Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult

Package com.opengamma.master.historicaltimeseries

Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult

com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult
Contains the result of resolving an historical time-series.
Time-series whose data points are derived from the same points of another time-series may be exposed by referencing the parent time-series and including an adjuster. The adjuster is expected to be applied to the relevant part of the parent time-series in order to satisfy the resolution request.
For example, an adjuster may be provided to apply normalization rules to a parent time-series that contains unnormalized data.

    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,
        DateConstraint.VALUATION_TIME.minus(samplingPeriodName), true, DateConstraint.VALUATION_TIME, true));

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    requirements.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
    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;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, startDate, true,
        DateConstraint.VALUATION_TIME, true));

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        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorNames.iterator().next()).get()));
    requirements.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
    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;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,
        DateConstraint.VALUATION_TIME.minus(samplingPeriodName), true, DateConstraint.VALUATION_TIME, true));

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    public Resolve resolutionKey(@PathParam("key") final String key) {
      return new Resolve(_identifierBundle, _identifierValidityDate, _dataSource, _dataProvider, _dataField, key);
    }


    private HistoricalTimeSeriesResolutionResult resolve() {
      HistoricalTimeSeriesResolutionResult hts = _cache.get(this);
      if (hts == null) {
        hts = getUnderlying().resolve(_identifierBundle, _identifierValidityDate, _dataSource, _dataProvider, _dataField, _resolutionKey);
        if (hts == null) {
          return null;
        }

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      return hts;
    }


    @GET
    public Response get() {
      final HistoricalTimeSeriesResolutionResult hts = resolve();
      if (hts == null) {
        throw new WebApplicationException(Response.Status.NOT_FOUND);
      }
      final FudgeSerializer fsc = new FudgeSerializer(getFudgeContext());
      final MutableFudgeMsg response = fsc.newMessage();
      fsc.addToMessageWithClassHeaders(response, "info", null, hts.getHistoricalTimeSeriesInfo(), ManageableHistoricalTimeSeriesInfo.class);
      if (hts.getAdjuster() != null) {
        response.add("adjustment", hts.getAdjuster().getAdjustment(_identifierBundle).toString());
      }
      return responseOk(response);
    }

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    }
    
    @GET
    @Path("adjustment")
    public Response adjustment(@QueryParam("id") List<String> idStrs) {
      final HistoricalTimeSeriesResolutionResult hts = resolve();
      if (hts == null) {
        throw new WebApplicationException(Response.Status.NOT_FOUND);
      }
      final ExternalIdBundle bundle = ExternalIdBundle.parse(idStrs);
      final MutableFudgeMsg response = getFudgeContext().newMessage();
      response.add("adjustment", hts.getAdjuster().getAdjustment(bundle).toString());
      return responseOk(response);
    }

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    final Set<String> samplingPeriods = desiredValue.getConstraints().getValues(ValuePropertyNames.SAMPLING_PERIOD);
    if ((samplingPeriods == null) || (samplingPeriods.size() != 1)) {
      return null;
    }
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(target.getSecurity().getExternalIdBundle(), null, null, null, _fieldName, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    return Collections.singleton(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries,
        _fieldName, DateConstraint.VALUATION_TIME.minus(samplingPeriods.iterator().next()), true, DateConstraint.VALUATION_TIME, true));

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      ManageableHistoricalTimeSeriesInfo selectedResult = select(timeSeriesCandidates, resolutionKey);
      if (selectedResult == null) {
        s_logger.warn("Resolver failed to find any time-series for {} using {}/{}", new Object[] {identifierBundle, dataField, resolutionKey });
        return null;
      }
      return new HistoricalTimeSeriesResolutionResult(selectedResult);
    } else {
      return search(dataSource, dataProvider, dataField);
    }
  }

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    searchRequest.setDataSource(dataSource);
    searchRequest.setDataProvider(dataProvider);
    searchRequest.setDataField(dataField);
    searchRequest.setPagingRequest(PagingRequest.NONE);
    if (_master.search(searchRequest).getPaging().getTotalItems() > 0) {
      return new HistoricalTimeSeriesResolutionResult(null, null);
    } else {
      return null;
    }
  }

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        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName.iterator().next()).get()));
    requirements.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, target.toSpecification()));
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM")); //TODO 
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult marketTimeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (marketTimeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(marketTimeSeries,
        MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriod), true, DateConstraint.VALUATION_TIME, true));
    final HistoricalTimeSeriesResolutionResult riskFreeTimeSeries = resolver.resolve(bundle.getCAPMRiskFreeRate(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (riskFreeTimeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(riskFreeTimeSeries,
        MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriod), true, DateConstraint.VALUATION_TIME, true));

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