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

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

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    final InstrumentDefinition<InstrumentDerivative> irFutureOptionDefinition = (InstrumentDefinition<InstrumentDerivative>) _converter.convert(target.getTrade());
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    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 YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final InstrumentDerivative irFutureOption = _dataConverter.convert(target.getTrade().getSecurity(), irFutureOptionDefinition, now, curveNames, timeSeries);
    final double price = irFutureOption.accept(new MyDerivativeVisitor(target, inputs, curves));
    final ValueSpecification valueSpecification = new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), createValueProperties()
        .with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).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.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
      return null;
    }
    final ComputationTargetSpecification curveCalculationTarget = curveCalculationConfig.getTarget();
    if (!ComputationTargetSpecification.of(currency).equals(curveCalculationTarget)) {
      return null;
    }
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
    requirements.add(getSurfaceRequirement(target, surfaceName));
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      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    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();
    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++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      throw new UnsupportedOperationException("Cannot handle FX implied curves");
    }
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames); //TODO
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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());
      return null;
    }
    final String[] configCurveNames = curveCalculationConfig.getYieldCurveNames();
    if (Arrays.binarySearch(configCurveNames, curveName) < 0) {
      s_logger.error("Curve named {} is not available in curve calculation configuration called {}", curveName, curveCalculationConfigName);
      return null;
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
    if (!curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      requirements.add(getCurveSpecRequirement(currency, curveName));
    }
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    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final Trade trade = target.getTrade();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final MultiCurveCalculationConfig curveCalculationConfig = _curveConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String currency = FinancialSecurityUtils.getCurrency(trade.getSecurity()).getCode();
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final String[] yieldCurveNames = curveNames.length == 1 ? new String[] {curveNames[0], curveNames[0] } : curveNames;
    final String[] fullYieldCurveNames = new String[yieldCurveNames.length];
    for (int i = 0; i < yieldCurveNames.length; i++) {
      fullYieldCurveNames[i] = yieldCurveNames[i] + "_" + currency;
    }
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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 Trade trade = target.getTrade();
    final Security security = trade.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());
    }
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
    final Set<ValueRequirement> timeSeriesRequirements = _dataConverter.getConversionTimeSeriesRequirements(security, _converter.convert(trade));
    if (timeSeriesRequirements == null) {
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    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(context);
    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 curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get curve specification");
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
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      return null;
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    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 String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
    requirements.add(getCurveSpecRequirement(currency, curveName));
    requirements.add(getJacobianRequirement(currency, curveCalculationConfigName, curveCalculationMethod));
    if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
      requirements.add(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
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    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    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 = 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());
      return null;
    }
    final String surfaceName = surfaceNames.iterator().next();
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
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