Examples of HistoricalTimeSeriesBundle

com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle
A collection of historical time-series objects. The time-series are keyed by the originally requested data field name and the external ids associated with them. The original field is not generally necessary but is to allow override operations to identify the nature of the data points in the time series they are being applied to. The time-series are maintained in the order in which they were added, for example tenor order, and are iterable in this order.

Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle

    }
    final LinkedHashMap<String, double[]> curveNodes = new LinkedHashMap<>();
    final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final Map<String, Integer> nodesPerCurve = new HashMap<>();
    final HistoricalTimeSeriesBundle timeSeries = getTimeSeriesBundle(inputs, targetSpec, curveCalculationConfigName);
    for (final String curveName : curveNames) {
      final InterpolatedYieldCurveSpecificationWithSecurities spec = getYieldCurveSpecification(inputs, targetSpec, curveName);
      if (spec == null) {
        continue;
      }

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Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle

  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    // 1. Build the analytic derivative to be priced
    final Trade trade = target.getTrade();
    final FutureSecurity security = (FutureSecurity) trade.getSecurity();


    final HistoricalTimeSeriesBundle timeSeriesBundle = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    Double lastMarginPrice = null;
    try {
      lastMarginPrice = timeSeriesBundle.get(MarketDataRequirementNames.MARKET_VALUE, security.getExternalIdBundle()).getTimeSeries().getLatestValue();
    } catch (final NoSuchElementException e) {
      throw new OpenGammaRuntimeException("Time series for " + security.getExternalIdBundle() + " was empty");
    }
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final InstrumentDefinitionWithData<?, Double> definition = security.accept(_converter);

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Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle

    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
    final String fullCurveName = curveName + "_" + currency;
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);

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Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle

      curveNames.add(curveName);
    }
    final LinkedHashMap<String, double[]> curveNodes = new LinkedHashMap<>();
    final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
    final Map<String, Integer> nodesPerCurve = new HashMap<>();
    final HistoricalTimeSeriesBundle timeSeries = getTimeSeriesBundle(inputs, targetSpec, curveCalculationConfigName);
    for (final String curveName : curveNames) {
      final InterpolatedYieldCurveSpecificationWithSecurities spec = getYieldCurveSpecification(inputs, targetSpec, curveName);
      if (spec == null) {
        continue;
      }

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Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle

    if (n != curveSpec.getNodes().size()) {
      throw new OpenGammaRuntimeException("Do not have a sensitivity for each node");
    }
    final Tenor[] tenors = new Tenor[n];
    final LocalDateDoubleTimeSeries[] returnSeries = new LocalDateDoubleTimeSeries[n];
    final HistoricalTimeSeriesBundle tsBundle = (HistoricalTimeSeriesBundle) inputs.getValue(CURVE_HISTORICAL_TIME_SERIES);
    final Iterator<CurveNodeWithIdentifier> iterator = curveSpec.getNodes().iterator();
    for (int i = 0; i < n; i++) {
      final double sensitivity = fcns[i];
      final CurveNodeWithIdentifier curveNode = iterator.next();
      final HistoricalTimeSeries ts = tsBundle.get(curveNode.getDataField(), curveNode.getIdentifier());
      if (ts == null) {
        throw new OpenGammaRuntimeException("Could not get time series for id " + curveNode.getIdentifier() + " and data field " + curveNode.getDataField());
      }
      LocalDateDoubleTimeSeries pnlSeries;
      if (curveNode instanceof PointsCurveNodeWithIdentifier) {
        final PointsCurveNodeWithIdentifier pointsCurveNode = (PointsCurveNodeWithIdentifier) curveNode;
        final HistoricalTimeSeries underlyingSeries = tsBundle.get(pointsCurveNode.getUnderlyingDataField(), pointsCurveNode.getUnderlyingIdentifier());
        if (underlyingSeries == null) {
          throw new OpenGammaRuntimeException("Could not get time series for id " + pointsCurveNode.getUnderlyingIdentifier() + " and data field " + pointsCurveNode.getUnderlyingDataField());
        }
        pnlSeries = getReturnSeries(ts.getTimeSeries().add(underlyingSeries.getTimeSeries()), desiredValue, executionContext);
      } else {

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Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle

    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
    final String fullCurveName = curveName + "_" + currency;
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);

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Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDefinition<InstrumentDerivative> irFutureOptionDefinition = (InstrumentDefinition<InstrumentDerivative>) _converter.convert(target.getTrade());
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);

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Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle

    protected Pair<IssuerProviderInterface, CurveBuildingBlockBundle> getCurves(final FunctionInputs inputs, final ZonedDateTime now, final IssuerDiscountBuildingRepository builder,
        final IssuerProviderInterface knownData, final ConventionSource conventionSource, final HolidaySource holidaySource, final RegionSource regionSource) {
      final ValueProperties curveConstructionProperties = ValueProperties.builder()
          .with(CURVE_CONSTRUCTION_CONFIG, _curveConstructionConfiguration.getName())
          .get();
      final HistoricalTimeSeriesBundle timeSeries =
          (HistoricalTimeSeriesBundle) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES,
              ComputationTargetSpecification.NULL, curveConstructionProperties));
      final int nGroups = _curveConstructionConfiguration.getCurveGroups().size();
      final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nGroups];
      final LinkedHashMap<String, Currency> discountingMap = new LinkedHashMap<>();

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Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle


  @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 HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final Trade trade = target.getTrade();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final MultiCurveCalculationConfig curveCalculationConfig = _curveConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {

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Examples of com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle

      @SuppressWarnings("synthetic-access")
      @Override
      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
                                        final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
        final ZonedDateTime valuationDate = ZonedDateTime.now(executionContext.getValuationClock());
        final HistoricalTimeSeriesBundle timeSeries = (HistoricalTimeSeriesBundle) inputs.getValue(ValueRequirementNames.YIELD_CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES);
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
        final String spotDateString = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_DATE);
        final LocalDate spotDate = LocalDate.parse(spotDateString, dateFormatter);
        final String offsetString = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_OFFSET);

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