Examples of FXForwardCurveDefinition

Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition

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    final List<Tenor> tenors = new ArrayList<Tenor>();
    for (final FudgeField tenorField : tenorFields) {
      final Tenor tenor = deserializer.fieldValueToObject(Tenor.class, tenorField);
      tenors.add(tenor);
    }
    return new FXForwardCurveDefinition(name, target, tenors.toArray(new Tenor[0]));
  }
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition

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    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(tsStart, returnSeriesEnd, true, false), WEEKEND_CALENDAR);

    final ComputedValue bundleValue = inputs.getComputedValue(ValueRequirementNames.FX_FORWARD_CURVE_HISTORICAL_TIME_SERIES);
    final HistoricalTimeSeriesBundle bundle = (HistoricalTimeSeriesBundle) bundleValue.getValue();
    final boolean includeStart = HistoricalTimeSeriesFunctionUtils.parseBoolean(bundleValue.getSpecification().getProperty(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY));
    final FXForwardCurveDefinition fxForwardCurveDefinition = (FXForwardCurveDefinition) inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_DEFINITION);

    final Tenor[] tenors = fxForwardCurveDefinition.getTenors();

    final TenorLabelledLocalDateDoubleTimeSeriesMatrix1D returnSeriesVector = getReturnSeriesVector(bundle, tenors,
        schedule, samplingFunction, returnSeriesStart, includeStart, desiredValue);
    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.FX_FORWARD_CURVE_RETURN_SERIES, target.toSpecification(), desiredValue.getConstraints());
    return ImmutableSet.of(new ComputedValue(resultSpec, returnSeriesVector));
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition

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    final String resolutionKey = parseString(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY));
    final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY));
    final boolean includeStart = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY));
    final LocalDate endDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY));
    final boolean includeEnd = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY));
    final FXForwardCurveDefinition definition = (FXForwardCurveDefinition) inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_DEFINITION);
    final FXForwardCurveSpecification specification = (FXForwardCurveSpecification) inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_SPECIFICATION);
    final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
    final Tenor[] tenors = definition.getTenors();
    final FXForwardCurveInstrumentProvider curveInstrumentProvider = specification.getCurveInstrumentProvider();
    for (final Tenor tenor : tenors) {
      final ExternalIdBundle id = ExternalIdBundle.of(curveInstrumentProvider.getInstrument(endDate, tenor));
      final HistoricalTimeSeries timeSeries = timeSeriesSource.getHistoricalTimeSeries(dataField, id, resolutionKey, startDate, includeStart, endDate, includeEnd);
      if (timeSeries != null) {
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition

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      invertFXQuotes = false;
    } else {
      invertFXQuotes = true;
    }
    final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(domesticCurrency, foreignCurrency);
    final FXForwardCurveDefinition definition = fxCurveDefinitionSource.getDefinition(domesticCurveName, currencyPair.toString());
    if (definition == null) {
      throw new OpenGammaRuntimeException("Couldn't find FX forward curve definition called " + domesticCurveName + " for target " + currencyPair);
    }
    final FXForwardCurveSpecification specification = fxCurveSpecificationSource.getSpecification(domesticCurveName, currencyPair.toString());
    if (specification == null) {
      throw new OpenGammaRuntimeException("Couldn't find FX forward curve specification called " + domesticCurveName + " for target " + currencyPair);
    }
    final FXForwardCurveInstrumentProvider provider = specification.getCurveInstrumentProvider();
    final HistoricalTimeSeriesBundle timeSeriesBundle = getTimeSeriesBundle(inputs, ComputationTargetType.UNORDERED_CURRENCY_PAIR.specification(currencyPair), domesticCurveName);
    final HistoricalTimeSeries spotTimeSeries = timeSeriesBundle.get(provider.getMarketDataField(), provider.getSpotInstrument());
    if (spotTimeSeries == null) {
      throw new OpenGammaRuntimeException("Could not get spot FX time series");
    }
    final LocalDateDoubleTimeSeries spotTS = spotTimeSeries.getTimeSeries();
    final Map<LocalDate, YieldAndDiscountCurve> foreignCurves = (Map<LocalDate, YieldAndDiscountCurve>) foreignCurveObject;
    final Map<LocalDate, YieldAndDiscountCurve> domesticCurves = new LinkedHashMap<>();
    final Calendar calendar = CalendarUtils.getCalendar(holidaySource, domesticCurrency, foreignCurrency);
    final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
    final FXSpotConvention fxSpotConvention = (FXSpotConvention) conventionSource.getConvention(ExternalId.of("CONVENTION", "FX Spot"));
    final int spotLag = fxSpotConvention.getSettlementDays();
    final boolean isRegular = specification.isMarketQuoteConvention();
    final ExternalId conventionSettlementRegion = fxSpotConvention.getSettlementRegion();
    for (final Map.Entry<LocalDate, YieldAndDiscountCurve> entry : foreignCurves.entrySet()) {
      final LocalDate valuationDate = entry.getKey();
      final ZonedDateTime valuationDateTime = ZonedDateTime.of(valuationDate, now.toLocalTime(), now.getZone());
      final Double spotValue = spotTS.getValue(valuationDate);
      if (spotValue == null) {
        continue;
      }
      final double spotFX = invertFXQuotes ? 1 / spotValue : spotValue;
      final YieldAndDiscountCurve foreignCurve = entry.getValue();
      final DoubleArrayList marketValues = new DoubleArrayList();
      final DoubleArrayList nodeTimes = new DoubleArrayList();
      final DoubleArrayList initialRatesGuess = new DoubleArrayList();
      final String fullDomesticCurveName = domesticCurveName + "_" + domesticCurrency.getCode();
      final String fullForeignCurveName = foreignCurveName + "_" + foreignCurrency.getCode();
      final List<InstrumentDerivative> derivatives = new ArrayList<>();
      int nInstruments = 0;
      ZonedDateTime spotDate;
      if (spotLag == 0 && conventionSettlementRegion == null) {
        spotDate = valuationDateTime;
      } else {
        spotDate = ScheduleCalculator.getAdjustedDate(valuationDateTime, spotLag, calendar);
      }
      for (final Tenor tenor : definition.getTenors()) {
        final ExternalId identifier = provider.getInstrument(valuationDate, tenor);
        final HistoricalTimeSeries forwardFXTS = timeSeriesBundle.get(provider.getMarketDataField(), identifier);
        if (forwardFXTS == null) {
          throw new OpenGammaRuntimeException("Could not get time series for " + identifier);
        }
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition

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    final String domesticCurveName = domesticCurveCalculationConfig.getYieldCurveNames()[0];
    final Currency domesticCurrency = target.getValue(ComputationTargetType.CURRENCY);
    final Set<ValueRequirement> requirements = new HashSet<>();
    final Currency foreignCurrency = ComputationTargetType.CURRENCY.resolve(foreignCurrencySpec.getUniqueId());
    final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(domesticCurrency, foreignCurrency);
    final FXForwardCurveDefinition definition = fxCurveDefinitionSource.getDefinition(domesticCurveName, currencyPair.toString());
    if (definition == null) {
      s_logger.error("Couldn't find FX forward curve definition called " + domesticCurveName + " with target " + currencyPair);
      return null;
    }
    final FXForwardCurveSpecification fxForwardCurveSpec = fxCurveSpecificationSource.getSpecification(domesticCurveName, currencyPair.toString());
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition

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    ConfigMasterUtils.storeByName(configMaster, makeConfigDocument(specification));
  }

  private static void populateCurveDefinitions(final ConfigMaster configMaster, final UnorderedCurrencyPair target, final String name) {
    final String fullName = name + SEPARATOR + target.toString() + SEPARATOR + INSTRUMENT_TYPE;
    final FXForwardCurveDefinition definition;
    if (target.getFirstCurrency().equals(Currency.JPY) || target.getSecondCurrency().equals(Currency.JPY)) {
      definition = new FXForwardCurveDefinition(fullName, target, JPY_TENORS);
    } else {
      definition = new FXForwardCurveDefinition(fullName, target, TENORS);
    }
    ConfigMasterUtils.storeByName(configMaster, makeConfigDocument(definition));
  }
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition

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          s_logger.error("Asked for FX forward curve market data, but did not supply a single FX forward curve name. The property Curve must be set.");
          return null;
        }
        final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(target.getUniqueId());
        final String curveName = curveNames.iterator().next();
        final FXForwardCurveDefinition definition = curveDefinitionSource.getDefinition(curveName, currencyPair.toString());
        if (definition == null) {
          s_logger.error("Couldn't find FX forward curve definition called " + curveName + " with target " + target);
          return null;
        }
        final FXForwardCurveSpecification specification = curveSpecificationSource.getSpecification(curveName, currencyPair.toString());
        if (specification == null) {
          s_logger.error("Couldn't find FX forward curve specification called " + curveName + " with target " + target);
          return null;
        }
        final QuoteType quoteType = specification.getQuoteType();
        if (quoteType != FXForwardCurveSpecification.QuoteType.Outright && quoteType != FXForwardCurveSpecification.QuoteType.Points) {
          s_logger.error("Cannot handle quote type " + quoteType);
          return null;
        }
        final Set<ValueRequirement> requirements = new HashSet<>();
        final FXForwardCurveInstrumentProvider provider = specification.getCurveInstrumentProvider();
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(atZDT.toLocalDate(), tenor);
          requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier));
        }
        requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument()));
        return requirements;
      }

      @Override
      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
          final Set<ValueRequirement> desiredValues) {
        final Clock snapshotClock = executionContext.getValuationClock();
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
        final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(target.getUniqueId());
        final FXForwardCurveDefinition definition = curveDefinitionSource.getDefinition(curveName, currencyPair.toString());
        if (definition == null) {
          throw new OpenGammaRuntimeException("Couldn't find FX forward curve definition called " + curveName + " for target " + target);
        }
        final FXForwardCurveSpecification specification = curveSpecificationSource.getSpecification(curveName, currencyPair.toString());
        if (specification == null) {
          throw new OpenGammaRuntimeException("Couldn't find FX forward curve specification called " + curveName + " for target " + target);
        }
        final FXForwardCurveInstrumentProvider provider = specification.getCurveInstrumentProvider();
        final ValueRequirement spotRequirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument());
        if (inputs.getValue(spotRequirement) == null) {
          throw new OpenGammaRuntimeException("Could not get value for spot; requirement was " + spotRequirement);
        }
        final Double spot = (Double) inputs.getValue(spotRequirement);
        final Map<ExternalId, Double> data = new HashMap<>();
        final boolean isRegular = specification.isMarketQuoteConvention();
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(now.toLocalDate(), tenor);
          final ValueRequirement requirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier);
          if (inputs.getValue(requirement) != null) {
            final Double value = (Double) inputs.getValue(requirement);
            switch (specification.getQuoteType()) {
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition

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        throw new OpenGammaRuntimeException("Can only handle a single curve at the moment");
      }
      domesticCurveName = curveNames[0];
    }
    final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(domesticCurrency, foreignCurrency);
    final FXForwardCurveDefinition definition = fxCurveDefinitionSource.getDefinition(domesticCurveName, currencyPair.toString());
    if (definition == null) {
      throw new OpenGammaRuntimeException("Couldn't find FX forward curve definition called " + domesticCurveName + " for target " + currencyPair);
    }
    final FXForwardCurveSpecification specification = fxCurveSpecificationSource.getSpecification(domesticCurveName, currencyPair.toString());
    if (specification == null) {
      throw new OpenGammaRuntimeException("Couldn't find FX forward curve specification called " + domesticCurveName + " for target " + currencyPair);
    }
    final FXForwardCurveInstrumentProvider provider = specification.getCurveInstrumentProvider();
    final ValueRequirement spotRequirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument());
    if (inputs.getValue(spotRequirement) == null) {
      throw new OpenGammaRuntimeException("Could not get value for spot; requirement was " + spotRequirement);
    }
    final double spotFX = invertFXQuotes ? 1 / (Double) inputs.getValue(spotRequirement) : (Double) inputs.getValue(spotRequirement);
    final Object dataObject = inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_MARKET_DATA);
    if (dataObject == null) {
      throw new OpenGammaRuntimeException("Could not get FX forward market data");
    }
    final YieldAndDiscountCurve foreignCurve = (YieldAndDiscountCurve) foreignCurveObject;
    @SuppressWarnings("unchecked")
    final Map<ExternalId, Double> fxForwardData = (Map<ExternalId, Double>) dataObject;
    final DoubleArrayList marketValues = new DoubleArrayList();
    final DoubleArrayList nodeTimes = new DoubleArrayList();
    final DoubleArrayList initialRatesGuess = new DoubleArrayList();
    final String fullDomesticCurveName = domesticCurveName + "_" + domesticCurrency.getCode();
    final String fullForeignCurveName = foreignCurveName + "_" + foreignCurrency.getCode();
    final List<InstrumentDerivative> derivatives = new ArrayList<>();
    int nInstruments = 0;
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final Calendar calendar = CalendarUtils.getCalendar(holidaySource, domesticCurrency, foreignCurrency);
    final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
    final FXSpotConvention fxSpotConvention = (FXSpotConvention) conventionSource.getConvention(ExternalId.of("CONVENTION", "FX Spot"));
    final int spotLag = fxSpotConvention.getSettlementDays();
    final ExternalId conventionSettlementRegion = fxSpotConvention.getSettlementRegion();
    ZonedDateTime spotDate;
    if (spotLag == 0 && conventionSettlementRegion == null) {
      spotDate = now; //This preserves the old behaviour that ignored holidays and settlement days.
    } else {
      spotDate = ScheduleCalculator.getAdjustedDate(now, spotLag, calendar);
    }
    for (final Tenor tenor : definition.getTenors()) {
      final ExternalId identifier = provider.getInstrument(now.toLocalDate(), tenor);
      if (fxForwardData.containsKey(identifier)) {
        final ZonedDateTime paymentDate;
        if (spotLag == 0 && conventionSettlementRegion == null) {
          paymentDate = now.plus(tenor.getPeriod()); //This preserves the old behaviour that ignored holidays and settlement days.
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition

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    final String domesticCurveName = domesticCurveCalculationConfig.getYieldCurveNames()[0];
    final Currency domesticCurrency = target.getValue(ComputationTargetType.CURRENCY);
    final Set<ValueRequirement> requirements = new HashSet<>();
    final Currency foreignCurrency = ComputationTargetType.CURRENCY.resolve(foreignCurrencySpec.getUniqueId());
    final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(domesticCurrency, foreignCurrency);
    final FXForwardCurveDefinition definition = fxCurveDefinitionSource.getDefinition(domesticCurveName, currencyPair.toString());
    if (definition == null) {
      s_logger.error("Couldn't find FX forward curve definition called " + domesticCurveName + " with target " + currencyPair);
      return null;
    }
    final FXForwardCurveSpecification fxForwardCurveSpec = fxCurveSpecificationSource.getSpecification(domesticCurveName, currencyPair.toString());
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Examples of com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition

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        final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final DoubleArrayList expiries = new DoubleArrayList();
        final DoubleArrayList forwards = new DoubleArrayList();
        final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(target.getUniqueId());
        final FXForwardCurveDefinition definition = curveDefinitionSource.getDefinition(curveName, currencyPair.toString());
        if (definition == null) {
          throw new OpenGammaRuntimeException("Couldn't find FX forward curve definition called " + curveName + " for target " + target);
        }
        final FXForwardCurveSpecification specification = curveSpecificationSource.getSpecification(curveName, currencyPair.toString());
        if (specification == null) {
          throw new OpenGammaRuntimeException("Couldn't find FX forward curve specification called " + curveName + " for target " + target);
        }
        final FXForwardCurveInstrumentProvider provider = specification.getCurveInstrumentProvider();
        final Object dataObject = inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_MARKET_DATA);
        if (dataObject == null) {
          throw new OpenGammaRuntimeException("Could not get market data");
        }
        @SuppressWarnings("unchecked")
        final Map<ExternalId, Double> data = (Map<ExternalId, Double>) dataObject;
        final String interpolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_INTERPOLATOR);
        final String leftExtrapolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR);
        final String rightExtrapolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR);
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(now.toLocalDate(), tenor);
          if (data.containsKey(identifier)) {
            expiries.add(TimeCalculator.getTimeBetween(now, now.plus(tenor.getPeriod())));
            forwards.add(data.get(identifier));
          }
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