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

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

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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.error("Security currency and curve calculation config id were not equal; have {} and {}", currency, curveCalculationConfig.getTarget());
      return null;
    }
    final String[] availableCurveNames = curveCalculationConfig.getYieldCurveNames();
    if ((requestedCurveNames == null) || requestedCurveNames.isEmpty()) {
      requestedCurveNames = Sets.newHashSet(availableCurveNames);
    } else {
      final Set<String> intersection = YieldCurveFunctionUtils.intersection(requestedCurveNames, availableCurveNames);
      if (intersection.isEmpty()) {
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    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    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 Currency currency = FinancialSecurityUtils.getCurrency(security);
    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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    }
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    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(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 = YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource);
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConventionBundleSource conventions = OpenGammaCompilationContext.getConventionBundleSource(context);
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    final String relativeToleranceName = desiredValue.getConstraint(PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE);
    final String iterationsName = desiredValue.getConstraint(PROPERTY_ROOT_FINDER_MAX_ITERATIONS);
    final String decompositionName = desiredValue.getConstraint(PROPERTY_DECOMPOSITION);
    final String useFiniteDifferenceName = desiredValue.getConstraint(PROPERTY_USE_FINITE_DIFFERENCE);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final MultiCurveCalculationConfig curveCalculationConfig = new ConfigDBCurveCalculationConfigSource(configSource).getConfig(curveCalculationConfigName);
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final YieldCurveBundle knownCurves = getKnownCurves(curveCalculationConfig, targetSpec, inputs);
    final List<InstrumentDerivative> derivatives = new ArrayList<>();
    final DoubleArrayList marketValues = new DoubleArrayList();
    final DoubleArrayList initialRatesGuess = new DoubleArrayList();
    final LinkedHashSet<String> curveNames = new LinkedHashSet<>();
    for (final String curveName : curveCalculationConfig.getYieldCurveNames()) {
      curveNames.add(curveName);
    }
    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();
        final String[] curveNamesForSecurity = curveCalculationConfig.getCurveExposureForInstrument(curveName, strip.getInstrumentType());
        final InstrumentDefinition<?> definition = _securityConverter.visit(security);
        final InstrumentDerivative derivative = _definitionConverter.convert(security, definition, now, curveNamesForSecurity, timeSeries);
        if (derivative != null) {
          if (strip.getInstrumentType() == StripInstrumentType.FUTURE) {
            final InterestRateFutureSecurityDefinition securityDefinition = (InterestRateFutureSecurityDefinition) definition;
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      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    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 String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency;
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final InstrumentDerivative derivative = InterestRateInstrumentFunction.getDerivative(security, now, timeSeries, fullCurveNames, definition, _definitionConverter);
    final YieldCurveBundle bundle = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final ValueProperties properties = createValueProperties(target, curveName, curveCalculationConfigName).get();
    final ValueSpecification resultSpec = new ValueSpecification(_valueRequirement, target.toSpecification(), properties);
    return getResults(derivative, fullCurveName, bundle, curveCalculationConfigName, curveCalculationMethod, inputs, target, resultSpec);
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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.getTrade().getSecurity();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    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());
      return null;
    }
    final String[] availableCurveNames = curveCalculationConfig.getYieldCurveNames();
    if ((requestedCurveNames == null) || requestedCurveNames.isEmpty()) {
      requestedCurveNames = Sets.newHashSet(availableCurveNames);
    } else {
      final Set<String> intersection = YieldCurveFunctionUtils.intersection(requestedCurveNames, availableCurveNames);
      if (intersection.isEmpty()) {
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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 " + currency);
      return null;
    }
    requirements.add(getCurveSensitivitiesRequirement(payCurveName, payCurveCalculationConfig, receiveCurveName, receiveCurveCalculationConfig, target));
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      throw new OpenGammaRuntimeException("Could not get daycount");
    }
    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 YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final SABRInterestRateDataBundle data = getModelParameters(target, inputs, currency, dayCount, curves, desiredValue);
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    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    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);
    }
    String[] curveNames = curveCalculationConfig.getYieldCurveNames(); //TODO
    if (curveNames.length == 1) {
      curveNames = new String[] {curveNames[0], curveNames[0] };
    }
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
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      return null;
    }
    final String curveCalculationConfigName = Iterables.getOnlyElement(curveCalculationConfigNames);
    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());
      return null;
    }
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
    requirements.add(getVolatilityRequirement(ComputationTargetSpecification.of(target.getSecurity())));
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