Package com.opengamma.timeseries.date.localdate

Examples of com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries.subSeries()

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      }
      final LocalDateDoubleTimeSeries nodeTimeSeries = samplingFunction.getSampledTimeSeries(dbNodeTimeSeries.getTimeSeries(), schedule);
      LocalDateDoubleTimeSeries returnSeries = getReturnSeries(nodeTimeSeries, desiredValue);

      // Clip the time-series to the range originally asked for
      returnSeries = returnSeries.subSeries(startDate, includeStart, returnSeries.getLatestTime(), true);

      returnSeriesArray[t] = returnSeries;
    }
    return new TenorLabelledLocalDateDoubleTimeSeriesMatrix1D(tenors, returnSeriesArray);
  }
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    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);
    }
    return weightedPnlSeries;
  }
 
}
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      }
    }
    if (start.isAfter(timeSeries.getLatestTime()) || end.isBefore(timeSeries.getEarliestTime())) {
      return new SimpleHistoricalTimeSeries(hts.getUniqueId(), ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES);
    }
    timeSeries = timeSeries.subSeries(start, true, end, true);
    if (((maxPoints != null) && (Math.abs(maxPoints) < timeSeries.size()))) {
      timeSeries = maxPoints >= 0 ? timeSeries.head(maxPoints) : timeSeries.tail(-maxPoints);
    }
    return new SimpleHistoricalTimeSeries(hts.getUniqueId(), timeSeries);
  }
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      }
    }
    if (start.isAfter(timeSeries.getLatestTime()) || end.isBefore(timeSeries.getEarliestTime())) {
      return new SimpleHistoricalTimeSeries(hts.getUniqueId(), ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES);
    }
    timeSeries = timeSeries.subSeries(start, true, end, true);
    if (((maxPoints != null) && (Math.abs(maxPoints) < timeSeries.size()))) {
      timeSeries = maxPoints >= 0 ? timeSeries.head(maxPoints) : timeSeries.tail(-maxPoints);
    }
    return new SimpleHistoricalTimeSeries(hts.getUniqueId(), timeSeries);
  }
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          // update existing
          HistoricalTimeSeriesInfoDocument doc = searchResult.getDocuments().get(0);
          HistoricalTimeSeries existingSeries = _htsMaster.getTimeSeries(doc.getInfo().getTimeSeriesObjectId(), VersionCorrection.LATEST, HistoricalTimeSeriesGetFilter.ofLatestPoint());
          if (existingSeries.getTimeSeries().size() > 0) {
            LocalDate latestTime = existingSeries.getTimeSeries().getLatestTime();
            timeSeries = timeSeries.subSeries(latestTime, false, timeSeries.getLatestTime(), true);
          }
          UniqueId uniqueId = existingSeries.getUniqueId();
          if (timeSeries.size() > 0) {
            uniqueId = _htsMaster.updateTimeSeriesDataPoints(doc.getInfo().getTimeSeriesObjectId(), timeSeries);
          }
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      }
      s_logger.info("Got {} new points for series {} {}", new Object[] {timeSeries.size(), dataField, identifierTS.getKey()});
     
      LocalDate latestTime = timeSeries.getLatestTime();
      LocalDate startDate = (_startDate != null ? _startDate : DEFAULT_START_DATE);
      timeSeries = timeSeries.subSeries(startDate, true, latestTime, true);
      if (timeSeries != null && timeSeries.isEmpty() == false) {
        // metaDataKeyMap holds the object id of the series to be updated
        ExternalIdBundle idBundle = identifierTS.getKey();
        MetaDataKey metaDataKey = new MetaDataKey(idBundle, dataProvider, dataField);
        ObjectId oid = metaDataKeyMap.get(metaDataKey);
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    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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    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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    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);

    return ImmutableSet.of(new ComputedValue(new ValueSpecification(ValueRequirementNames.RETURN_SERIES, target.toSpecification(), desiredValue.getConstraints()), returnSeries));
  }

  /**
 
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      if (sensitivityToRate) {
        returnSeries = returnSeries.multiply(-1);
      }

      // Clip the time-series to the range originally asked for
      returnSeries = returnSeries.subSeries(startDate, includeStart, returnSeries.getLatestTime(), true);

      returnSeriesArray[t] = returnSeries;
    }
    return new TenorLabelledLocalDateDoubleTimeSeriesMatrix1D(tenors, returnSeriesArray);
  }
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