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.

      return ValueProperties.none();
    }
  }


  private ValueRequirement getMarkToMarketSeriesRequirement(final HistoricalTimeSeriesResolver resolver, final ExternalIdBundle bundle, final DateConstraint startDate, final DateConstraint endDate) {
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle, null, null, null, _mark2MarketField, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, _mark2MarketField, startDate, true, endDate, true);
  }

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    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, _mark2MarketField, startDate, true, endDate, true);
  }


  private ValueRequirement getCostOfCarrySeriesRequirement(final HistoricalTimeSeriesResolver resolver, final ExternalIdBundle bundle, final DateConstraint endDate) {
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle, null, null, null, _costOfCarryField, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, _costOfCarryField, endDate, true, endDate, true);
  }

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        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName.iterator().next()).get());
    final ValueRequirement fairValueRequirement = 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 country-specific
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    final ValueRequirement timeSeriesRequirement = HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries,
        MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriodName), true, DateConstraint.VALUATION_TIME, true);

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      s_logger.error("Security currency and curve calculation config id were not equal; have {} and {}", currency, curveCalculationConfig.getTarget());
    }
    final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
    requirements.add(getVolatilityRequirement(surfaceName, currency));
    final HistoricalTimeSeriesResolutionResult timeSeries = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context).resolve(target.getTrade().getSecurity().getExternalIdBundle(), null,
        null, null, MarketDataRequirementNames.MARKET_VALUE, null);
    if (timeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,

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  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final RawSecurity security = (RawSecurity) target.getSecurity();
    final SecurityEntryData securityEntryData = RawSecurityUtils.decodeSecurityEntryData(security);
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(securityEntryData.getId().toBundle(), null, "LITHIUM", null, "PX_LAST", null);
    if (timeSeries == null) {
      return null;
    }
    return Collections.singleton(new ValueRequirement(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST, ComputationTargetType.PRIMITIVE,
        timeSeries.getHistoricalTimeSeriesInfo().getUniqueId(), ValueProperties.none()));
  }

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  }


  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(target.getSecurity().getExternalIdBundle(), null, _dataSource, _dataProvider, _field, null);
    if (timeSeries == null) {
      return null;
    }
    return Collections.singleton(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, _field, DateConstraint.of(_startDate), true, DateConstraint.VALUATION_TIME, true));
  }

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    }
    return requirements;
  }


  protected ValueRequirement getSensitivityRequirement(final ExternalId externalId) {
    final HistoricalTimeSeriesResolutionResult resolutionResult = _htsResolver.resolve(ExternalIdBundle.of(externalId), null, null, null, "EXPOSURE", null);
    final ValueRequirement htsRequirement = HistoricalTimeSeriesFunctionUtils.createHTSRequirement(resolutionResult, "EXPOSURE", DateConstraint.VALUATION_TIME, true, DateConstraint.VALUATION_TIME,
        true);
    return htsRequirement;
    //return new ValueRequirement();
    //return new ValueRequirement(/*ExternalDataRequirementNames.SENSITIVITY*/"EXPOSURE", ComputationTargetType.PRIMITIVE, UniqueId.of(externalId.getScheme().getName(), externalId.getValue()));

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    return new ValueRequirement(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target, properties);
  }


  private ValueRequirement getTimeSeriesRequirement(final FunctionCompilationContext context, final EquityVarianceSwapSecurity security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getSpotUnderlyingId().toBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
    if (timeSeries == null) {
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, DateConstraint.NULL, true, DateConstraint.VALUATION_TIME, true);
  }

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    return (YieldAndDiscountCurve) curveObject;
  }


  private ValueRequirement getDividendYieldRequirement(final FunctionCompilationContext context, final FutureSecurity security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(ExternalIdBundle.of(getSpotAssetId(security)), null, null, null,
        MarketDataRequirementNames.DIVIDEND_YIELD, null);
    if (timeSeries == null) {
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.DIVIDEND_YIELD,

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    return requirements;
  }


  private ValueRequirement getTimeSeriesRequirement(final FunctionCompilationContext context, final Security security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getExternalIdBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
    if (timeSeries == null) {
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,
        DateConstraint.VALUATION_TIME.minus(Period.ofMonths(1)).previousWeekDay(), true, DateConstraint.VALUATION_TIME, true);

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