Examples of TimeSeriesReturnCalculator

Examples of com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculator

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    final Map<UnderlyingType, DoubleTimeSeries<?>> tsReturns = new HashMap<UnderlyingType, DoubleTimeSeries<?>>();
    final Period samplingPeriod = getSamplingPeriod(samplingPeriodName);
    final LocalDate startDate = now.minus(samplingPeriod);
    final Schedule scheduleCalculator = getScheduleCalculator(scheduleCalculatorName);
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(samplingFunctionName);
    final TimeSeriesReturnCalculator returnCalculator = getTimeSeriesReturnCalculator(returnCalculatorName);
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    final LocalDateDoubleTimeSeries sampledTS = samplingFunction.getSampledTimeSeries(timeSeries.getTimeSeries(), schedule);
    for (final UnderlyingType underlyingType : valueGreek.getUnderlyingGreek().getUnderlying().getUnderlyings()) {
      if (underlyingType != UnderlyingType.SPOT_PRICE) {
        throw new OpenGammaRuntimeException("Have hard-coded to only use delta; should not have anything with " + underlyingType + " as the underlying type");
      }
      tsReturns.put(underlyingType, returnCalculator.evaluate(sampledTS));
    }
    dataBundleArray[0] = new SensitivityAndReturnDataBundle(sensitivity, value, tsReturns);
    final DoubleTimeSeries<?> result = PNL_CALCULATOR.evaluate(dataBundleArray);
    // Please see http://jira.opengamma.com/browse/PLAT-2330 for information about the PROPERTY_PNL_CONTRIBUTIONS constant
    final ValueProperties properties = createValueProperties()
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Examples of com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculator

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    final Object priceSeriesObj = inputs.getValue(ValueRequirementNames.PRICE_SERIES);
    if (priceSeriesObj == null) {
      throw new OpenGammaRuntimeException("Asset price series was null");
    }
    final Set<String> returnCalculatorNames = desiredValue.getConstraints().getValues(ValuePropertyNames.RETURN_CALCULATOR);
    final TimeSeriesReturnCalculator returnCalculator = getTimeSeriesReturnCalculator(returnCalculatorNames);
    final LocalDateDoubleTimeSeries returnSeries = (LocalDateDoubleTimeSeries) returnCalculator.evaluate((LocalDateDoubleTimeSeries) priceSeriesObj);
    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), desiredValue.getConstraints());
    //final Object result = returnSeries.multiply(fairValue);
    final Object result = returnSeries.multiply(fairValue).multiply(target.getPosition().getQuantity().doubleValue());
    return Collections.singleton(new ComputedValue(resultSpec, result));
  }
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Examples of com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculator

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    }
    final double beta = (Double) betaObject;
    final double fairValue = (Double) assetFairValueObject;
    DoubleTimeSeries<?> assetReturnTS = ((DoubleTimeSeries<?>) assetPnLObject).divide(fairValue);
    DoubleTimeSeries<?> riskFreeReturnTS = riskFreeRateTS.getTimeSeries().divide(100 * DAYS_PER_YEAR);
    final TimeSeriesReturnCalculator returnCalculator = getReturnCalculator(constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR));
    DoubleTimeSeries<?> marketReturnTS = returnCalculator.evaluate(marketTS.getTimeSeries());
    final DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(assetReturnTS, riskFreeReturnTS, marketReturnTS);
    assetReturnTS = series[0];
    riskFreeReturnTS = series[1];
    marketReturnTS = series[2];
    final JensenAlphaCalculator calculator = getCalculator(constraints.getValues(ValuePropertyNames.EXCESS_RETURN_CALCULATOR));
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Examples of com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculator

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    if (assetFairValueObject == null) {
      throw new OpenGammaRuntimeException("Asset fair value was null");
    }
    final double fairValue = (Double) assetFairValueObject;
    DoubleTimeSeries<?> assetReturnTS = ((DoubleTimeSeries<?>) assetPnLObject).divide(fairValue);
    final TimeSeriesReturnCalculator returnCalculator = getReturnCalculator(constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR));
    DoubleTimeSeries<?> marketReturnTS = returnCalculator.evaluate(marketTSObject.getTimeSeries());
    DoubleTimeSeries<?> riskFreeReturnTS = ((DoubleTimeSeries<?>) riskFreeTSObject.getTimeSeries()).divide(DAYS_PER_YEAR * 100);
    DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(assetReturnTS, marketReturnTS, riskFreeReturnTS);
    assetReturnTS = series[0];
    marketReturnTS = series[1];
    riskFreeReturnTS = series[2];
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Examples of com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculator

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    if (assetFairValueObject == null) {
      throw new OpenGammaRuntimeException("Asset fair value was null");
    }
    final double fairValue = (Double) assetFairValueObject;
    DoubleTimeSeries<?> assetReturnTS = ((DoubleTimeSeries<?>) assetPnLObject).divide(fairValue);
    final TimeSeriesReturnCalculator returnCalculator = getReturnCalculator(constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR));
    DoubleTimeSeries<?> benchmarkReturnTS = returnCalculator.evaluate(benchmarkTSObject.getTimeSeries());
    DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(assetReturnTS, benchmarkReturnTS);
    assetReturnTS = series[0];
    benchmarkReturnTS = series[1];
    final SharpeRatioCalculator calculator = getCalculator(constraints.getValues(ValuePropertyNames.EXCESS_RETURN_CALCULATOR),
        constraints.getValues(ValuePropertyNames.STD_DEV_CALCULATOR));
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Examples of com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculator

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    final ValueProperties resultProperties = getResultProperties(desiredValue);
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeries marketTSObject = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
    final DoubleTimeSeries<?> assetPnL = (DoubleTimeSeries<?>) inputs.getValue(ValueRequirementNames.PNL_SERIES);
    final double fairValue = (Double) inputs.getValue(ValueRequirementNames.FAIR_VALUE);
    final TimeSeriesReturnCalculator returnCalculator = getReturnCalculator(constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR));
    DoubleTimeSeries<?> marketReturn = returnCalculator.evaluate(marketTSObject.getTimeSeries());
    DoubleTimeSeries<?> assetReturn = assetPnL.divide(fairValue);
    DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(assetReturn, marketReturn);
    assetReturn = series[0];
    marketReturn = series[1];
    final CAPMBetaCalculator calculator = getBetaCalculator(constraints.getValues(ValuePropertyNames.COVARIANCE_CALCULATOR),
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Examples of com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculator

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    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM")); //TODO
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeries marketTimeSeries = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMMarket());
    final HistoricalTimeSeries riskFreeTimeSeries = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMRiskFreeRate());
    final TimeSeriesReturnCalculator returnCalculator = getReturnCalculator(constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR));
    DoubleTimeSeries<?> marketReturn = returnCalculator.evaluate(marketTimeSeries.getTimeSeries());
    final DoubleTimeSeries<?> riskFreeTS = riskFreeTimeSeries.getTimeSeries().divide(100 * DAYS_IN_YEAR);
    marketReturn = marketReturn.subtract(riskFreeTS);
    DoubleTimeSeries<?> assetReturn = assetPnL.divide(assetFairValue);
    assetReturn = assetReturn.subtract(riskFreeTS);
    assetReturn = assetReturn.intersectionFirstValue(marketReturn);
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