Package com.opengamma.financial.analytics.timeseries

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

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    final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDerivative swaption = _definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries);
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
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    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueProperties constraints = desiredValues.iterator().next().getConstraints();
    final String curveName = constraints.getValues(ValuePropertyNames.CURVE).iterator().next();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
    }
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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 BondFutureOptionSecurity security = (BondFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final Trade trade = target.getTrade();
    final FutureSecurity security = (FutureSecurity) trade.getSecurity();
    // Get reference price
    final HistoricalTimeSeriesBundle timeSeriesBundle = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    if (timeSeriesBundle == null) {
      throw new OpenGammaRuntimeException("Could not get time series bundle for " + trade);
    }
    Double lastMarginPrice = null;
    try {
      lastMarginPrice = timeSeriesBundle.get(MarketDataRequirementNames.MARKET_VALUE, security.getExternalIdBundle()).getTimeSeries().getLatestValue();
    } catch (final NoSuchElementException e) {
      throw new OpenGammaRuntimeException("Time series for " + security.getExternalIdBundle() + " was empty");
    }
    // Build the analytic's version of the security - the derivative
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
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    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final LocalDate localNow = now.toLocalDate();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
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    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final LocalDate localNow = now.toLocalDate();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
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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 IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
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    final LocalDate localNow = now.toLocalDate();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValues.iterator().next().getConstraints();
    final String curveName = constraints.getValues(ValuePropertyNames.CURVE).iterator().next();
    final String fullCurveName = curveName + "_" + currency.getCode();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    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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        final MulticurveDiscountBuildingRepository builder, final MulticurveProviderInterface 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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  @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 IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
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