Examples of EmpiricalDistributionVaRParameters

Examples of com.opengamma.analytics.financial.var.EmpiricalDistributionVaRParameters

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    }
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Set<String> scheduleCalculatorNames = desiredValue.getConstraints().getValues(ValuePropertyNames.SCHEDULE_CALCULATOR);
    final Set<String> confidenceLevelNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CONFIDENCE_LEVEL);
    final Set<String> horizonNames = desiredValue.getConstraints().getValues(ValuePropertyNames.HORIZON);
    final EmpiricalDistributionVaRParameters parameters = getParameters(scheduleCalculatorNames, horizonNames, confidenceLevelNames);
    final double var = CALCULATOR.evaluate(parameters, pnlSeries).getVaRValue();
    final ValueProperties resultProperties = getResultProperties(currency, desiredValues.iterator().next());
    return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.HISTORICAL_VAR, target.toSpecification(), resultProperties), var));
  }
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Examples of com.opengamma.analytics.financial.var.EmpiricalDistributionVaRParameters

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      throw new OpenGammaRuntimeException("Missing or non-unique horizon name: " + horizonNames);
    }
    if (confidenceLevelNames == null || confidenceLevelNames.isEmpty() || confidenceLevelNames.size() != 1) {
      throw new OpenGammaRuntimeException("Missing or non-unique confidence level name: " + confidenceLevelNames);
    }
    return new EmpiricalDistributionVaRParameters(Double.valueOf(horizonNames.iterator().next()),
        VaRFunctionUtils.getBusinessDaysPerPeriod(scheduleCalculatorNames.iterator().next()), Double.valueOf(confidenceLevelNames.iterator().next()));
  }
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Examples of com.opengamma.analytics.financial.var.EmpiricalDistributionVaRParameters

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    }
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Set<String> scheduleCalculatorNames = desiredValue.getConstraints().getValues(ValuePropertyNames.SCHEDULE_CALCULATOR);
    final Set<String> confidenceLevelNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CONFIDENCE_LEVEL);
    final Set<String> horizonNames = desiredValue.getConstraints().getValues(ValuePropertyNames.HORIZON);
    final EmpiricalDistributionVaRParameters parameters = getParameters(scheduleCalculatorNames, horizonNames, confidenceLevelNames);
    final double var = CALCULATOR.evaluate(parameters, pnlSeries).getVaRValue();
    final ValueProperties resultProperties = getResultProperties(currency, desiredValues.iterator().next());
    return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.CONDITIONAL_HISTORICAL_VAR, target.toSpecification(), resultProperties), var));
  }
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Examples of com.opengamma.analytics.financial.var.EmpiricalDistributionVaRParameters

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      throw new OpenGammaRuntimeException("Missing or non-unique horizon name: " + horizonNames);
    }
    if (confidenceLevelNames == null || confidenceLevelNames.isEmpty() || confidenceLevelNames.size() != 1) {
      throw new OpenGammaRuntimeException("Missing or non-unique confidence level name: " + confidenceLevelNames);
    }
    return new EmpiricalDistributionVaRParameters(Double.valueOf(horizonNames.iterator().next()),
        VaRFunctionUtils.getBusinessDaysPerPeriod(scheduleCalculatorNames.iterator().next()), Double.valueOf(confidenceLevelNames.iterator().next()));
  }
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