Examples of TimeSeriesSamplingFunction

Examples of com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunction

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    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final Set<String> yieldCurveNames = constraints.getValues(ValuePropertyNames.CURVE);
    final Period samplingPeriod = getSamplingPeriod(desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD));
    final LocalDate startDate = now.minus(samplingPeriod);
    final Schedule scheduleCalculator = getScheduleCalculator(desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR));
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION));
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    DoubleTimeSeries<?> result = null;
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    DoubleTimeSeries<?> fxSeries = null;
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Examples of com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunction

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    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final Period samplingPeriod = getSamplingPeriod(constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD));
    final LocalDate startDate = now.minus(samplingPeriod);
    final Schedule scheduleCalculator = getScheduleCalculator(constraints.getValues(ValuePropertyNames.SCHEDULE_CALCULATOR));
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(constraints.getValues(ValuePropertyNames.SAMPLING_FUNCTION));
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    DoubleTimeSeries<?> result = getPnLSeries(security, secSource, timeSeries, inputs, startDate, now, schedule, samplingFunction);
    result = result.multiply(position.getQuantity().doubleValue());
    final ValueProperties resultProperties = getResultProperties(desiredValue, currencyString);
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Examples of com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunction

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    final LocalDate returnSeriesStart = DateConstraint.evaluate(context, desiredValue.getConstraint(START_DATE_PROPERTY));
    final LocalDate returnSeriesEnd = DateConstraint.evaluate(context, desiredValue.getConstraint(END_DATE_PROPERTY));
    final String scheduleCalculatorName = desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR);
    final String samplingFunctionName = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
    final Schedule scheduleCalculator = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculatorName);
    final TimeSeriesSamplingFunction samplingFunction = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunctionName);
    final LocalDate[] dates = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(returnSeriesStart, returnSeriesEnd, true, false), WEEKEND_CALENDAR);
    final LocalDateDoubleTimeSeries sampledTimeSeries = samplingFunction.getSampledTimeSeries(ts, dates);
    final LocalDateDoubleTimeSeries returnSeries = (LocalDateDoubleTimeSeries) DIFFERENCE.evaluate(sampledTimeSeries);
    // Clip the time-series to the range originally asked for
    return returnSeries.subSeries(returnSeriesStart, includeStart, returnSeries.getLatestTime(), true);
  }
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Examples of com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunction

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    }
    if (ts.isEmpty()) {
      throw new OpenGammaRuntimeException("Empty price series for security " + security);
    }
    final Schedule scheduleCalculator = getScheduleCalculator(scheduleCalculatorName);
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(samplingFunctionName);
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    final LocalDateDoubleTimeSeries resultTS = samplingFunction.getSampledTimeSeries(ts, schedule);
    final ValueProperties resultProperties = createValueProperties()
        .with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriodName)
        .with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorName)
        .with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName)
        .with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode()).get();
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Examples of com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunction

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    final LocalDate returnSeriesStart = DateConstraint.evaluate(context, desiredValue.getConstraint(START_DATE_PROPERTY));
    final LocalDate returnSeriesEnd = DateConstraint.evaluate(context, desiredValue.getConstraint(END_DATE_PROPERTY));
    final String scheduleCalculatorName = desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR);
    final String samplingFunctionName = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
    final Schedule scheduleCalculator = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculatorName);
    final TimeSeriesSamplingFunction samplingFunction = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunctionName);
    final LocalDate[] dates = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(returnSeriesStart, returnSeriesEnd, true, false), WEEKEND_CALENDAR);
    final LocalDateDoubleTimeSeries sampledTimeSeries = samplingFunction.getSampledTimeSeries(ts, dates);
    final LocalDateDoubleTimeSeries returnSeries = (LocalDateDoubleTimeSeries) DIFFERENCE.evaluate(sampledTimeSeries);
    // Clip the time-series to the range originally asked for
    return returnSeries.subSeries(returnSeriesStart, includeStart, returnSeries.getLatestTime(), true);
  }
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Examples of com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunction

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    }
    final LocalDate returnSeriesEnd = DateConstraint.evaluate(executionContext, getReturnSeriesEnd(desiredValue.getConstraints()));
    final String scheduleCalculatorName = desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR);
    final String samplingFunctionName = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
    final Schedule scheduleCalculator = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculatorName);
    final TimeSeriesSamplingFunction samplingFunction = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunctionName);
    final LocalDate[] dates = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(spotSeriesStart, returnSeriesEnd, true, false), WEEKEND_CALENDAR);
    LocalDateDoubleTimeSeries sampledTimeSeries = samplingFunction.getSampledTimeSeries(timeSeries, dates);
    sampledTimeSeries = sampledTimeSeries.reciprocal(); // Implementation note: to obtain the series for one unit of non-base currency expressed in base currency.
    LocalDateDoubleTimeSeries returnSeries = getReturnSeries(sampledTimeSeries, desiredValue);

    // Clip the time-series to the range originally asked for
    returnSeries = returnSeries.subSeries(returnSeriesStart, includeStart, returnSeries.getLatestTime(), true);
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Examples of com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunction

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    }
    final LocalDate returnSeriesEnd = DateConstraint.evaluate(executionContext, getReturnSeriesEnd(desiredValue.getConstraints()));
    final String scheduleCalculatorName = desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR);
    final Schedule scheduleCalculator = getScheduleCalculator(scheduleCalculatorName);
    final String samplingFunctionName = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(samplingFunctionName);

    //REVIEW emcleod should "fromEnd" be hard-coded?
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(tsStart, returnSeriesEnd, true, false), WEEKEND_CALENDAR);

    final ComputedValue bundleValue = inputs.getComputedValue(ValueRequirementNames.YIELD_CURVE_HISTORICAL_TIME_SERIES);
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