Examples of com.opengamma.financial.view.HistoricalViewEvaluationResult


  // FunctionInvoker


  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final HistoricalViewEvaluationResult evaluationResult = (HistoricalViewEvaluationResult) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
    final Set<ComputedValue> results = Sets.newHashSetWithExpectedSize(desiredValues.size());
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    for (final ValueRequirement desiredValue : desiredValues) {
      final ValueRequirement requirement = getNestedRequirement(executionContext.getComputationTargetResolver(), target, desiredValue.getConstraints());
      if (requirement != null) {
        @SuppressWarnings("rawtypes")
        final TimeSeries ts = evaluationResult.getTimeSeries(requirement);
        if (ts != null) {
          results.add(new ComputedValue(new ValueSpecification(desiredValue.getValueName(), targetSpec, desiredValue.getConstraints()), ts));
        } else {
          s_logger.warn("Nested requirement {} did not produce a time series for {}", requirement, desiredValue);
        }


  // FunctionInvoker


  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final HistoricalViewEvaluationResult riskFactors = (HistoricalViewEvaluationResult) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
    // Grab the value specifications as a list so that we iterate over them in a consistent order to construct the matrix
    final ValueRequirement[] riskFactorReqs = riskFactors.getValueRequirements().toArray(new ValueRequirement[riskFactors.getValueRequirements().size()]);
    @SuppressWarnings("rawtypes")
    final DoubleTimeSeries[] timeSeries = new DoubleTimeSeries[riskFactorReqs.length];
    for (int i = 0; i < riskFactorReqs.length; i++) {
      timeSeries[i] = riskFactors.getDoubleTimeSeries(riskFactorReqs[i]);
    }
    final ValueRequirement desiredValueReq = desiredValues.iterator().next();
    final ValueSpecification desiredValueSpec = new ValueSpecification(ValueRequirementNames.COVARIANCE_MATRIX, target.toSpecification(), desiredValueReq.getConstraints());
    return Collections.singleton(new ComputedValue(desiredValueSpec, createCovarianceMatrix(timeSeries, riskFactorReqs)));
  }

Examples of com.opengamma.financial.view.HistoricalViewEvaluationResult

Related Classes of com.opengamma.financial.view.HistoricalViewEvaluationResult