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 VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDerivative swaption = _definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries);
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));

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

    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueProperties constraints = desiredValues.iterator().next().getConstraints();
    final String curveName = constraints.getValues(ValuePropertyNames.CURVE).iterator().next();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
    }

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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 BondFutureOptionSecurity security = (BondFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);

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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 Trade trade = target.getTrade();
    final FutureSecurity security = (FutureSecurity) trade.getSecurity();
    // Get reference price
    final HistoricalTimeSeriesBundle timeSeriesBundle = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    if (timeSeriesBundle == null) {
      throw new OpenGammaRuntimeException("Could not get time series bundle for " + trade);
    }
    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");
    }
    // Build the analytic's version of the security - the derivative
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());

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

    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final LocalDate localNow = now.toLocalDate();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    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

    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final LocalDate localNow = now.toLocalDate();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    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 Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final Trade trade = target.getTrade();
    final IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);

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

    final LocalDate localNow = now.toLocalDate();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValues.iterator().next().getConstraints();
    final String curveName = constraints.getValues(ValuePropertyNames.CURVE).iterator().next();
    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);

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

        final MulticurveDiscountBuildingRepository builder, final MulticurveProviderInterface 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();
      @SuppressWarnings("unchecked")
      final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nGroups];

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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 IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);

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