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.

        s_logger.debug("Resolver failed to find any time-series for {} using {}/{}", new Object[] {identifierBundle, dataField, resolutionKey });
        return null;
      }
      HistoricalTimeSeriesFieldAdjustment fieldAdjustment = fieldMappings.get(selectedResult.getDataSource());
      HistoricalTimeSeriesAdjuster adjuster = fieldAdjustment != null ? fieldAdjustment.getAdjuster() : null;
      return new HistoricalTimeSeriesResolutionResult(selectedResult, adjuster);
    } else {
      return search(dataSource, dataProvider, dataField);
    }
  }

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      ExternalIdBundle identifiers, LocalDate identifierValidityDate, String dataSource, String dataProvider, String dataField,
      LocalDate start, LocalDate end, Integer maxPoints) {
    ArgumentChecker.notNull(identifiers, "identifiers");
    ArgumentChecker.notNull(dataSource, "dataSource");
    ArgumentChecker.notNull(dataField, "field");
    HistoricalTimeSeriesResolutionResult resolutionResult = getResolver().resolve(identifiers, identifierValidityDate, dataSource, dataProvider, dataField, null);
    if (resolutionResult == null) {
      return null;
    }
    HistoricalTimeSeries hts = doGetHistoricalTimeSeries(resolutionResult.getHistoricalTimeSeriesInfo().getTimeSeriesObjectId(), start, end, maxPoints);
    if (resolutionResult.getAdjuster() != null) {
      hts = resolutionResult.getAdjuster().adjust(resolutionResult.getHistoricalTimeSeriesInfo().getExternalIdBundle().toBundle(), hts);
    }
    return hts;
  }

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    ArgumentChecker.notNull(dataField, "dataField");
    ArgumentChecker.notEmpty(identifierBundle, "identifierBundle");
    if (StringUtils.isBlank(resolutionKey)) {
      resolutionKey = HistoricalTimeSeriesRatingFieldNames.DEFAULT_CONFIG_NAME;
    }
    HistoricalTimeSeriesResolutionResult resolutionResult = getResolver().resolve(identifierBundle, identifierValidityDate, null, null, dataField, resolutionKey);
    if (resolutionResult == null) {
      String message = String.format("Unable to resolve hts using resolutionKey[%s] dataField[%s] bundle[%s] date[%s]", resolutionKey, dataField, identifierBundle, identifierValidityDate);
      s_logger.debug(message);
      return null;
    }
    if ((maxPoints == null) || (maxPoints != 0)) {
      HistoricalTimeSeries hts = doGetHistoricalTimeSeries(resolutionResult.getHistoricalTimeSeriesInfo().getUniqueId(), start, end, maxPoints);
      if (resolutionResult.getAdjuster() != null) {
        hts = resolutionResult.getAdjuster().adjust(resolutionResult.getHistoricalTimeSeriesInfo().getExternalIdBundle().toBundle(), hts);
      }
      return hts;
    } else {
      return new SimpleHistoricalTimeSeries(resolutionResult.getHistoricalTimeSeriesInfo().getUniqueId(), EMPTY_TIMESERIES);
    }
  }

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   */
  protected ValueRequirement getReferencePriceRequirement(final FunctionCompilationContext context, final FutureSecurity security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ExternalIdBundle idBundle = security.getExternalIdBundle();
    // TODO CASE: Test that you can change field to MARKET_VALUE because of the FieldAdjustment in ActivHistoricalTimeSeriesSourceComponentFactory.createResolver
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getExternalIdBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, getResolutionKey());
    if (timeSeries == null) {
      s_logger.warn("Failed to find time series for: " + idBundle.toString());
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,

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        uri.segment("resolutionKey", resolutionKey);
      }
      final URI req = uri.build();
      final FudgeMsg response = accessRemote(req).get(FudgeMsg.class);
      final String adjustment = response.getString("adjustment");
      return new HistoricalTimeSeriesResolutionResult(
          fdc.fieldValueToObject(ManageableHistoricalTimeSeriesInfo.class, response.getByName("info")),
          (adjustment != null) ? new Adjuster(req, identifierBundle, adjustment) : null);
    } catch (UniformInterfaceException404NotFound e) {
      return null;
    }

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      public ObjectId getTimeSeriesObjectId() {
        throw new UnsupportedOperationException("Unsupported operation.");
      }


    };
    HistoricalTimeSeriesResolutionResult result = new HistoricalTimeSeriesResolutionResult(htsInfo);
    return result;
  }

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        s_logger.debug("No lookup information for {}", dataField);
      }
    }
    if (identifierBundle == null) {
      if (knownPresent || verifyInDatabase(dataSource, dataProvider, dataField)) {
        return new HistoricalTimeSeriesResolutionResult(null);
      } else {
        return null;
      }
    }
    HistoricalTimeSeriesResolutionResult resolveResult;
    for (ExternalId id : identifierBundle) {
      String key = id.toString() + SEPARATOR +
          dataField + SEPARATOR +
          (dataSource != null ? dataSource : "") + SEPARATOR +
          (dataProvider != null ? dataProvider : "") + SEPARATOR +
          resolutionKey;
      e = _cache.get(key);
      HistoricalTimeSeriesResolutionCacheItem cacheItem = e != null ? (HistoricalTimeSeriesResolutionCacheItem) e.getObjectValue() : null;
      if (cacheItem != null) {
        boolean isInvalid = cacheItem.isInvalid(identifierValidityDate);
        resolveResult = !isInvalid ? cacheItem.get(identifierValidityDate) : null;
        if (isInvalid || resolveResult != null) {
          if (isAutomaticFieldResolutionOptimisation()) {
            if (isOptimisticFieldResolution()) {
              if (resolveResult != null) {
                _optimisticFieldMetric1.incrementAndGet();
              } else {
                _optimisticFieldMetric1.decrementAndGet();
              }
            }
            updateAutoFieldResolutionOptimisation();
          }
          return resolveResult;
        }
      }
    }
    if (!knownPresent) {
      if (!verifyInDatabase(dataSource, dataProvider, dataField)) {
        return null;
      }
    }
    resolveResult = _underlying.resolve(identifierBundle, identifierValidityDate, dataSource, dataProvider, dataField, resolutionKey);
    if (resolveResult != null) {
      ManageableHistoricalTimeSeriesInfo info = resolveResult.getHistoricalTimeSeriesInfo();
      for (ExternalIdWithDates id : info.getExternalIdBundle()) {
        if (id.isValidOn(identifierValidityDate)) {
          String key = id.getExternalId().toString() + SEPARATOR +
              dataField + SEPARATOR +
              info.getDataSource() + SEPARATOR +

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  // HistoricalTimeSeriesResolver


  @Override
  public HistoricalTimeSeriesResolutionResult resolve(final ExternalIdBundle identifierBundle, final LocalDate identifierValidityDate,
      final String dataSource, final String dataProvider, final String dataField, final String resolutionKey) {
    final HistoricalTimeSeriesResolutionResult result;
    ThreadLocalWorker worker = _worker.get();
    worker.init(identifierBundle, identifierValidityDate, dataSource, dataProvider, dataField, resolutionKey);
    do {
      final ThreadLocalWorker delegate = _workers.putIfAbsent(worker, worker);
      if (delegate == null) {

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      final RuntimeException e = _error;
      if (e != null) {
        _error = null;
        throw e;
      }
      HistoricalTimeSeriesResolutionResult result = _result;
      _result = null;
      return result;
    }

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    return new ValueRequirement(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE, ComputationTargetType.PRIMITIVE, newId, 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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