/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.pnl;
import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_CURRENCY;
import static com.opengamma.engine.value.ValueRequirementNames.FX_FORWARD_CURVE_RETURN_SERIES;
import static com.opengamma.engine.value.ValueRequirementNames.HISTORICAL_FX_TIME_SERIES;
import static com.opengamma.engine.value.ValueRequirementNames.YIELD_CURVE_RETURN_SERIES;
import java.util.HashSet;
import java.util.LinkedHashMap;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Instant;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.position.Position;
import com.opengamma.core.security.Security;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueProperties.Builder;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.DoubleLabelledMatrix1D;
import com.opengamma.financial.analytics.TenorLabelledLocalDateDoubleTimeSeriesMatrix1D;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveFunction;
import com.opengamma.financial.analytics.model.forex.ConventionBasedFXRateFunction;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.financial.security.fx.FXForwardSecurity;
import com.opengamma.financial.security.fx.NonDeliverableFXForwardSecurity;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.UnorderedCurrencyPair;
/**
* Function that calculates the P&L for an FX forward due to movements in the yield curves used for pricing.
*/
public class FXForwardYieldCurveNodePnLFunction extends AbstractFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(FXForwardYieldCurveNodePnLFunction.class);
/** Temporary property used to set the result currency */
private static final String RESULT_CURRENCY = "ResultCurrency";
@Override
public void init(final FunctionCompilationContext context) {
ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
final CurrencyPairs currencyPairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
return new Compiled(currencyPairs);
}
/**
* Compiled function that calculates the P&L for an FX forward due to movements in the yield curves used for pricing.
*/
protected class Compiled extends AbstractInvokingCompiledFunction {
/** The currency pairs */
private final CurrencyPairs _currencyPairs;
/**
* @param currencyPairs The currency pairs, not null
*/
public Compiled(final CurrencyPairs currencyPairs) {
ArgumentChecker.notNull(currencyPairs, "currency pairs");
_currencyPairs = currencyPairs;
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.POSITION;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getPosition().getSecurity();
return security instanceof FXForwardSecurity || security instanceof NonDeliverableFXForwardSecurity;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ComputationTargetSpecification targetSpec = target.toSpecification();
return ImmutableSet.of(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_PNL_SERIES, targetSpec, ValueProperties.all()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> payCurveNames = constraints.getValues(ValuePropertyNames.PAY_CURVE);
if (payCurveNames == null || payCurveNames.size() != 1) {
return null;
}
final Set<String> payCurveCalculationConfigNames = constraints.getValues(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
if (payCurveCalculationConfigNames == null || payCurveCalculationConfigNames.size() != 1) {
return null;
}
final Set<String> receiveCurveNames = constraints.getValues(ValuePropertyNames.RECEIVE_CURVE);
if (receiveCurveNames == null || receiveCurveNames.size() != 1) {
return null;
}
final Set<String> receiveCurveCalculationConfigNames = constraints.getValues(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
if (receiveCurveCalculationConfigNames == null || receiveCurveCalculationConfigNames.size() != 1) {
return null;
}
final Set<String> curveCurrencies = constraints.getValues(ValuePropertyNames.CURVE_CURRENCY);
if (curveCurrencies == null || curveCurrencies.size() != 1) {
return null;
}
final String payCurveCalculationConfigName = Iterables.getOnlyElement(payCurveCalculationConfigNames);
final String receiveCurveCalculationConfigName = Iterables.getOnlyElement(receiveCurveCalculationConfigNames);
final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
final String payCurveName = Iterables.getOnlyElement(payCurveNames);
final String receiveCurveName = Iterables.getOnlyElement(receiveCurveNames);
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final Currency curveCurrency = Currency.parse(Iterables.getOnlyElement(curveCurrencies));
final String curveName;
final String curveCalculationConfigName;
if (curveCurrency.equals(payCurrency)) {
curveName = payCurveName;
curveCalculationConfigName = payCurveCalculationConfigName;
} else if (curveCurrency.equals(receiveCurrency)) {
curveName = receiveCurveName;
curveCalculationConfigName = receiveCurveCalculationConfigName;
} else {
return null;
}
final Set<String> curveCalculationMethods = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_METHOD);
final String curveCalculationMethod;
if (curveCalculationMethods == null) {
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
} else {
curveCalculationMethod = Iterables.getOnlyElement(curveCalculationMethods);
}
final Set<String> calculationMethods = constraints.getValues(ValuePropertyNames.CALCULATION_METHOD);
final ValueRequirement ycnsRequirement = getYCNSRequirement(payCurveName, payCurveCalculationConfigName, receiveCurveName, receiveCurveCalculationConfigName,
curveCurrency.getCode(), curveName, curveCalculationMethods, calculationMethods, security);
final ValueProperties returnSeriesBaseConstraints = desiredValue.getConstraints().copy()
.withoutAny(ValuePropertyNames.RECEIVE_CURVE)
.withoutAny(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG)
.withoutAny(ValuePropertyNames.PAY_CURVE)
.withoutAny(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG)
.withoutAny(ValuePropertyNames.CURVE_CURRENCY)
.withoutAny(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS)
.withoutAny(ValuePropertyNames.CURVE_CALCULATION_METHOD)
.withoutAny(ValuePropertyNames.CALCULATION_METHOD).get();
final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
final String resultCurrency;
final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency tradeBaseCurrency = baseQuotePair.getBase();
final Currency tradeNonBaseCurrency = baseQuotePair.getCounter();
final Set<ValueRequirement> requirements = new HashSet<>();
if (resultCurrencies != null && resultCurrencies.size() == 1) {
final Currency ccy = Currency.of(Iterables.getOnlyElement(resultCurrencies));
if (!(ccy.equals(payCurrency) || ccy.equals(receiveCurrency))) {
requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(tradeBaseCurrency, ccy)));
resultCurrency = ccy.getCode();
} else if (ccy.equals(tradeNonBaseCurrency)) {
requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(tradeNonBaseCurrency, tradeBaseCurrency)));
resultCurrency = tradeNonBaseCurrency.getCode();
} else {
requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(tradeNonBaseCurrency, tradeBaseCurrency)));
resultCurrency = tradeBaseCurrency.getCode();
}
} else {
resultCurrency = tradeBaseCurrency.getCode();
}
final ValueRequirement returnSeriesRequirement;
if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
final LinkedHashMap<String, String[]> exogenousConfigData = curveCalculationConfig.getExogenousConfigData();
if (exogenousConfigData != null) {
final String underlyingCurveConfigName = Iterables.getOnlyElement(exogenousConfigData.entrySet()).getKey();
final MultiCurveCalculationConfig underlyingCurveConfig = curveCalculationConfigSource.getConfig(underlyingCurveConfigName);
final Currency baseCurrency = Currency.of(underlyingCurveConfig.getTarget().getUniqueId().getValue());
returnSeriesRequirement = getReturnSeriesRequirement(curveName, baseCurrency, curveCurrency, curveCalculationConfigName,
returnSeriesBaseConstraints, resultCurrency);
} else {
returnSeriesRequirement = getReturnSeriesRequirement(curveName, curveCurrency, curveCalculationConfigName, returnSeriesBaseConstraints,
resultCurrency);
}
} else {
returnSeriesRequirement = getReturnSeriesRequirement(curveName, curveCurrency, curveCalculationConfigName, returnSeriesBaseConstraints,
resultCurrency);
}
requirements.add(ycnsRequirement);
requirements.add(returnSeriesRequirement);
return requirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final Builder builder = createValueProperties();
final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(security.getPayCurrency(), security.getReceiveCurrency());
if (currencyPair == null) {
return null;
}
final Currency currencyBase = currencyPair.getBase();
String resultCurrency = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification inputSpec = entry.getKey();
final ValueRequirement inputReq = entry.getValue();
if (inputReq.getValueName().equals(YIELD_CURVE_RETURN_SERIES) || inputReq.getValueName().equals(FX_FORWARD_CURVE_RETURN_SERIES)) {
final Set<String> resultCurrencies = inputReq.getConstraints().getValues(RESULT_CURRENCY);
if (resultCurrencies != null && resultCurrencies.size() == 1) {
resultCurrency = inputReq.getConstraint(RESULT_CURRENCY);
} else {
// should never reach here, but just in case
resultCurrency = currencyBase.getCode();
}
}
for (final String propertyName : inputSpec.getProperties().getProperties()) {
if (ValuePropertyNames.FUNCTION.equals(propertyName)) {
continue;
}
final Set<String> values = inputSpec.getProperties().getValues(propertyName);
if (values == null || values.isEmpty()) {
builder.withAny(propertyName);
} else {
builder.with(propertyName, values);
}
}
}
if (resultCurrency == null) {
return null;
}
builder.with(ValuePropertyNames.CURRENCY, resultCurrency)
.with(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS, ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES);
final ValueProperties properties = builder.get();
final ComputationTargetSpecification targetSpec = target.toSpecification();
return ImmutableSet.of(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_PNL_SERIES, targetSpec, properties));
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final Position position = target.getPosition();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
final FXForwardSecurity security = (FXForwardSecurity) position.getSecurity();
final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D ycReturnSeries = (TenorLabelledLocalDateDoubleTimeSeriesMatrix1D) inputs.getValue(ValueRequirementNames.YIELD_CURVE_RETURN_SERIES);
final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D fcReturnSeries = (TenorLabelledLocalDateDoubleTimeSeriesMatrix1D) inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_RETURN_SERIES);
final DoubleLabelledMatrix1D sensitivities = (DoubleLabelledMatrix1D) inputs.getValue(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES);
final Currency payCurrency = security.getPayCurrency();
final Currency receiveCurrency = security.getReceiveCurrency();
final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final String curveCurrency = desiredValue.getConstraint(CURVE_CURRENCY);
final Currency baseCurrency = currencyPair.getBase();
final ValueProperties resultProperties = desiredValues.iterator().next().getConstraints();
TenorLabelledLocalDateDoubleTimeSeriesMatrix1D returnSeries;
if (ycReturnSeries != null) {
returnSeries = ycReturnSeries;
} else if (fcReturnSeries != null) {
returnSeries = fcReturnSeries;
} else {
throw new OpenGammaRuntimeException("Could not get return series for either yield curve or FX forward curve");
}
if (returnSeries.size() != sensitivities.size()) {
throw new OpenGammaRuntimeException("Yield Curve Node Sensitivities vector of size " + sensitivities.size() + " but return series vector of size " + returnSeries.size());
}
TenorLabelledLocalDateDoubleTimeSeriesMatrix1D pnlSeriesVector;
if (resultCurrencies == null || resultCurrencies.size() != 1) {
s_logger.warn("No Currency property - returns result in base currency");
pnlSeriesVector = getPnLVector(returnSeries, sensitivities);
} else {
final String resultCurrency = Iterables.getOnlyElement(resultCurrencies);
boolean resultEqualsCurveCurrency = resultCurrency.equals(curveCurrency);
final LocalDateDoubleTimeSeries conversionTS = (LocalDateDoubleTimeSeries) inputs.getValue(HISTORICAL_FX_TIME_SERIES);
if (conversionTS == null) {
throw new OpenGammaRuntimeException("Asked for result in " + resultCurrency + " but could not get " + curveCurrency + "/" + resultCurrency + " conversion series");
}
pnlSeriesVector = getPnLVector(returnSeries, conversionTS, sensitivities, resultEqualsCurveCurrency);
}
return ImmutableSet.of(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_PNL_SERIES, target.toSpecification(), resultProperties), pnlSeriesVector));
}
/**
* Gets the yield curve node sensitivities requirement
* @param payCurveName The pay curve name
* @param payCurveCalculationConfigName The pay curve calculation configuration name
* @param receiveCurveName The receive curve name
* @param receiveCurveCalculationConfigName The receive curve calculation configuration name
* @param currencyName The curve currency (i.e. the currency that the sensitivities were calculated in)
* @param curveName The curve name
* @param curveCalculationMethods The curve calculation methods
* @param calculationMethods The sensitivities calculation methods
* @param security The security
* @return The requirement
*/
private ValueRequirement getYCNSRequirement(final String payCurveName, final String payCurveCalculationConfigName, final String receiveCurveName,
final String receiveCurveCalculationConfigName, final String currencyName, final String curveName, final Set<String> curveCalculationMethods,
final Set<String> calculationMethods, final Security security) {
final ValueProperties.Builder properties = ValueProperties.builder()
.with(ValuePropertyNames.PAY_CURVE, payCurveName)
.with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, payCurveCalculationConfigName)
.with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveName)
.with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, receiveCurveCalculationConfigName)
.with(ValuePropertyNames.CURRENCY, currencyName)
.with(ValuePropertyNames.CURVE_CURRENCY, currencyName)
.with(ValuePropertyNames.CURVE, curveName);
if (curveCalculationMethods != null) {
properties.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethods);
}
if (calculationMethods != null) {
properties.with(ValuePropertyNames.CALCULATION_METHOD, calculationMethods);
}
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, ComputationTargetType.SECURITY, security.getUniqueId(), properties.get());
}
/**
* Gets the requirement for the return series of a yield curve that is not FX-implied and adds an
* optional property for the result currency.
* @param curveName The curve name
* @param curveCurrency The curve currency
* @param curveCalculationConfigName The curve calculation configuration name
* @param baseConstraints The base constraints of the results
* @param resultCurrency The result currency
* @return The requirement
*/
private ValueRequirement getReturnSeriesRequirement(final String curveName, final Currency curveCurrency, final String curveCalculationConfigName, final ValueProperties baseConstraints,
final String resultCurrency) {
final ComputationTargetSpecification targetSpec = ComputationTargetType.CURRENCY.specification(curveCurrency);
final ValueProperties constraints = baseConstraints.copy()
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.withoutAny(CURRENCY)
.with(CURRENCY, curveCurrency.getCode())
.with(RESULT_CURRENCY, resultCurrency)
.withOptional(RESULT_CURRENCY)
.get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_RETURN_SERIES, targetSpec, constraints);
}
/**
* Gets the requirement for the return series of a yield curve that is FX-implied and adds an
* optional property for the result currency.
* @param curveName The curve name
* @param payCurrency The pay currency
* @param receiveCurrency The receive currency
* @param curveCalculationConfigName The curve calculation configuration name
* @param baseConstraints The base constraints of the results
* @param resultCurrency The result currency
* @return The requirement
*/
private ValueRequirement getReturnSeriesRequirement(final String curveName, final Currency payCurrency, final Currency receiveCurrency, final String curveCalculationConfigName,
final ValueProperties baseConstraints, final String resultCurrency) {
final ComputationTargetSpecification targetSpec = ComputationTargetType.UNORDERED_CURRENCY_PAIR.specification(UnorderedCurrencyPair.of(payCurrency, receiveCurrency));
final ValueProperties constraints = baseConstraints.copy()
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.withoutAny(CURRENCY)
.with(RESULT_CURRENCY, resultCurrency)
.withOptional(RESULT_CURRENCY)
.get();
return new ValueRequirement(ValueRequirementNames.FX_FORWARD_CURVE_RETURN_SERIES, targetSpec, constraints);
}
/**
* Calculates the P&L vector without currency conversion.
* @param returnSeries The return series for the nodes in a curve
* @param sensitivities The sensitivities to the curve
* @return The P&L vector for each curve node tenor
*/
private TenorLabelledLocalDateDoubleTimeSeriesMatrix1D getPnLVector(final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D returnSeries, final DoubleLabelledMatrix1D sensitivities) {
final int size = returnSeries.size();
final LocalDateDoubleTimeSeries[] nodesPnlSeries = new LocalDateDoubleTimeSeries[size];
for (int i = 0; i < size; i++) {
final LocalDateDoubleTimeSeries nodePnlSeries = returnSeries.getValues()[i].multiply(sensitivities.getValues()[i]);
nodesPnlSeries[i] = nodePnlSeries;
}
return new TenorLabelledLocalDateDoubleTimeSeriesMatrix1D(returnSeries.getKeys(), returnSeries.getLabels(), nodesPnlSeries);
}
/**
* Calculates the P&L vector with currency conversion.
* @param returnSeries The return series for the nodes in a curve
* @param conversionSeries The FX conversion series
* @param sensitivities The sensitivities to the curve
* @return The P&L vector for each curve node tenor converted into the desired currency
*/
private TenorLabelledLocalDateDoubleTimeSeriesMatrix1D getPnLVector(final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D returnSeries, final LocalDateDoubleTimeSeries conversionSeries,
final DoubleLabelledMatrix1D sensitivities, final boolean resultCurveCurrency) {
final int size = returnSeries.size();
final LocalDateDoubleTimeSeries[] nodesPnlSeries = new LocalDateDoubleTimeSeries[size];
for (int i = 0; i < size; i++) {
if (resultCurveCurrency) {
final LocalDateDoubleTimeSeries nodePnlSeries = returnSeries.getValues()[i].multiply(sensitivities.getValues()[i]);
nodesPnlSeries[i] = nodePnlSeries;
} else {
final LocalDateDoubleTimeSeries convertedSeries = conversionSeries.reciprocal().multiply(sensitivities.getValues()[i]);
final LocalDateDoubleTimeSeries nodePnlSeries = returnSeries.getValues()[i].multiply(convertedSeries);
nodesPnlSeries[i] = nodePnlSeries;
}
}
return new TenorLabelledLocalDateDoubleTimeSeriesMatrix1D(returnSeries.getKeys(), returnSeries.getLabels(), nodesPnlSeries);
}
}
}