Package com.opengamma.financial.analytics.forwardcurve

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

37
38
39
40
41
42
43
  @Override
  public ForwardSwapCurveSpecification buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
    final Currency target = deserializer.fieldValueToObject(Currency.class, message.getByName(TARGET_FIELD));
    final String name = message.getString(NAME_FIELD);
    final ForwardSwapCurveInstrumentProvider provider = deserializer.fieldValueToObject(ForwardSwapCurveInstrumentProvider.class, message.getByName(INSTRUMENT_PROVIDER_FIELD));
    return new ForwardSwapCurveSpecification(name, target, provider);
  }
View Full Code Here
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
        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);
        if (dataObject == null) {
          throw new OpenGammaRuntimeException("Could not get market data");
        }
        @SuppressWarnings("unchecked")
View Full Code Here
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
        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));
        final ValueRequirement spotRequirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument(forwardTenor));
        if (inputs.getValue(spotRequirement) == null) {
          throw new OpenGammaRuntimeException("Could not get value for spot; requirement was " + spotRequirement);
        }
View Full Code Here
TOP

Related Classes of com.opengamma.financial.analytics.forwardcurve.ForwardSwapCurveSpecification

  • com.opengamma.financial.analytics.model.curve.forward.ForwardSwapCurveFromMarketQuotesFunction
  • com.opengamma.financial.analytics.model.curve.forward.ForwardSwapCurveMarketDataFunction
  • com.opengamma.financial.fudgemsg.ForwardSwapCurveSpecificationBuilder
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.