Examples of com.opengamma.financial.analytics.timeseries.DateConstraint$NullDateConstraint

Package com.opengamma.financial.analytics.timeseries

Examples of com.opengamma.financial.analytics.timeseries.DateConstraint$NullDateConstraint

com.opengamma.financial.analytics.timeseries.DateConstraint
Utility class for building date constraints for the time series fetching functions.
Date constraint strings are crude expressions that are evaluated at execution time. This allows the valuation time to be referred to symbolically.

YYYY-MM-DD

The date literal

Now

The valuation date

Null

Will return null from the {@link #getLocalDate} function
PreviousWeekDay(expr)

The previous weekday to the evaluated date constraint expression

PreviousWeekDay

The previous weekday to the valuation date. This is equivalent to PreviousWeekDay(NOW)

NextWeekDay(expr)

The next weekday to the evaluated date constraint expression

expr[+|-]period

The evaluated date constraint expression plus or minus the given period, for example PreviousWeekDay-P7D

-period

The valuation date minus the given period, for example -P1D for the previous day. This is equivalent to NOW-period


  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final ValueProperties constraints = desiredValue.getConstraints();
    final String lookbackPeriodString = anyConstraintOrNull(constraints, ValuePropertyNames.SAMPLING_PERIOD);
    final DateConstraint startDate;
    if (lookbackPeriodString == null) {
      if (!OpenGammaCompilationContext.isPermissive(context)) {
        return null;
      }
      startDate = DateConstraint.VALUATION_TIME.minus(DEFAULT_SAMPLING_PERIOD);
    } else {
      startDate = DateConstraint.VALUATION_TIME.minus(Period.parse(lookbackPeriodString));
    }
    final ViewDefinition viewDefinition = context.getViewCalculationConfiguration().getViewDefinition();
    final HistoricalViewEvaluationTarget tempTarget = new HistoricalViewEvaluationTarget(viewDefinition.getMarketDataUser(), startDate.toString(), true, DateConstraint.VALUATION_TIME.toString(),
        false, null, HistoricalViewEvaluationMarketDataMode.HISTORICAL);
    final ViewCalculationConfiguration calcConfig = createViewCalculationConfiguration(tempTarget.getViewDefinition(), context.getViewCalculationConfiguration().getName());
    addValueRequirements(context, target, calcConfig);
    tempTarget.getViewDefinition().addViewCalculationConfiguration(calcConfig);
    final TempTargetRepository targets = OpenGammaCompilationContext.getTempTargets(context);

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    final TempTarget tempTargetObject = OpenGammaCompilationContext.getTempTargets(context).get(inputs.keySet().iterator().next().getTargetSpecification().getUniqueId());
    if (!(tempTargetObject instanceof HistoricalViewEvaluationTarget)) {
      return null;
    }
    final HistoricalViewEvaluationTarget historicalTarget = (HistoricalViewEvaluationTarget) tempTargetObject;
    final DateConstraint startDate = DateConstraint.parse(historicalTarget.getStartDate());
    final DateConstraint endDate = DateConstraint.parse(historicalTarget.getEndDate());
    final Period samplingPeriod = startDate.periodUntil(endDate);
    return Collections
        .singleton(new ValueSpecification(ValueRequirementNames.COVARIANCE_MATRIX, target.toSpecification(), createValueProperties()
            .with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriod.toString()).get()));
  }

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    Set<String> samplingPeriods = desiredValue.getConstraints().getValues(ValuePropertyNames.SAMPLING_PERIOD);
    if (samplingPeriods == null || samplingPeriods.size() != 1) {
      return null;
    }
    String samplingPeriod = Iterables.getOnlyElement(samplingPeriods);
    DateConstraint start = DateConstraint.parse("-" + samplingPeriod);
    ValueProperties inputConstraints = desiredValue.getConstraints().copy()
        .withOptional(ValuePropertyNames.SAMPLING_PERIOD)
        .with(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY, start.toString())
        .with(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY, DateConstraint.VALUATION_TIME.toString())
        .get();
    return ImmutableSet.of(new ValueRequirement(_valueRequirementName, target.toSpecification(), inputConstraints));
  }

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    result.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
    result.add(new ValueRequirement(ValueRequirementNames.CAPM_BETA, targetSpec, betaProperties));
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final DateConstraint startDate = DateConstraint.VALUATION_TIME.minus(samplingPeriodName);
    HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    result.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, startDate, true,

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        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName).get()));
    requirements.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final DateConstraint startDate = DateConstraint.VALUATION_TIME.minus(samplingPeriodName);
    HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, startDate, true,

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      // If a POSITION, request the POSITION's value and DON'T scale during the execute
      securityOrTradeValue = new ValueRequirement(ValueRequirementNames.VALUE, target.toSpecification(), getCurrencyProperty(security));
    }
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ExternalIdBundle bundle = security.getExternalIdBundle();
    final DateConstraint startDate = getTimeSeriesStartDate(positionOrTrade);
    final DateConstraint endDate = getTimeSeriesEndDate(positionOrTrade);
    final ValueRequirement markToMarketValue = getMarkToMarketSeriesRequirement(resolver, bundle, startDate, endDate);
    final ValueRequirement costOfCarryValue = getCostOfCarrySeriesRequirement(resolver, bundle, endDate);


    if (markToMarketValue == null && costOfCarryValue == null) {
      return null;

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