Package com.opengamma.financial.analytics.ircurve.calcconfig

Examples of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

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    if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
      return null;
    }
    final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
      return null;
    }
    final Currency currency = FinancialSecurityUtils.getCurrency(target.getSecurity());
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    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final int length = curveNames.length;
    final String[] fullCurveNames = new String[length];
    for (int i = 0; i < length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final InstrumentDerivative derivative = InterestRateInstrumentFunction.getDerivative(security, now, timeSeries, fullCurveNames, definition, getConverter());
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final YieldCurveBundle fixedCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final ValueProperties properties = createValueProperties(target, curveName, curveCalculationConfigName).get();
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirement(), target.toSpecification(), properties);
    final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    if (jacobianObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    }
    final double[][] array = FunctionUtils.decodeJacobian(jacobianObject);
    final DoubleMatrix2D jacobian = new DoubleMatrix2D(array);
    DoubleMatrix1D sensitivities;
    if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
      final Object couponSensitivitiesObject = inputs.getValue(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
      if (couponSensitivitiesObject == null) {
        throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
      }
      final DoubleMatrix1D couponSensitivity = new DoubleMatrix1D(FunctionUtils.decodeCouponSensitivities(couponSensitivitiesObject));
      sensitivities = CALCULATOR.calculateFromPresentValue(derivative, fixedCurves, curves, couponSensitivity, jacobian, NSC);
    } else {
      sensitivities = CALCULATOR.calculateFromParRate(derivative, fixedCurves, curves, jacobian, NSC);
    }
    if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      final Currency domesticCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfig.getTarget().getUniqueId());
      final Currency foreignCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfigSource.getConfig(curveCalculationConfig.getExogenousConfigData().keySet().iterator().next())
          .getTarget().getUniqueId());
      return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(sensitivities, domesticCurrency, foreignCurrency, fullCurveNames, curves, configSource, localNow, resultSpec);
    }
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName, curveCalculationMethod);
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
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      s_logger.info("Must specify a single curve name; have {}", requestedCurveNames);
      return null;
    }
    final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.info("Could not find curve calculation configuration named " + curveCalculationConfigName);
      return null;
    }
    if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
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    if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
      return null;
    }
    final String curveCalculationConfigName = Iterables.getOnlyElement(curveCalculationConfigNames);
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.error("Could not find curve calculation configuration named {}", curveCalculationConfigName);
      return null;
    }
    if (!curveCalculationConfig.getCalculationMethod().equals(getCalculationMethod())) {
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    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final int length = curveNames.length;
    final String[] fullCurveNames = new String[length];
    for (int i = 0; i < length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final InstrumentDerivative derivative = InterestRateInstrumentFunction.getDerivative(security, now, timeSeries, fullCurveNames, definition, getConverter());
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final YieldCurveBundle fixedCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final ValueProperties properties = createValueProperties(target, curveName, curveCalculationConfigName).get();
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirement(), target.toSpecification(), properties);
    final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    if (jacobianObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    }
    final double[][] array = FunctionUtils.decodeJacobian(jacobianObject);
    final DoubleMatrix2D jacobian = new DoubleMatrix2D(array);
    final DoubleMatrix1D sensitivities;
    if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
      final Object couponSensitivitiesObject = inputs.getValue(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
      if (couponSensitivitiesObject == null) {
        throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
      }
      final DoubleMatrix1D couponSensitivity = new DoubleMatrix1D(FunctionUtils.decodeCouponSensitivities(couponSensitivitiesObject));
      sensitivities = CALCULATOR.calculateFromPresentValue(derivative, fixedCurves, curves, couponSensitivity, jacobian, NSC);
    } else {
      sensitivities = CALCULATOR.calculateFromParRate(derivative, fixedCurves, curves, jacobian, NSC);
    }
    final double quantity = trade.getQuantity().doubleValue();
    final DoubleMatrix1D scaledSensitivities = (DoubleMatrix1D) MatrixAlgebraFactory.OG_ALGEBRA.scale(sensitivities, quantity);
    if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      final Currency domesticCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfig.getTarget().getUniqueId());
      final Currency foreignCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfigSource.getConfig(curveCalculationConfig.getExogenousConfigData().keySet().iterator().next())
          .getTarget().getUniqueId());
      return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(scaledSensitivities, domesticCurrency, foreignCurrency, fullCurveNames, curves, configSource, localNow,
          resultSpec);
    }
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName, curveCalculationMethod);
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      s_logger.error("Must specify a single curve name; have {}", requestedCurveNames);
      return null;
    }
    final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
      return null;
    }
    if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
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    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    // To enable standard and midcurve options to share the same default name
    final String surfaceNameWithPrefix = surfaceName + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final String[] fullCurveNames = new String[curveNames.length];
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    if (surfaceNames == null || surfaceNames.size() != 1) {
      return null;
    }
    final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.info("Could not find curve calculation configuration named " + curveCalculationConfigName);
      return null;
    }
    final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
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    final String curveCurrency = Iterables.getOnlyElement(curveCurrencies);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final String payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor()).getCode();
    final String receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor()).getCode();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final String curveCalculationConfigName;
    final String otherCurveCurrency, otherCurveCalculationConfigName;
    if (curveCurrency.equals(payCurrency)) {
      curveCalculationConfigName = payCurveCalculationConfig;
      otherCurveCurrency = receiveCurrency;
      otherCurveCalculationConfigName = receiveCurveCalculationConfig;
    } else {
      curveCalculationConfigName = receiveCurveCalculationConfig;
      otherCurveCurrency = payCurrency;
      otherCurveCalculationConfigName = payCurveCalculationConfig;
    }
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    requirements.add(getCurveCalculationConfigRequirement(curveCalculationConfigName));
    if (curveCalculationConfig.getCalculationMethod().equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      final String exogenousCurrency = otherCurveCurrency;
      requirements.add(getCurveSensitivitiesRequirement(payCurveName, payCurveCalculationConfig, receiveCurveName, receiveCurveCalculationConfig, target,
          curveCurrency, exogenousCurrency));
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    final String fullCurveName = curveName + "_" + currency.getCode();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency;
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final YieldCurveBundle fixedCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final InstrumentDefinition<?> definition = _converter.convert(trade);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for trade " + trade + " was null");
    }
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final InstrumentDerivative derivative = _dataConverter.convert(security, definition, now, fullCurveNames, timeSeries);
    final YieldCurveBundle bundle = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    if (jacobianObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    }
    final double[][] array = FunctionUtils.decodeJacobian(jacobianObject);
    final DoubleMatrix2D jacobian = new DoubleMatrix2D(array);
    DoubleMatrix1D sensitivities;
    if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
      final Object couponSensitivitiesObject = inputs.getValue(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
      if (couponSensitivitiesObject == null) {
        throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
      }
      final DoubleMatrix1D couponSensitivity = new DoubleMatrix1D(FunctionUtils.decodeCouponSensitivities(couponSensitivitiesObject));
      sensitivities = CALCULATOR.calculateFromPresentValue(derivative, fixedCurves, curves, couponSensitivity, jacobian, NSC);
    } else {
      sensitivities = CALCULATOR.calculateFromParRate(derivative, fixedCurves, curves, jacobian, NSC);
    }
    if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      final Currency domesticCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfig.getTarget().getUniqueId());
      final Currency foreignCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfigSource.getConfig(curveCalculationConfig.getExogenousConfigData().keySet().iterator().next())
          .getTarget().getUniqueId());
      return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(sensitivities, domesticCurrency, foreignCurrency, fullCurveNames,
          curves, configSource, localNow, getResultSpec(target, currency, fullCurveName, curveCalculationConfigName));
    }
    return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fullCurveName, bundle, sensitivities, curveSpec,
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Related Classes of com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource

  • com.opengamma.component.factory.source.CurveCalculationConfigSourceComponentFactory
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  • com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveFunction
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  • com.opengamma.financial.analytics.model.curve.interestrate.MultiCurveCalculationConfigFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodFunction
  • com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurveParRateMethodSeriesFunction
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