Package com.opengamma.master.historicaltimeseries

Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver

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        .with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriodName)
        .with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorNames.iterator().next())
        .with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionNames.iterator().next())
        .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 void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
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  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    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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    }
    final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    if (securitySource == null) {
      throw new UnsupportedOperationException("A security source is required");
    }
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    if (timeSeriesResolver == null) {
      throw new UnsupportedOperationException("A historical time series resolver is required");
    }
    _securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
    _definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
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  @Override
  public void init(final FunctionCompilationContext context) {
    final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
    final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
    final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    _visitor = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter).fraSecurityVisitor(fraConverter)
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   * @param context The compilation context, not null
   * @return The converter
   */
  protected FixedIncomeConverterDataProvider getDefinitionToDerivativeConverter(final FunctionCompilationContext context) {
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    return new FixedIncomeConverterDataProvider(conventionBundleSource, timeSeriesResolver);
  }
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        .with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName.iterator().next())
        .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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      securityOrTradeValue = new ValueRequirement(ValueRequirementNames.VALUE, ComputationTargetType.SECURITY, security.getUniqueId(), getCurrencyProperty(security));
    } else {
      // If a POSITION, request the POSITION's value and DON'T scale during the execute
      securityOrTradeValue = new ValueRequirement(ValueRequirementNames.VALUE, target.toSpecification(), getCurrencyProperty(security));
    }
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ExternalIdBundle bundle = security.getExternalIdBundle();
    final DateConstraint startDate = getTimeSeriesStartDate(positionOrTrade);
    final DateConstraint endDate = getTimeSeriesEndDate(positionOrTrade);
    final ValueRequirement markToMarketValue = getMarkToMarketSeriesRequirement(resolver, bundle, startDate, endDate);
    final ValueRequirement costOfCarryValue = getCostOfCarrySeriesRequirement(resolver, bundle, endDate);
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        .with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName.iterator().next())
        .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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   * @param context The compilation context, not null
   * @return The converter
   */
  protected FixedIncomeConverterDataProvider getDefinitionToDerivativeConverter(final FunctionCompilationContext context) {
    final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    return new FixedIncomeConverterDataProvider(conventionBundleSource, timeSeriesResolver);
  }
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Related Classes of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver

  • com.opengamma.component.factory.source.HistoricalTimeSeriesSourceComponentFactory
  • com.opengamma.component.factory.source.RedisSimulationSeriesSourceComponentFactory
  • com.opengamma.financial.analytics.cashflow.FixedCashFlowFunction
  • com.opengamma.financial.analytics.cashflow.FloatingCashFlowFunction
  • com.opengamma.financial.analytics.cashflow.NettedFixedCashFlowFunction
  • com.opengamma.financial.analytics.LastHistoricalValueFunction
  • com.opengamma.financial.analytics.model.bondfutureoption.BondFutureOptionBlackFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MarketInstrumentImpliedYieldCurveFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodSeriesFunction
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