Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle$Entry

Package com.opengamma.financial.analytics.timeseries

Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle$Entry

com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle
A collection of historical time-series objects. The time-series are keyed by the originally requested data field name and the external ids associated with them. The original field is not generally necessary but is to allow override operations to identify the nature of the data points in the time series they are being applied to. The time-series are maintained in the order in which they were added, for example tenor order, and are iterable in this order.

    final Period samplingPeriod = getSamplingPeriod(constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD));
    final LocalDate startDate = now.minus(samplingPeriod);
    final Schedule scheduleCalculator = getScheduleCalculator(constraints.getValues(ValuePropertyNames.SCHEDULE_CALCULATOR));
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(constraints.getValues(ValuePropertyNames.SAMPLING_FUNCTION));
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    DoubleTimeSeries<?> result = getPnLSeries(security, secSource, timeSeries, inputs, startDate, now, schedule, samplingFunction);
    result = result.multiply(position.getQuantity().doubleValue());
    final ValueProperties resultProperties = getResultProperties(desiredValue, currencyString);
    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, positionSpec, resultProperties);
    return Sets.newHashSet(new ComputedValue(resultSpec, result));

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    assert fundingCurveName != null;
    InterpolatedYieldCurveSpecificationWithSecurities fundingCurveSpecificationWithSecurities = null;
    InterpolatedYieldCurveSpecificationWithSecurities forwardCurveSpecificationWithSecurities = null;
    SnapshotDataBundle fundingMarketData = null;
    SnapshotDataBundle forwardMarketData = null;
    HistoricalTimeSeriesBundle fundingTimeSeries = null;
    HistoricalTimeSeriesBundle forwardTimeSeries = null;
    for (final ComputedValue input : inputs.getAllValues()) {
      final String curveName = input.getSpecification().getProperty(ValuePropertyNames.CURVE);
      if (ValueRequirementNames.YIELD_CURVE_SPEC.equals(input.getSpecification().getValueName())) {
        if (curveName.equals(fundingCurveName)) {
          assert fundingCurveSpecificationWithSecurities == null;

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      final Set<ValueRequirement> desiredValues) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    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);

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  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) {
    final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
    DoubleTimeSeries<?> assetPnL = null;
    double assetFairValue = 0;
    final HistoricalTimeSeriesBundle timeSeries = new HistoricalTimeSeriesBundle();
    for (ComputedValue input : inputs.getAllValues()) {
      if (ValueRequirementNames.PNL_SERIES.equals(input.getSpecification().getValueName())) {
        assetPnL = (DoubleTimeSeries<?>) inputs.getValue(ValueRequirementNames.PNL_SERIES); //TODO replace with return series when portfolio weights are in
      } else if (ValueRequirementNames.FAIR_VALUE.equals(input.getSpecification().getValueName())) {
        assetFairValue = (Double) inputs.getValue(ValueRequirementNames.FAIR_VALUE);
      } else if (ValueRequirementNames.HISTORICAL_TIME_SERIES.equals(input.getSpecification().getValueName())) {
        final HistoricalTimeSeries ts = (HistoricalTimeSeries) input.getValue();
        timeSeries.add(input.getSpecification().getProperty(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY), timeSeriesSource.getExternalIdBundle(ts.getUniqueId()), ts);
      }
    }
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM")); //TODO 
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeries marketTimeSeries = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMMarket());
    final HistoricalTimeSeries riskFreeTimeSeries = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMRiskFreeRate());
    final TimeSeriesReturnCalculator returnCalculator = getReturnCalculator(constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR));
    DoubleTimeSeries<?> marketReturn = returnCalculator.evaluate(marketTimeSeries.getTimeSeries());
    final DoubleTimeSeries<?> riskFreeTS = riskFreeTimeSeries.getTimeSeries().divide(100 * DAYS_IN_YEAR);
    marketReturn = marketReturn.subtract(riskFreeTS);
    DoubleTimeSeries<?> assetReturn = assetPnL.divide(assetFairValue);

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    protected Pair<InflationProviderInterface, CurveBuildingBlockBundle> getCurves(final FunctionInputs inputs, final ZonedDateTime now, final InflationDiscountBuildingRepository builder,
        final InflationProviderInterface knownData, final ConventionSource conventionSource, final HolidaySource holidaySource, final RegionSource regionSource) {
      final ValueProperties curveConstructionProperties = ValueProperties.builder()
          .with(CURVE_CONSTRUCTION_CONFIG, _curveConstructionConfiguration.getName())
          .get();
      final HistoricalTimeSeriesBundle timeSeries =
          (HistoricalTimeSeriesBundle) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES,
              ComputationTargetSpecification.NULL, curveConstructionProperties));
      final int nGroups = _curveConstructionConfiguration.getCurveGroups().size();
      final MultiCurveBundle<GeneratorPriceIndexCurve>[] curveBundles = new MultiCurveBundle[nGroups];
      final LinkedHashMap<String, IndexPrice[]> inflationMap = new LinkedHashMap<>();

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          } catch (Throwable t2) {
            t2.printStackTrace();
            continue;
          }
        }
        final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
        final Set<LocalDate> dates = originalCurveSeries.keySet();
        final InterpolatedYieldCurveSpecificationWithSecurities yieldCurveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) inputs.getValue(YIELD_CURVE_SPEC);
        for (final FixedIncomeStripWithSecurity strip : yieldCurveSpec.getStrips()) {
          try {
            final ExternalId securityIdentifier = strip.getSecurityIdentifier();
            final UniqueId uid = UniqueId.of(securityIdentifier.getScheme().getName(), securityIdentifier.getValue());
            final ExternalIdBundle id = ExternalIdBundle.of(securityIdentifier);


            final HistoricalTimeSeries ts = new SimpleHistoricalTimeSeries(uid,
                ImmutableLocalDateDoubleTimeSeries.of(impliedRateDates, results.get(strip.getStrip())));


            bundle.add(MarketDataRequirementNames.MARKET_VALUE, id, ts);
          } catch (Exception e) {
            e.printStackTrace();
            break;
          }
        }

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    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
        final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
      final Clock snapshotClock = executionContext.getValuationClock();
      final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
      final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final Forex forex = getForex(target, now, timeSeries, definition);
      final FXMatrix fxMatrix = new FXMatrix();
      final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
      final Currency currency1 = forex.getCurrency1();

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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Clock snapshotClock = executionContext.getValuationClock();
    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 curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);

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        final HullWhiteProviderDiscountBuildingRepository builder, final HullWhiteOneFactorProviderInterface knownData, final ConventionSource conventionSource,
        final HolidaySource holidaySource, final RegionSource regionSource) {
      final ValueProperties curveConstructionProperties = ValueProperties.builder()
          .with(CURVE_CONSTRUCTION_CONFIG, _curveConstructionConfiguration.getName())
          .get();
      final HistoricalTimeSeriesBundle timeSeries =
          (HistoricalTimeSeriesBundle) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES,
              ComputationTargetSpecification.NULL, curveConstructionProperties));
      final int nGroups = _curveConstructionConfiguration.getCurveGroups().size();
      @SuppressWarnings("unchecked")
      final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nGroups];

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    if (n != curveSpec.getNodes().size()) {
      throw new OpenGammaRuntimeException("Do not have a sensitivity for each node");
    }
    final Tenor[] tenors = new Tenor[n];
    final LocalDateDoubleTimeSeries[] returnSeries = new LocalDateDoubleTimeSeries[n];
    final HistoricalTimeSeriesBundle tsBundle = (HistoricalTimeSeriesBundle) inputs.getValue(CURVE_HISTORICAL_TIME_SERIES);
    final Iterator<CurveNodeWithIdentifier> iterator = curveSpec.getNodes().iterator();
    for (int i = 0; i < n; i++) {
      final double sensitivity = ycns[i];
      final CurveNodeWithIdentifier curveNode = iterator.next();
      final HistoricalTimeSeries ts = tsBundle.get(curveNode.getDataField(), curveNode.getIdentifier());
      if (ts == null) {
        throw new OpenGammaRuntimeException("Could not get time series for id " + curveNode.getIdentifier() + " and data field " + curveNode.getDataField());
      }
      final LocalDateDoubleTimeSeries pnlSeries = getReturnSeries(ts.getTimeSeries(), desiredValue, executionContext);
      tenors[i] = curveNode.getCurveNode().getResolvedMaturity();

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