Examples of HistoricalShockMarketDataSpecification

com.opengamma.engine.marketdata.spec.HistoricalShockMarketDataSpecification
Specification for market data derived from 3 underlying providers. The values are derived by finding the difference between values in the first two providers and applying it to the value from the third provider. The change applied to the base value can be the proportional or absolute difference between the two other values.

Examples of com.opengamma.engine.marketdata.spec.HistoricalShockMarketDataSpecification

          if (previousHistoricalDate == null) {
            return null;
          }
          FixedHistoricalMarketDataSpecification valuationDateSpec = new FixedHistoricalMarketDataSpecification(valuationDate);
          FixedHistoricalMarketDataSpecification previousHistoricalDateSpec = new FixedHistoricalMarketDataSpecification(previousHistoricalDate);
          return new HistoricalShockMarketDataSpecification(ShockType.PROPORTIONAL, previousHistoricalDateSpec, historicalDateSpec, valuationDateSpec);
        default:
          throw new OpenGammaRuntimeException("Unsupported market data mode: " + _marketDataMode);
      }
    }

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Examples of com.opengamma.engine.marketdata.spec.HistoricalShockMarketDataSpecification

  @Override
  public HistoricalShockMarketDataSnapshot snapshot(MarketDataSpecification marketDataSpec) {
    if (!(marketDataSpec instanceof HistoricalShockMarketDataSpecification)) {
      throw new IllegalArgumentException("Market data spec not HistoricalShockMarketDataSpecification: " + marketDataSpec);
    }
    HistoricalShockMarketDataSpecification shockSpec = (HistoricalShockMarketDataSpecification) marketDataSpec;
    MarketDataSnapshot snapshot1 = _historicalProvider1.snapshot(shockSpec.getHistoricalSpecification1());
    MarketDataSnapshot snapshot2 = _historicalProvider2.snapshot(shockSpec.getHistoricalSpecification2());
    MarketDataSnapshot baseSnapshot = _baseProvider.snapshot(shockSpec.getBaseSpecification());
    return new HistoricalShockMarketDataSnapshot(shockSpec.getShockType(), snapshot1, snapshot2, baseSnapshot);
  }

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Examples of com.opengamma.engine.marketdata.spec.HistoricalShockMarketDataSpecification

  @Override
  public HistoricalShockMarketDataProvider create(UserPrincipal user, MarketDataSpecification marketDataSpec) {
    if (!(marketDataSpec instanceof HistoricalShockMarketDataSpecification)) {
      throw new IllegalArgumentException("Market data spec must be a HistoricalShockMarketDataSpecification: " + marketDataSpec);
    }
    HistoricalShockMarketDataSpecification shockSpec = (HistoricalShockMarketDataSpecification) marketDataSpec;
    MarketDataProvider provider1 = resolve(user, shockSpec.getHistoricalSpecification1());
    MarketDataProvider provider2 = resolve(user, shockSpec.getHistoricalSpecification2());
    MarketDataProvider baseProvider = resolve(user, shockSpec.getBaseSpecification());
    return new HistoricalShockMarketDataProvider(provider1, provider2, baseProvider);
  }

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