Package com.opengamma.financial.analytics.ircurve

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

87
88
89
90
91
92
93
94
95
96
97
98
99
    final String resolutionKey = parseString(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY));
    final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY));
    final boolean includeStart = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY));
    final LocalDate endDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY));
    final boolean includeEnd = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY));
    final InterpolatedYieldCurveSpecificationWithSecurities yieldCurve = (InterpolatedYieldCurveSpecificationWithSecurities) inputs.getAllValues().iterator().next().getValue();
    final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
    for (final FixedIncomeStripWithSecurity strip : yieldCurve.getStrips()) {
      final Security security = strip.getSecurity();
      if (security instanceof FinancialSecurity) {
        final FinancialSecurity financialSecurity = (FinancialSecurity) security;
        final Set<ExternalIdBundle> idBundles = financialSecurity.accept(provider);
        for (final ExternalIdBundle id : idBundles) {
View Full Code Here
82
83
84
85
86
87
88
89
90
91
92
93
94
    final String resolutionKey = parseString(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY));
    final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY));
    final boolean includeStart = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY));
    final LocalDate endDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY));
    final boolean includeEnd = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY));
    final InterpolatedYieldCurveSpecificationWithSecurities yieldCurve = (InterpolatedYieldCurveSpecificationWithSecurities) inputs.getAllValues().iterator().next().getValue();
    final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
    for (final FixedIncomeStripWithSecurity strip : yieldCurve.getStrips()) {
      final ExternalIdBundle id = ExternalIdBundle.of(strip.getSecurityIdentifier());
      final HistoricalTimeSeries timeSeries = timeSeriesSource.getHistoricalTimeSeries(dataField, id, resolutionKey, startDate, includeStart, endDate, includeEnd);
      if (timeSeries != null) {
        if (timeSeries.getTimeSeries().isEmpty()) {
          s_logger.warn("Time series for {} is empty", id);
View Full Code Here
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(tsStart, returnSeriesEnd, true, false), WEEKEND_CALENDAR);

    final ComputedValue bundleValue = inputs.getComputedValue(ValueRequirementNames.YIELD_CURVE_HISTORICAL_TIME_SERIES);
    final HistoricalTimeSeriesBundle bundle = (HistoricalTimeSeriesBundle) bundleValue.getValue();
    final boolean includeStart = HistoricalTimeSeriesFunctionUtils.parseBoolean(bundleValue.getSpecification().getProperty(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY));
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    final FXForwardCurveDefinition fxForwardCurveDefinition = (FXForwardCurveDefinition) inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_DEFINITION);

    Tenor[] tenors;
    boolean[] sensitivityToRate;
    if (curveSpec != null) {
      final Set<FixedIncomeStripWithSecurity> strips = curveSpec.getStrips();
      final int n = strips.size();
      tenors = new Tenor[n];
      sensitivityToRate = new boolean[n];
      int i = 0;
      for (final FixedIncomeStripWithSecurity strip : strips) {
View Full Code Here
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
    final Object specObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    if (specObject == null) {
      throw new OpenGammaRuntimeException("Could not get yield curve specification for " + curveName + " and target " + target.getName());
    }
    final SnapshotDataBundle marketData = (SnapshotDataBundle) dataObject;
    final InterpolatedYieldCurveSpecificationWithSecurities yieldCurveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) specObject;

    final int nNodes = yieldCurveSpec.getStrips().size();
    final double[] marketDataForCurve = new double[nNodes];
    final ISDAInstrumentTypes[] instruments = new ISDAInstrumentTypes[nNodes];
    final Period[] tenors = new Period[nNodes];
    int k = 0;

    DayCount cashDCC = null;
    DayCount fixDCC = null;
    BusinessDayConvention floatBadDayConv = null;
    Period paymentTenor = null;

    for (final FixedIncomeStripWithSecurity strip : yieldCurveSpec.getStrips()) {
      final String securityType = strip.getSecurity().getSecurityType();
      if (!(securityType.equals(CashSecurity.SECURITY_TYPE) || securityType.equals(SwapSecurity.SECURITY_TYPE) || securityType.equals(specObject))) {
        throw new OpenGammaRuntimeException("ISDA curves should only use Libor and swap rates");
      }
      final Double marketValue = marketData.getDataPoint(strip.getSecurityIdentifier());
View Full Code Here
137
138
139
140
141
142
143
144
145
146
147
    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 YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), curves);
    final YieldCurveWithBlackCubeBundle fixedData = fixedCurves == null ? null : new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), fixedCurves);
    final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    if (jacobianObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
View Full Code Here
63
64
65
66
67
68
69
70
71
72
73
    final YieldCurveWithBlackCubeBundle fixedData = null; //TODO deal with fixed curves
    final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get curve specification for " + curveName);
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    if (jacobianObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    }
    final double[][] array = FunctionUtils.decodeJacobian(jacobianObject);
View Full Code Here
TOP

Related Classes of com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationWithSecurities

  • com.opengamma.financial.analytics.model.bondfutureoption.BondFutureOptionBlackYCNSFunction
  • com.opengamma.financial.analytics.model.credit.isdanew.ISDACompliantYieldCurveFunction
  • com.opengamma.financial.analytics.model.credit.ISDAYieldCurveFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.ImpliedDepositCurveSeriesFunction$MyCompiledFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MarketInstrumentImpliedYieldCurveFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodSeriesFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePresentValueMethodFunction
  • com.opengamma.financial.analytics.model.equity.futures.EquityDividendYieldFuturesYCNSFunction
    • 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.