Package com.opengamma.analytics.financial.timeseries.util

Examples of com.opengamma.analytics.financial.timeseries.util.TimeSeriesWeightedVolatilityOperator.evaluate()

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  @Override
  protected DateDoubleTimeSeries<?> calculatePnlSeries(LocalDateDoubleTimeSeries priceSeries, FunctionExecutionContext executionContext, ValueRequirement desiredValue) {
    double lambda = Double.parseDouble(desiredValue.getConstraint(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
    TimeSeriesWeightedVolatilityOperator weightedVolatilityOperator = new TimeSeriesWeightedVolatilityOperator(lambda);
    DateDoubleTimeSeries<?> weightedVolatilitySeries = weightedVolatilityOperator.evaluate(priceSeries);
    LocalDateDoubleTimeSeries weightedPnlSeries = (LocalDateDoubleTimeSeries) RELATIVE_WEIGHTED_DIFFERENCE.evaluate(priceSeries, weightedVolatilitySeries);
    LocalDate pnlSeriesStart = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY));
    if (pnlSeriesStart.isAfter(weightedPnlSeries.getEarliestTime())) {
      weightedPnlSeries = weightedPnlSeries.subSeries(pnlSeriesStart, true, weightedPnlSeries.getLatestTime(), true);
    }
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  @Override
  protected LocalDateDoubleTimeSeries getReturnSeries(final LocalDateDoubleTimeSeries spotSeries, final ValueRequirement desiredValue) {
    final double lambda = Double.parseDouble(desiredValue.getConstraint(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
    final TimeSeriesWeightedVolatilityOperator weightedVolOp = new TimeSeriesWeightedVolatilityOperator(lambda);
    final LocalDateDoubleTimeSeries weightedVolSeries = (LocalDateDoubleTimeSeries) weightedVolOp.evaluate(spotSeries);
    return (LocalDateDoubleTimeSeries) RELATIVE_WEIGHTED_DIFFERENCE.evaluate(spotSeries, weightedVolSeries);
  }

}
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  @Override
  protected LocalDateDoubleTimeSeries getReturnSeries(LocalDateDoubleTimeSeries ts, ValueRequirement desiredValue) {
    LocalDateDoubleTimeSeries differenceSeries = super.getReturnSeries(ts, desiredValue);
    double lambda = Double.parseDouble(desiredValue.getConstraint(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
    TimeSeriesWeightedVolatilityOperator weightedVol = new TimeSeriesWeightedVolatilityOperator(lambda);
    LocalDateDoubleTimeSeries weightedVolSeries = (LocalDateDoubleTimeSeries) weightedVol.evaluate(ts);
    int n = weightedVolSeries.size();
    double endDateWeightedVol = weightedVolSeries.getLatestValueFast();
    double[] volWeightedDifferences = new double[n];
    for (int i = 0; i < n; i++) {
      System.out.println(differenceSeries.getTimeAtIndex(i) + "," + differenceSeries.getValueAtIndexFast(i) + "," + weightedVolSeries.getValueAtIndexFast(i));
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  @Override
  protected LocalDateDoubleTimeSeries getReturnSeries(LocalDateDoubleTimeSeries ts, ValueRequirement desiredValue) {
    double lambda = Double.parseDouble(desiredValue.getConstraint(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
    TimeSeriesWeightedVolatilityOperator weightedVolOp = new TimeSeriesWeightedVolatilityOperator(lambda);
    LocalDateDoubleTimeSeries weightedVolSeries = (LocalDateDoubleTimeSeries) weightedVolOp.evaluate(ts);
    return (LocalDateDoubleTimeSeries) RELATIVE_WEIGHTED_DIFFERENCE.evaluate(ts, weightedVolSeries);
  }
 
}
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