Package com.opengamma.financial.analytics.ircurve.calcconfig

Examples of com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig

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    } else {
      return null;
    }
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig resultCurveCalculationConfig = curveCalculationConfigSource.getConfig(resultCurveConfigName);
    if (resultCurveCalculationConfig == null) {
      s_logger.error("Could not find curve calculation configuration named " + resultCurveConfigName + " for currency " + resultCurrency);
      return null;
    }
    requirements.add(getCurveSensitivitiesRequirement(putCurveName, putCurveCalculationConfigName, callCurveName, callCurveCalculationConfigName, surfaceName,
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    final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames(); //TODO
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
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      return null;
    }
    final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
      return null;
    }
    final Currency currency = FinancialSecurityUtils.getCurrency(target.getSecurity());
    if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
      s_logger.error("Security currency and curve calculation config id were not equal; have {} and {}", currency, curveCalculationConfig.getTarget());
    }
    final Set<String> surfaceNames = desiredValue.getConstraints().getValues(ValuePropertyNames.SURFACE);
    if (surfaceNames == null || surfaceNames.size() != 1) {
      return null;
    }
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    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final int numCurveNames = curveNames.length;
    final String[] fullCurveNames = new String[numCurveNames];
    for (int i = 0; i < numCurveNames; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
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      return null;
    }
    final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.debug("Could not find curve calculation configuration named {}", curveCalculationConfigName);
      return null;
    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
      s_logger.info("Security currency and curve calculation config id were not equal; have {} and {}", currency, curveCalculationConfig.getTarget());
      return null;
    }
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
    try {
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    final Set<ValueRequirement> requirements = new HashSet<>();
    if (curveConfig.getExogenousConfigData() != null) {
      final LinkedHashMap<String, String[]> exogenousCurves = curveConfig.getExogenousConfigData();
      for (final Map.Entry<String, String[]> entry : exogenousCurves.entrySet()) {
        final String exogenousConfigName = entry.getKey();
        final MultiCurveCalculationConfig exogenousConfig = configSource.getConfig(exogenousConfigName);
        final ComputationTargetSpecification target = exogenousConfig.getTarget();
        final String curveCalculationMethod = exogenousConfig.getCalculationMethod();
        for (final String exogenousCurveName : entry.getValue()) {
          requirements.add(getCurveRequirement(target, exogenousCurveName, exogenousConfigName, curveCalculationMethod));
        }
        requirements.addAll(getCurveRequirements(exogenousConfig, configSource));
      }
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    final YieldCurveBundle curves = new YieldCurveBundle();
    if (curveConfig.getExogenousConfigData() != null) {
      final LinkedHashMap<String, String[]> exogenousCurves = curveConfig.getExogenousConfigData();
      for (final Map.Entry<String, String[]> entry : exogenousCurves.entrySet()) {
        final String exogenousConfigName = entry.getKey();
        final MultiCurveCalculationConfig exogenousConfig = configSource.getConfig(exogenousConfigName);
        final ComputationTargetSpecification target = exogenousConfig.getTarget();
        final String exogenousCalculationMethod = exogenousConfig.getCalculationMethod();
        for (final String curveName : entry.getValue()) {
          final ValueRequirement curveRequirement = getCurveRequirement(target, curveName, exogenousConfigName, exogenousCalculationMethod);
          final Object curveObject = inputs.getValue(curveRequirement);
          if (curveObject == null) {
            throw new OpenGammaRuntimeException("Could not get curve called " + curveName);
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      final Set<String> curveCalculationMethods = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_METHOD);
      final String curveCalculationMethod;
      if (curveCalculationMethods == null) {
        final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
        final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
        final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
        curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
      } else {
        curveCalculationMethod = Iterables.getOnlyElement(curveCalculationMethods);
      }
      final Set<String> calculationMethods = constraints.getValues(ValuePropertyNames.CALCULATION_METHOD);
      final ValueRequirement ycnsRequirement = getYCNSRequirement(payCurveName, payCurveCalculationConfigName, receiveCurveName, receiveCurveCalculationConfigName,
          curveCurrency.getCode(), curveName, curveCalculationMethods, calculationMethods, security);
      final ValueProperties returnSeriesBaseConstraints = desiredValue.getConstraints().copy()
          .withoutAny(ValuePropertyNames.RECEIVE_CURVE)
          .withoutAny(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG)
          .withoutAny(ValuePropertyNames.PAY_CURVE)
          .withoutAny(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG)
          .withoutAny(ValuePropertyNames.CURVE_CURRENCY)
          .withoutAny(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS)
          .withoutAny(ValuePropertyNames.CURVE_CALCULATION_METHOD)
          .withoutAny(ValuePropertyNames.CALCULATION_METHOD).get();
      final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
      final String resultCurrency;
      final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
      final Currency tradeBaseCurrency = baseQuotePair.getBase();
      final Currency tradeNonBaseCurrency = baseQuotePair.getCounter();
      final Set<ValueRequirement> requirements = new HashSet<>();
      if (resultCurrencies != null && resultCurrencies.size() == 1) {
        final Currency ccy = Currency.of(Iterables.getOnlyElement(resultCurrencies));
        if (!(ccy.equals(payCurrency) || ccy.equals(receiveCurrency))) {
          requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(tradeBaseCurrency, ccy)));
          resultCurrency = ccy.getCode();
        } else if (ccy.equals(tradeNonBaseCurrency)) {
          requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(tradeNonBaseCurrency, tradeBaseCurrency)));
          resultCurrency = tradeNonBaseCurrency.getCode();
        } else {
          requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(tradeNonBaseCurrency, tradeBaseCurrency)));
          resultCurrency = tradeBaseCurrency.getCode();
        }
      } else {
        resultCurrency = tradeBaseCurrency.getCode();
      }
      final ValueRequirement returnSeriesRequirement;
      if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
        final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
        final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
        final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
        final LinkedHashMap<String, String[]> exogenousConfigData = curveCalculationConfig.getExogenousConfigData();
        if (exogenousConfigData != null) {
          final String underlyingCurveConfigName = Iterables.getOnlyElement(exogenousConfigData.entrySet()).getKey();
          final MultiCurveCalculationConfig underlyingCurveConfig = curveCalculationConfigSource.getConfig(underlyingCurveConfigName);
          final Currency baseCurrency = Currency.of(underlyingCurveConfig.getTarget().getUniqueId().getValue());
          returnSeriesRequirement = getReturnSeriesRequirement(curveName, baseCurrency, curveCurrency, curveCalculationConfigName,
              returnSeriesBaseConstraints, resultCurrency);
        } else {
          returnSeriesRequirement = getReturnSeriesRequirement(curveName, curveCurrency, curveCalculationConfigName, returnSeriesBaseConstraints,
              resultCurrency);
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  }

  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final ConfigSource configurationSource = OpenGammaCompilationContext.getConfigSource(context);
    final MultiCurveCalculationConfig impliedConfiguration = configurationSource.getLatestByName(MultiCurveCalculationConfig.class, _impliedCurveCalculationConfig);
    if (impliedConfiguration == null) {
      throw new OpenGammaRuntimeException("Multi-curve calculation called " + _impliedCurveCalculationConfig + " was null");
    }
    ComputationTarget target = context.getComputationTargetResolver().resolve(impliedConfiguration.getTarget());
    if (!(target.getValue() instanceof Currency)) {
      throw new OpenGammaRuntimeException("Target of curve calculation configuration was not a currency");
    }
    final Currency impliedCurrency = (Currency) target.getValue();
    if (!IMPLIED_DEPOSIT.equals(impliedConfiguration.getCalculationMethod())) {
      throw new OpenGammaRuntimeException("Curve calculation method was not " + IMPLIED_DEPOSIT + " for configuration called " + _impliedCurveCalculationConfig);
    }
    final String[] impliedCurveNames = impliedConfiguration.getYieldCurveNames();
    if (impliedCurveNames.length != 1) {
      throw new OpenGammaRuntimeException("Can only handle configurations with a single implied curve");
    }
    final LinkedHashMap<String, String[]> originalConfigurationName = impliedConfiguration.getExogenousConfigData();
    if (originalConfigurationName == null || originalConfigurationName.size() != 1) {
      throw new OpenGammaRuntimeException("Need a configuration with one exogenous configuration");
    }
    final Map.Entry<String, String[]> entry = Iterables.getOnlyElement(originalConfigurationName.entrySet());
    final String[] originalCurveNames = entry.getValue();
    if (originalCurveNames.length != 1) {
      s_logger.warn("Found more than one exogenous configuration name; using only the first");
    }
    final MultiCurveCalculationConfig originalConfiguration = configurationSource.getLatestByName(MultiCurveCalculationConfig.class, entry.getKey());
    if (originalConfiguration == null) {
      throw new OpenGammaRuntimeException("Multi-curve calculation called " + entry.getKey() + " was null");
    }
    target = context.getComputationTargetResolver().resolve(originalConfiguration.getTarget());
    if (!(target.getValue() instanceof Currency)) {
      throw new OpenGammaRuntimeException("Target of curve calculation configuration was not a currency");
    }
    final Currency originalCurrency = (Currency) target.getValue();
    if (!originalCurrency.equals(impliedCurrency)) {
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    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    // Append _CCY to be consistent with curve names from YieldCurveFunctionUtils.getAllYieldCurves
    final String[] fullCurveNames = new String[Math.max(2, curveNames.length)];
    for (int i = 0; i < curveNames.length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
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