Package com.opengamma.financial.convention

Examples of com.opengamma.financial.convention.ConventionBundleSource

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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);
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    _securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
    _definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
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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);
    _securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
    _definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
  }
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    return initialRateSeries.getTimeSeries().getLatestValue();
  }

  private ConventionBundle getLiborConventionBundle(final ConventionBundle swapConvention) {
    // get the convention of the identifier of the initial rate
    final ConventionBundleSource conventionSource = getToolContext().getConventionBundleSource();
    final ConventionBundle liborConvention = conventionSource.getConventionBundle(swapConvention.getSwapFloatingLegInitialRate());
    if (liborConvention == null) {
      throw new OpenGammaRuntimeException("Couldn't get libor convention for " + swapConvention.getSwapFloatingLegInitialRate());
    }
    return liborConvention;
  }
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    }
    return liborConvention;
  }

  private ConventionBundle getSwapConventionBundle(final Currency ccy) {
    final ConventionBundleSource conventionSource = getToolContext().getConventionBundleSource();
    final ConventionBundle swapConvention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, ccy.getCode() + "_SWAP"));
    if (swapConvention == null) {
      throw new OpenGammaRuntimeException("Couldn't get swap convention for " + ccy.getCode());
    }
    return swapConvention;
  }
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) {
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final HistoricalTimeSeries marketTS = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMMarket());
    if (marketTS == null) {
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    final ComputationTargetSpecification targetSpec = target.toSpecification();
    result.add(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec, pnlSeriesProperties));
    result.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
    result.add(new ValueRequirement(ValueRequirementNames.CAPM_BETA, targetSpec, betaProperties));
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final DateConstraint startDate = DateConstraint.VALUATION_TIME.minus(samplingPeriodName);
    HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
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  @Override
  public void init(final FunctionCompilationContext context) {
    super.init(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);
    _securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
    _definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
  }
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    final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(START_DATE_PROPERTY));
    final LocalDate endDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(END_DATE_PROPERTY));
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final MultiCurveCalculationConfig curveCalculationConfig = new ConfigDBCurveCalculationConfigSource(configSource).getConfig(curveCalculationConfigName);
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionBundleSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final YieldCurveFixingSeriesProvider provider = new YieldCurveFixingSeriesProvider(conventionBundleSource);
    final Set<ComputedValue> results = new HashSet<>();
    final double absoluteTolerance = Double.parseDouble(absoluteToleranceName);
    final double relativeTolerance = Double.parseDouble(relativeToleranceName);
    final int iterations = Integer.parseInt(iterationsName);
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    final ComputationTargetSpecification targetSpec = target.toSpecification();
    result.add(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec, pnlSeriesProperties));
    result.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
    result.add(new ValueRequirement(ValueRequirementNames.CAPM_BETA, targetSpec, betaProperties));
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    result.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) {
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final HistoricalTimeSeries marketTSObject = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMMarket());
    if (marketTSObject == null) {
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