMarketDataFunction.PROPERTY_FORWARD_TENOR, forwardTenor).get();
        return Collections.singleton(new ValueRequirement(ValueRequirementNames.FORWARD_SWAP_CURVE_MARKET_DATA, target.toSpecification(), properties));
      }

      @Override
      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
        final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
        final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
        final Clock snapshotClock = executionContext.getValuationClock();
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final DoubleArrayList expiries = new DoubleArrayList();
        final DoubleArrayList forwards = new DoubleArrayList();
        final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
        final ForwardSwapCurveDefinition definition = curveDefinitionSource.getDefinition(curveName, currency.toString());
        if (definition == null) {
          throw new OpenGammaRuntimeException("Couldn't find a forward swap curve definition called " + curveName + " for target " + target);
        }
        final ForwardSwapCurveSpecification specification = curveSpecificationSource.getSpecification(curveName, currency.toString());
        if (specification == null) {
          throw new OpenGammaRuntimeException("Couldn't find a forward swap curve specification called " + curveName + " for target " + target);
        }
        final ForwardSwapCurveInstrumentProvider provider = (ForwardSwapCurveInstrumentProvider) specification.getCurveInstrumentProvider();
        final Object dataObject = inputs.getValue(ValueRequirementNames.FORWARD_SWAP_CURVE_MARKET_DATA);
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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 ConfigDBForwardSwapCurveDefinitionSource curveDefinitionSource = new ConfigDBForwardSwapCurveDefinitionSource(configSource);
    final ConfigDBForwardSwapCurveSpecificationSource curveSpecificationSource = new ConfigDBForwardSwapCurveSpecificationSource(configSource);
    return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000)) {

      @Override
      public ComputationTargetType getTargetType() {
        return ComputationTargetType.CURRENCY;
      }

      @Override
      public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
        final ValueProperties properties = createValueProperties()
            .withAny(ValuePropertyNames.CURVE)
            .withAny(PROPERTY_FORWARD_TENOR).get();
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.FORWARD_SWAP_CURVE_MARKET_DATA, target.toSpecification(), properties);
        return Collections.singleton(spec);
      }

      @Override
      public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
        final ValueProperties constraints = desiredValue.getConstraints();
        final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE);
        if (curveNames == null || curveNames.size() != 1) {
          return null;
        }
        final Set<String> forwardTenorNames = constraints.getValues(PROPERTY_FORWARD_TENOR);
        if (forwardTenorNames == null || forwardTenorNames.size() != 1) {
          return null;
        }
        final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
        final String curveName = curveNames.iterator().next();
        final String forwardTenorName = forwardTenorNames.iterator().next();
        final ForwardSwapCurveDefinition definition = curveDefinitionSource.getDefinition(curveName, currency.toString());
        if (definition == null) {
          throw new OpenGammaRuntimeException("Couldn't find a forward swap curve definition called " + curveName + " with target " + target);
        }
        final ForwardSwapCurveSpecification specification = curveSpecificationSource.getSpecification(curveName, currency.toString());
        if (specification == null) {
          throw new OpenGammaRuntimeException("Couldn't find a forward swap curve specification called " + curveName + " with target " + target);
        }
        final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
        final ForwardSwapCurveInstrumentProvider provider = (ForwardSwapCurveInstrumentProvider) specification.getCurveInstrumentProvider();
        final Tenor forwardTenor = Tenor.of(Period.parse(forwardTenorName));
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(atZDT.toLocalDate(), tenor, forwardTenor);
          requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier));
        }
        requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument(forwardTenor)));
        return requirements;
      }

      @Override
      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
        final Clock snapshotClock = executionContext.getValuationClock();
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
        final String forwardTenorName = desiredValue.getConstraint(PROPERTY_FORWARD_TENOR);
        final Currency currencyPair = target.getValue(PrimitiveComputationTargetType.CURRENCY);
        final ForwardSwapCurveDefinition definition = curveDefinitionSource.getDefinition(curveName, currencyPair.toString());
        if (definition == null) {
          throw new OpenGammaRuntimeException("Couldn't find a forward swap curve definition called " + curveName + " for target " + target);
        }
        final ForwardSwapCurveSpecification specification = curveSpecificationSource.getSpecification(curveName, currencyPair.toString());
        if (specification == null) {
          throw new OpenGammaRuntimeException("Couldn't find FX forward curve specification called " + curveName + " for target " + target);
        }
        final ForwardSwapCurveInstrumentProvider provider = (ForwardSwapCurveInstrumentProvider) specification.getCurveInstrumentProvider();
        final Tenor forwardTenor = Tenor.of(Period.parse(forwardTenorName));
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Related Classes of com.opengamma.financial.analytics.forwardcurve.ConfigDBForwardSwapCurveSpecificationSource

  • com.opengamma.financial.analytics.model.curve.forward.ForwardSwapCurveFromMarketQuotesFunction
  • com.opengamma.financial.analytics.model.curve.forward.ForwardSwapCurveMarketDataFunction
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