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

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

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    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final String surfaceNameWithPrefix = surfaceName + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target); // Done to enable standard and midcurve options to share the same default name
    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[Math.max(2, curveNames.length)];
    for (int i = 0; i < curveNames.length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    if (curveNames.length == 1) { // MultiCurveCalculationConfig contains just a single curve for discounting and forwarding
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    }
    final String surfaceName = surfaceNames.iterator().next() + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target);
    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.getTrade().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(surfaceName, currency));
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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 String[] curveNames = curveCalculationConfig.getYieldCurveNames(); //TODO
    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.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 cubeName = cubeNames.iterator().next();
    final String fittingMethod = fittingMethods.iterator().next();
    final Set<ValueRequirement> requirements = new HashSet<>();
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    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.add(HistoricalTimeSeriesFunctionUtils.createYCHTSRequirement(currency, curveName, MarketDataRequirementNames.MARKET_VALUE, null, start, includeStart, end, includeEnd));

    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 get curve calculation config called " + curveCalculationConfigName);
      return null;
    }
    if (FXImpliedYieldCurveFunction.FX_IMPLIED.equals(curveCalculationConfig.getCalculationMethod())) {
      final Currency impliedCcy = ComputationTargetType.CURRENCY.resolve(curveCalculationConfig.getTarget().getUniqueId());
      final String baseCalculationConfigName = Iterables.getOnlyElement(curveCalculationConfig.getExogenousConfigData().entrySet()).getKey();
      final MultiCurveCalculationConfig baseCurveCalculationConfig = curveCalculationConfigSource.getConfig(baseCalculationConfigName);
      final Currency baseCcy = ComputationTargetType.CURRENCY.resolve(baseCurveCalculationConfig.getTarget().getUniqueId());
      requirements.add(getFXForwardCurveDefinitionRequirement(UnorderedCurrencyPair.of(impliedCcy, baseCcy), curveName));
    } else {
      requirements.add(getCurveSpecRequirement(currency, curveName));
    }
    return requirements;
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    final Trade trade = target.getTrade();
    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 YieldCurveBundle curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final Currency currency = FinancialSecurityUtils.getCurrency(trade.getSecurity());
    final String conventionName = currency.getCode() + "_IR_FUTURE";
    final ConventionBundle convention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
    if (convention == null) {
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  private Set<ValueRequirement> getCurveRequirement(final Trade trade, final String curveCalculationConfigName, final FunctionCompilationContext context) {
    final Set<ValueRequirement> requirements = new HashSet<>();
    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(trade.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;
    }
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
    return requirements;
  }
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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 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 = YieldCurveFunctionUtils.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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