Package com.opengamma.financial.analytics.ircurve

Examples of com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationWithSecurities

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        assert false;
      }
    }
    assert forwardCurveName != null;
    assert fundingCurveName != null;
    InterpolatedYieldCurveSpecificationWithSecurities fundingCurveSpecificationWithSecurities = null;
    InterpolatedYieldCurveSpecificationWithSecurities forwardCurveSpecificationWithSecurities = null;
    SnapshotDataBundle fundingMarketData = null;
    SnapshotDataBundle forwardMarketData = null;
    HistoricalTimeSeriesBundle fundingTimeSeries = null;
    HistoricalTimeSeriesBundle forwardTimeSeries = null;
    for (final ComputedValue input : inputs.getAllValues()) {
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            continue;
          }
        }
        final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
        final Set<LocalDate> dates = originalCurveSeries.keySet();
        final InterpolatedYieldCurveSpecificationWithSecurities yieldCurveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) inputs.getValue(YIELD_CURVE_SPEC);
        for (final FixedIncomeStripWithSecurity strip : yieldCurveSpec.getStrips()) {
          try {
            final ExternalId securityIdentifier = strip.getSecurityIdentifier();
            final UniqueId uid = UniqueId.of(securityIdentifier.getScheme().getName(), securityIdentifier.getValue());
            final ExternalIdBundle id = ExternalIdBundle.of(securityIdentifier);
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    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig resultCurveCalculationConfig = curveCalculationConfigSource.getConfig(resultCurveConfigName);
    final String calculationMethod = resultCurveCalculationConfig.getCalculationMethod();
    final String fullCurveName = curveName + "_" + curveCurrency;
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final MultipleCurrencyInterestRateCurveSensitivity curveSensitivities = (MultipleCurrencyInterestRateCurveSensitivity) curveSensitivitiesObject;
    final Map<String, List<DoublesPair>> sensitivitiesForCurrency = curveSensitivities.getSensitivity(Currency.of(curveCurrency)).getSensitivities();
    final YieldCurveBundle dataForCurrency = new YieldCurveBundle();
    dataForCurrency.setCurve(fullCurveName, data.getCurve(fullCurveName));
    return getResult(inputs, calculationMethod, fullCurveName, dataForCurrency, curveSpec, sensitivitiesForCurrency, spec);
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    curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
    }
    final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final LinkedHashMap<String, YieldAndDiscountCurve> interpolatedCurves = new LinkedHashMap<String, YieldAndDiscountCurve>();
    interpolatedCurves.put(curveName, curve);
    final YieldCurveBundle bundle = new YieldCurveBundle(interpolatedCurves);
    final DoubleMatrix1D sensitivitiesForCurves = getSensitivities(executionContext.getSecuritySource(), inputs, security, curveSpec, curve);
    final ValueProperties.Builder properties = createValueProperties(target)
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    final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final Map<String, Integer> nodesPerCurve = new HashMap<>();
    final HistoricalTimeSeriesBundle timeSeries = getTimeSeriesBundle(inputs, targetSpec, curveCalculationConfigName);
    for (final String curveName : curveNames) {
      final InterpolatedYieldCurveSpecificationWithSecurities spec = getYieldCurveSpecification(inputs, targetSpec, curveName);
      if (spec == null) {
        continue;
      }
      int nInstruments = 0;
      final Interpolator1D interpolator = spec.getInterpolator();
      final SnapshotDataBundle marketData = getMarketData(inputs, targetSpec, curveName);
      final DoubleArrayList nodeTimes = new DoubleArrayList();
      FixedIncomeStripWithSecurity previousStrip = null;
      for (final FixedIncomeStripWithSecurity strip : spec.getStrips()) {
        final Double marketValue = marketData.getDataPoint(strip.getSecurityIdentifier());
        if (marketValue == null) {
          throw new OpenGammaRuntimeException("Could not get market data for " + strip);
        }
        final Security security = strip.getSecurity();
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    // Build up InstrumentLabelledSensitivities for the Curve
    final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Curve specification was null");
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;

    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(),
        createValueProperties(target, desiredValue).get());

    // 4. Compute sensitivity to the discount rate, then use chain rule to distribute sensitivity across the curve
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    // Build up InstrumentLabelledSensitivities for the Curve
    final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Curve specification was null");
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;

    return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fundingCurveName, curveBundle, sensVector, curveSpec, resultSpec);
  }
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    final LinkedHashMap<String, double[]> curveNodes = new LinkedHashMap<>();
    final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
    final Map<String, Integer> nodesPerCurve = new HashMap<>();
    final HistoricalTimeSeriesBundle timeSeries = getTimeSeriesBundle(inputs, targetSpec, curveCalculationConfigName);
    for (final String curveName : curveNames) {
      final InterpolatedYieldCurveSpecificationWithSecurities spec = getYieldCurveSpecification(inputs, targetSpec, curveName);
      if (spec == null) {
        continue;
      }
      int nInstruments = 0;
      final Interpolator1D interpolator = spec.getInterpolator();
      final SnapshotDataBundle marketData = getMarketData(inputs, targetSpec, curveName);
      final DoubleArrayList nodeTimes = new DoubleArrayList();
      FixedIncomeStripWithSecurity previousStrip = null;
      for (final FixedIncomeStripWithSecurity strip : spec.getStrips()) {
        final Double marketValue = marketData.getDataPoint(strip.getSecurityIdentifier());
        if (marketValue == null) {
          throw new OpenGammaRuntimeException("Could not get market data for " + strip.getSecurityIdentifier());
        }
        final Security security = strip.getSecurity();
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    // Build up InstrumentLabelledSensitivities for the Curve
    final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Curve specification was null");
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final ValueProperties resultProperties = properties.copy()
        .withoutAny(ValuePropertyNames.CURVE)
        .with(ValuePropertyNames.CURVE, fundingCurveName)
        .get();
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties);
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    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, curveName);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
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