Package com.opengamma.master.historicaltimeseries

Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver

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    _trades = getTrades();
    _secMaster = new InMemorySecurityMaster(new ObjectIdSupplier("Mock"));
    _positionMaster = new InMemoryPositionMaster();
    final MasterConfigSource configSource = new MasterConfigSource(new InMemoryConfigMaster());
    final InMemoryHistoricalTimeSeriesMaster htsMaster = new InMemoryHistoricalTimeSeriesMaster();
    final HistoricalTimeSeriesResolver htsResolver = new DefaultHistoricalTimeSeriesResolver(new DefaultHistoricalTimeSeriesSelector(configSource), htsMaster);
    _htsSource = new MasterHistoricalTimeSeriesSource(htsMaster, htsResolver);
    _securitySource = new InMemorySecuritySource();
    _secLoader = new AbstractSecurityLoader() {
      @Override
      protected SecurityLoaderResult doBulkLoad(SecurityLoaderRequest request) {
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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 ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    _securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
    _definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
    _curveCalculationConfig = new ConfigDBCurveCalculationConfigSource(configSource);
    ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
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    return Collections.singleton(new ValueSpecification(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST, target.toSpecification(), createValueProperties().get()));
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final HistoricalTimeSeriesResolver htsResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final Set<String> dataFieldConstraints = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
    final String dataField;
    if ((dataFieldConstraints == null) || dataFieldConstraints.isEmpty()) {
      dataField = null;
    } else {
      dataField = dataFieldConstraints.iterator().next();
    }
    final Set<String> resolutionKeyConstraints = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY);
    final String resolutionKey;
    if ((resolutionKeyConstraints == null) || resolutionKeyConstraints.isEmpty()) {
      resolutionKey = null;
    } else {
      resolutionKey = resolutionKeyConstraints.iterator().next();
    }
    final HistoricalTimeSeriesResolutionResult resolutionResult = htsResolver.resolve(target.getSecurity().getExternalIdBundle(), null, null, null, dataField, resolutionKey);
    if (resolutionResult == null) {
      return null;
    }
    UniqueId htsId = resolutionResult.getHistoricalTimeSeriesInfo().getUniqueId();
    final ValueProperties.Builder constraints = ValueProperties.builder();
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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);
    _securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
    _definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
  }
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    return Collections.singleton(new ValueSpecification(ValueRequirementNames.HISTORICAL_TIME_SERIES, target.toSpecification(), props));
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final HistoricalTimeSeriesResolver htsResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final Set<String> dataFieldConstraints = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
    if ((dataFieldConstraints != null) && (dataFieldConstraints.size() > 1)) {
      return null;
    }
    final String dataField = ((dataFieldConstraints == null) || dataFieldConstraints.isEmpty()) ? null : Iterables.getOnlyElement(dataFieldConstraints);
    final HistoricalTimeSeriesResolutionResult resolutionResult = htsResolver.resolve(target.getSecurity().getExternalIdBundle(), null, null, null, dataField, null);
    if (resolutionResult == null) {
      return null;
    }
    final UniqueId htsId = resolutionResult.getHistoricalTimeSeriesInfo().getUniqueId();
    final ValueRequirement valueRequirement = new ValueRequirement(ValueRequirementNames.HISTORICAL_TIME_SERIES, ComputationTargetType.PRIMITIVE, htsId, desiredValue.getConstraints());
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    return Collections.singleton(new ValueSpecification(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST, target.toSpecification(), props));
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final HistoricalTimeSeriesResolver htsResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final Set<String> dataFieldConstraints = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
    final String dataField;
    if ((dataFieldConstraints == null) || dataFieldConstraints.isEmpty()) {
      dataField = null;
    } else if (dataFieldConstraints.size() == 1) {
      dataField = Iterables.getOnlyElement(dataFieldConstraints);
    } else {
      return null;
    }
    final String providerIdValue = target.getPosition().getAttributes().get(ManageablePosition.meta().providerId().name());
    if (providerIdValue == null) {
      return null;
    }
    final ExternalId providerId = ExternalId.parse(providerIdValue);
    final HistoricalTimeSeriesResolutionResult resolutionResult = htsResolver.resolve(ExternalIdBundle.of(providerId), null, null, null, dataField, null);
    if (resolutionResult == null) {
      return null;
    }
    final UniqueId htsId = resolutionResult.getHistoricalTimeSeriesInfo().getUniqueId();
    final ValueRequirement valueRequirement = new ValueRequirement(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST, ComputationTargetType.PRIMITIVE, htsId, desiredValue.getConstraints());
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        .with(ValuePropertyNames.VARIANCE_CALCULATOR, varianceCalculatorNames.iterator().next()).get();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    result.add(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec, pnlSeriesProperties));
    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 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;
    }
    result.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, startDate, true,
        DateConstraint.VALUATION_TIME, true));
    timeSeries = resolver.resolve(bundle.getCAPMRiskFreeRate(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    result.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, startDate, true,
        DateConstraint.VALUATION_TIME, true));
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    super.init(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);
    _securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
    _definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
  }
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        .with(ValuePropertyNames.VARIANCE_CALCULATOR, varianceCalculatorNames.iterator().next()).get();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    result.add(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec, pnlSeriesProperties));
    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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        .with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriodName)
        .with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorName)
        .with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName)
        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName).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 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));
    timeSeries = resolver.resolve(bundle.getCAPMRiskFreeRate(), 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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