Examples of FuturePriceCurveSpecification

Examples of com.opengamma.financial.analytics.volatility.surface.FuturePriceCurveSpecification

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        _knownCurveDefNames.add(name);
      }
    }

    private void createFuturePriceCurveSpecification(final UniqueIdentifiable target, final String name, final FuturePriceCurveInstrumentProvider<?> curveInstrumentProvider) {
      final FuturePriceCurveSpecification priceCurveSpec = new FuturePriceCurveSpecification(name, target, curveInstrumentProvider);
      final ConfigItem<FuturePriceCurveSpecification> volSpecConfig = ConfigItem.of(priceCurveSpec, priceCurveSpec.getName(), FuturePriceCurveSpecification.class);
      if (!_dryRun) {
        ConfigMasterUtils.storeByName(_configMaster, volSpecConfig);
      }
      _knownCurveSpecNames.add(name);
    }
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Examples of com.opengamma.financial.analytics.volatility.surface.FuturePriceCurveSpecification

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            curveDefinitionName);
        if (priceCurveDefinition == null) {
          s_logger.error("Price curve definition for target {} with curve name {} and instrument type {} was null", new Object[] {target, curveDefinitionName, getInstrumentType()});
          return null;
        }
        final FuturePriceCurveSpecification priceCurveSpecification = getCurveSpecification(curveSpecificationSource, target,
            curveSpecificationName);
        if (priceCurveSpecification == null) {
          s_logger.error("Price curve specification for target {} with curve name {} and instrument type {} was null", new Object[] {target, curveSpecificationName, getInstrumentType()});
          return null;
        }
        final Set<ValueRequirement> requirements = Collections.unmodifiableSet(buildRequirements(priceCurveSpecification, priceCurveDefinition, atZDT));
        return requirements;
      }

      @Override
      public boolean canHandleMissingInputs() {
        return true;
      }

      @Override
      public boolean canHandleMissingRequirements() {
        return true;
      }

      @SuppressWarnings({ "synthetic-access" })
      @Override
      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
          final Set<ValueRequirement> desiredValues) {
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
        final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
        final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);
        //TODO use separate definition and specification names?
        final String curveDefinitionName = curveName;
        final String curveSpecificationName = curveName;
        final FuturePriceCurveDefinition<Object> priceCurveDefinition = getCurveDefinition(curveDefinitionSource, target, curveDefinitionName);
        final FuturePriceCurveSpecification priceCurveSpecification = getCurveSpecification(curveSpecificationSource, target, curveSpecificationName);
        final Clock snapshotClock = executionContext.getValuationClock();
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final DoubleArrayList xList = new DoubleArrayList();
        final DoubleArrayList prices = new DoubleArrayList();
        final FuturePriceCurveInstrumentProvider<Number> futurePriceCurveProvider = (FuturePriceCurveInstrumentProvider<Number>) priceCurveSpecification.getCurveInstrumentProvider();
        final ExchangeTradedInstrumentExpiryCalculator expiryCalc = futurePriceCurveProvider.getExpiryRuleCalculator();
        final LocalDate valDate = now.toLocalDate();
        if (inputs.getAllValues().isEmpty()) {
          throw new OpenGammaRuntimeException("Could not get any data for future price curve called " + curveSpecificationName);
        }
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Examples of com.opengamma.financial.analytics.volatility.surface.FuturePriceCurveSpecification

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            curveDefinitionName);
        if (priceCurveDefinition == null) {
          s_logger.error("Price curve definition for target {} with curve name {} and instrument type {} was null", new Object[] {target, curveDefinitionName, getInstrumentType()});
          return null;
        }
        final FuturePriceCurveSpecification priceCurveSpecification = getCurveSpecification(curveSpecificationSource, target,
            curveSpecificationName);
        if (priceCurveSpecification == null) {
          s_logger.error("Price curve specification for target {} with curve name {} and instrument type {} was null", new Object[] {target, curveSpecificationName, getInstrumentType()});
          return null;
        }
        final Set<ValueRequirement> requirements = Collections.unmodifiableSet(buildRequirements(priceCurveSpecification, priceCurveDefinition, atZDT));
        return requirements;
      }

      @Override
      public boolean canHandleMissingInputs() {
        return true;
      }

      @Override
      public boolean canHandleMissingRequirements() {
        return true;
      }

      @SuppressWarnings({"synthetic-access" })
      @Override
      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
          final Set<ValueRequirement> desiredValues) {
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
        final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
        final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency);
        //TODO use separate definition and specification names?
        final String curveDefinitionName = curveName;
        final String curveSpecificationName = curveName;
        final FuturePriceCurveDefinition<Object> priceCurveDefinition = getCurveDefinition(curveDefinitionSource, target, curveDefinitionName);
        final FuturePriceCurveSpecification priceCurveSpecification = getCurveSpecification(curveSpecificationSource, target, curveSpecificationName);
        final Clock snapshotClock = executionContext.getValuationClock();
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final DoubleArrayList xList = new DoubleArrayList();
        final DoubleArrayList prices = new DoubleArrayList();
        final FuturePriceCurveInstrumentProvider<Number> futurePriceCurveProvider = (FuturePriceCurveInstrumentProvider<Number>) priceCurveSpecification.getCurveInstrumentProvider();
        final ExchangeTradedInstrumentExpiryCalculator expiryCalc = futurePriceCurveProvider.getExpiryRuleCalculator();
        final LocalDate valDate = now.toLocalDate();
        if (inputs.getAllValues().isEmpty()) {
          throw new OpenGammaRuntimeException("Could not get any data for future price curve called " + curveSpecificationName);
        }
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Examples of com.opengamma.financial.analytics.volatility.surface.FuturePriceCurveSpecification

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  private static final FuturePriceCurveInstrumentProvider<?> PROVIDER = new BloombergIRFuturePriceCurveInstrumentProvider("ED", "Comdty",
      MarketDataRequirementNames.MARKET_VALUE,"BLOOMBERG_TICKER_WEAK");

  @Test
  public void testCycle() {
    final FuturePriceCurveSpecification specification = new FuturePriceCurveSpecification(NAME, UID, PROVIDER);
    assertEquals(specification, cycleObject(FuturePriceCurveSpecification.class, specification));
  }
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Examples of com.opengamma.financial.analytics.volatility.surface.FuturePriceCurveSpecification

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    final UniqueIdentifiable target = deserializer.fieldValueToObject(UniqueIdentifiable.class, message.getByName("target"));
    final String name = message.getString("name");
    final FudgeField field = message.getByName("curveInstrumentProvider");
    Object providerObject = deserializer.fieldValueToObject(field);
    final FuturePriceCurveInstrumentProvider<?> curveInstrumentProvider = (FuturePriceCurveInstrumentProvider<?>) deserializer.fieldValueToObject(field);
    return new FuturePriceCurveSpecification(name, target, curveInstrumentProvider);
  }
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