Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.ConventionBundleSource

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  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
    final ConventionBundleSource conventionBundleSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final YieldCurveFixingSeriesProvider provider = new YieldCurveFixingSeriesProvider(conventionBundleSource);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String dataField = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
    final String resolutionKey = parseString(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY));
    final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY));
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   * @param repo  the component repository, not null
   * @param configuration  the remaining configuration, not null
   */
  @Override
  public void init(ComponentRepository repo, LinkedHashMap<String, String> configuration) {
    final ConventionBundleSource source = createConventionBundleSource(repo);
   
    final ComponentInfo info = new ComponentInfo(ConventionBundleSource.class, getClassifier());
    info.addAttribute(ComponentInfoAttributes.LEVEL, 1);
    info.addAttribute(ComponentInfoAttributes.REMOTE_CLIENT_JAVA, RemoteConventionBundleSource.class);
    repo.registerComponent(info, source);
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  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
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  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
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  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
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  @Override
  protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverter fraConverter = new FRASecurityConverter(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverter swapConverter = new SwapSecurityConverter(holidaySource, conventionSource, regionSource);
    final SwaptionSecurityConverter swaptionConverter = new SwaptionSecurityConverter(securitySource, swapConverter);
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  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFutureSecurityConverter bondFutureConverter = new BondFutureSecurityConverter(securitySource, bondConverter);
    _converter = new FutureSecurityConverterDeprecated(irFutureConverter, bondFutureConverter);
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      @SuppressWarnings("synthetic-access")
      @Override
      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
        final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
        final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
        final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
        final Clock snapshotClock = executionContext.getValuationClock();
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final BondSecurityConverter converter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
        final FinancialSecuritySource securitySource = executionContext.getSecuritySource(FinancialSecuritySource.class);
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  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    _converter = new InterestRateFutureOptionTradeConverterDeprecated(
        new InterestRateFutureOptionSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, securitySource));
    _dataConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
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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 ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    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 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) {
      throw new OpenGammaRuntimeException("Could not get convention named " + conventionName);
    }
    final DayCount dayCount = convention.getDayCount();
    if (dayCount == null) {
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  • com.opengamma.financial.analytics.model.black.BlackDiscountingSwaptionFunction
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