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

  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    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 FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final String conventionName = currency.getCode() + "_SWAP";
    final ConventionBundle convention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));

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

    // PAY - YieldCurveSpecificationFunction
    final ComputedValue payCurveSpec = execute(execContext, payYieldCurveSpecificationFunction, target, new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, target.toSpecification(),
        ValueProperties.none()), payCurveMarketData);
    // PAY - MultiYieldCurvePresentValueMethodFunction
    final ComputedValue payHtsConversion = new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES, target.toSpecification(),
        ValueProperties.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, getCurveCalculationConfig(payCurrency)).with(ValuePropertyNames.FUNCTION, "").get()), new HistoricalTimeSeriesBundle());
    final ComputedValue payCurve = execute(execContext, yieldCurveFunction, target, new ValueRequirement(ValueRequirementNames.YIELD_CURVE, target.toSpecification(),
        ValueProperties
        .with(ValuePropertyNames.CURVE, getCurrencyCurveName())
        .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, getCurveCalculationConfig(payCurrency))
        .with(MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE, "0.0001")
        .with(MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE, "0.0001")
        .with(MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_MAX_ITERATIONS, "1000")
        .with(MultiYieldCurvePropertiesAndDefaults.PROPERTY_DECOMPOSITION, DecompositionFactory.SV_COLT_NAME)
        .with(MultiYieldCurvePropertiesAndDefaults.PROPERTY_USE_FINITE_DIFFERENCE, "false")
        .get()), payCurveSpec,
        payCurveMarketData, payHtsConversion);
    // RECEIVE
    target = new ComputationTarget(ComputationTargetType.CURRENCY, receiveCurrency);
    // RECEIVE - YieldCurveMarketDataFunction
    final ComputedValue[] receiveCurveDataRequirements = findMarketData(compContext, receiveYieldCurveMarketDataFunction.getRequirements(compContext, target, null));
    if (receiveCurveDataRequirements == null) {
      s_logger.debug("Missing market data for curve on {}", receiveCurrency);
      return null;
    }
    final ComputedValue receiveCurveMarketData = execute(execContext, receiveYieldCurveMarketDataFunction, target,
        new ValueRequirement(ValueRequirementNames.YIELD_CURVE_MARKET_DATA, target.toSpecification()), receiveCurveDataRequirements);
    // RECEIVE - YieldCurveSpecificationFunction
    final ComputedValue receiveCurveSpec = execute(execContext, receiveYieldCurveSpecificationFunction, target, new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, target.toSpecification(),
        ValueProperties.none()), receiveCurveMarketData);
    // RECEIVE - MultiYieldCurvePresentValueMethodFunction
    final ComputedValue receiveHtsConversion = new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES, target.toSpecification(),
        ValueProperties.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, getCurveCalculationConfig(receiveCurrency)).with(ValuePropertyNames.FUNCTION, "").get()), new HistoricalTimeSeriesBundle());
    final ComputedValue receiveCurve = execute(execContext, yieldCurveFunction, target, new ValueRequirement(ValueRequirementNames.YIELD_CURVE, target.toSpecification(),
        ValueProperties
        .with(ValuePropertyNames.CURVE, getCurrencyCurveName())
        .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, getCurveCalculationConfig(receiveCurrency))
        .with(MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE, "0.0001")

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

    // 1. Build the analytic derivative to be priced
    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final FutureSecurity security = (FutureSecurity) target.getTrade().getSecurity();


    // Get reference price
    final HistoricalTimeSeriesBundle timeSeriesBundle = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final LocalDateDoubleTimeSeries timeSeries = timeSeriesBundle.get(MarketDataRequirementNames.MARKET_VALUE, security.getExternalIdBundle()).getTimeSeries();
    if (timeSeries == null || timeSeries.isEmpty()) {
      throw new OpenGammaRuntimeException("Time Series is null or empty for " + security.getExternalIdBundle());
    }
    final Double lastMarginPrice = timeSeries.getLatestValue();
    if (lastMarginPrice == null) {

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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) throws AsynchronousExecution {
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    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 ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);

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

        if (security instanceof IRFutureOptionSecurity) {
          definition = optionTradeToTxnDefnConverter.convert(trade);  
        } else {
          definition = futureTradeConverter.convert(trade);  
        }
        final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
        final InstrumentDerivative derivative = definitionConverter.convert(security, definition, now, timeSeries);
        final Double price = derivative.accept(s_priceVisitor);
        final ValueSpecification spec = new ValueSpecification(MARGIN_PRICE, target.toSpecification(), desiredValue.getConstraints().copy().get());
        return Collections.singleton(new ComputedValue(spec, price));
      }

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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 LocalDate localNow = now.toLocalDate();
    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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