Package com.opengamma.livedata.normalization

Examples of com.opengamma.livedata.normalization.FieldHistoryUpdater

261
262
263
264
265
266
267
268
269
270
271
    // Calculate implied vol value
    openGammaRules.add(new ImpliedVolatilityCalculator());

    // At this point, BID, ASK, LAST, MARKET_VALUE, Volume and various Bloomberg implied vol fields are stored in the history.
    openGammaRules.add(new FieldHistoryUpdater());

    // Filter out non-OpenGamma fields (i.e., BID, ASK, various Bloomberg implied vol fields)
    openGammaRules.add(new FieldFilter(
        MarketDataRequirementNames.MARKET_VALUE,
        MarketDataRequirementNames.SETTLE_PRICE,
View Full Code Here
40
41
42
43
44
45
46
47
    rules.add(new FieldNameChange("YLD_CNV_MID", MarketDataRequirementNames.YIELD_CONVENTION_MID));
    rules.add(new FieldNameChange("YLD_YTM_MID", MarketDataRequirementNames.YIELD_YIELD_TO_MATURITY_MID));
    rules.add(new FieldNameChange("PX_DIRTY_MID", MarketDataRequirementNames.DIRTY_PRICE_MID));
   
    rules.add(new MarketValueCalculator());
    rules.add(new FieldHistoryUpdater());
    return new NormalizationRuleSet(StandardRules.getOpenGammaRuleSetId(), "", rules);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.livedata.normalization.FieldHistoryUpdater

  • com.opengamma.bbg.util.BloombergDataUtils
  • com.opengamma.examples.simulated.livedata.NormalizationRules
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.