Examples of CurveDefinition

com.opengamma.financial.analytics.curve.CurveDefinition
Basic curve definition class containing only a name and curve nodes. Most curve definitions (e.g. {@link InterpolatedCurveDefinition}) will descend from this class, but this can be used as a nodal curve definition.

Examples of com.opengamma.financial.analytics.curve.CurveDefinition

      final List<FudgeField> nodesFields = message.getAllByName(NODE_FIELD);
      for (final FudgeField nodeField : nodesFields) {
        final Object obj = deserializer.fieldValueToObject(nodeField);
        nodes.add((CurveNode) obj);
      }
      final CurveDefinition curveDefinition = new CurveDefinition(name, nodes);
      final FudgeField uniqueId = message.getByName(UNIQUE_ID_FIELD);
      if (uniqueId != null) {
        curveDefinition.setUniqueId(deserializer.fieldValueToObject(UniqueId.class, uniqueId));
      }
      return curveDefinition;
    }

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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

  }


  @Override
  public CurveDefinition getCurveDefinition(final String name) {
    ArgumentChecker.notNull(name, "name");
    final CurveDefinition result = _configSource.getLatestByName(InterpolatedCurveDefinition.class, name);
    if (result == null) {
      return _configSource.getLatestByName(CurveDefinition.class, name);
    }
    return result;
  }

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Examples of com.opengamma.financial.analytics.curve.CurveDefinition


  @Override
  public CurveDefinition getCurveDefinition(final String name, final VersionCorrection versionCorrection) {
    ArgumentChecker.notNull(name, "name");
    ArgumentChecker.notNull(versionCorrection, "version correction");
    final CurveDefinition result = _configSource.getSingle(InterpolatedCurveDefinition.class, name, versionCorrection);
    if (result == null) {
      return _configSource.getSingle(CurveDefinition.class, name, versionCorrection);
    }
    return result;
  }

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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

          String curveDefinitionID = "SAMEDAY_" + cds.getReferenceEntity().getValue() + "_" + cds.getNotional().getCurrency() + "_" +
              cds.getDebtSeniority().toString() + "_" + cds.getRestructuringClause();


          ConfigSearchRequest<CurveDefinition> curveDefinitionConfigSearchRequest = new ConfigSearchRequest<CurveDefinition>(CurveDefinition.class);
          curveDefinitionConfigSearchRequest.setName(curveDefinitionID);
          CurveDefinition curveDefinition = getToolContext().getConfigMaster().search(
              curveDefinitionConfigSearchRequest).getFirstValue().getValue();
        /*final CurveDefinition curveDefinition = configSource.getSingle(CurveDefinition.class,
                                                                       curveName,
                                                                       VersionCorrection.LATEST);

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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

  public void testCurveDefinition() {
    final Set<CurveNode> nodes = new TreeSet<>();
    nodes.add(new CreditSpreadNode("X", Tenor.DAY));
    nodes.add(new CreditSpreadNode("X", Tenor.EIGHT_YEARS));
    nodes.add(new CreditSpreadNode("Y", Tenor.ONE_MONTH));
    CurveDefinition definition = new CurveDefinition("NAME", nodes);
    assertEquals(definition, cycleObject(CurveDefinition.class, definition));
    definition = new CurveDefinition("NAME", nodes);
    definition.setUniqueId(UniqueId.of("test", "id"));
    assertEquals(definition, cycleObject(CurveDefinition.class, definition));
  }

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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

          final List<IndexPrice> inflation = new ArrayList<>();
          final String curveName = entry.getKey();
          final ValueProperties properties = ValueProperties.builder().with(CURVE, curveName).get();
          final CurveSpecification specification =
              (CurveSpecification) inputs.getValue(new ValueRequirement(CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties));
          final CurveDefinition definition =
              (CurveDefinition) inputs.getValue(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, properties));
          final SnapshotDataBundle snapshot =
              (SnapshotDataBundle) inputs.getValue(new ValueRequirement(CURVE_MARKET_DATA, ComputationTargetSpecification.NULL, properties));
          final int nNodes = specification.getNodes().size();
          final InstrumentDerivative[] derivativesForCurve = new InstrumentDerivative[nNodes];

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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

        for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
          if (curveName.equals(entry.getKey().getFirst())) {
            final ValueProperties properties = desiredValue.getConstraints().copy()
                .with(CURVE, curveName)
                .get();
            final CurveDefinition curveDefinition = (CurveDefinition) inputs.getValue(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL,
                ValueProperties.builder().with(CURVE, curveName).get()));
            final ValueSpecification spec = new ValueSpecification(YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
            final DoubleLabelledMatrix1D ycns = MultiCurveUtils.getLabelledMatrix(entry.getValue(), curveDefinition);
            return Collections.singleton(new ComputedValue(spec, ycns));
          }

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Examples of com.opengamma.financial.analytics.curve.CurveDefinition


    protected DoublesCurve getForwardPoints(final FunctionInputs inputs, final String fxForwardCurveName,
        final ZonedDateTime now) {
      final ValueProperties curveProperties = ValueProperties.with(CURVE, fxForwardCurveName).get();
      final ValueRequirement definitionRequirement = new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, curveProperties);
      final CurveDefinition definition = (CurveDefinition) inputs.getValue(definitionRequirement);
      if (definition == null) {
        throw new OpenGammaRuntimeException("Could not get definition for " + fxForwardCurveName);
      }
      final String interpolatorName, leftExtrapolatorName, rightExtrapolatorName;
      if (definition instanceof InterpolatedCurveDefinition) {

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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

        for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
          if (curveName.equals(entry.getKey().getFirst())) {
            final ValueProperties properties = desiredValue.getConstraints().copy()
                .with(CURVE, curveName)
                .get();
            final CurveDefinition curveDefinition = (CurveDefinition) inputs.getValue(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL,
                ValueProperties.builder().with(CURVE, curveName).get()));
            final ValueSpecification spec = new ValueSpecification(YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
            final DoubleLabelledMatrix1D ycns = MultiCurveUtils.getLabelledMatrix(entry.getValue(), curveDefinition);
            return Collections.singleton(new ComputedValue(spec, ycns));
          }

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Examples of com.opengamma.financial.analytics.curve.CurveDefinition

          final List<IndexON> overnightIndex = new ArrayList<>();
          final String curveName = entry.getKey();
          final ValueProperties properties = ValueProperties.builder().with(CURVE, curveName).get();
          final CurveSpecification specification =
              (CurveSpecification) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties));
          final CurveDefinition definition =
              (CurveDefinition) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_DEFINITION, ComputationTargetSpecification.NULL, properties));
          final SnapshotDataBundle snapshot =
              (SnapshotDataBundle) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_MARKET_DATA, ComputationTargetSpecification.NULL, properties));
          final int nNodes = specification.getNodes().size();
          final InstrumentDerivative[] derivativesForCurve = new InstrumentDerivative[nNodes];

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