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 LocalDateLabelledMatrix1D bucketedCS01 = (LocalDateLabelledMatrix1D) bucketedCS01Object;
    final Object htsObject = inputs.getValue(ValueRequirementNames.CREDIT_SPREAD_CURVE_HISTORICAL_TIME_SERIES);
    if (htsObject == null) {
      throw new OpenGammaRuntimeException("Could not get credit spread curve historical time series");
    }
    final HistoricalTimeSeriesBundle hts = (HistoricalTimeSeriesBundle) htsObject;
    final NavigableSet<CurveNodeWithIdentifier> nodes = getNodes(now, security, curveSpecification.getNodes());
    DoubleTimeSeries<?> pnlSeries = getPnLSeries(nodes, bucketedCS01, hts, schedule, samplingFunction, fxSeries, isInverse);
    if (pnlSeries == null) {
      throw new OpenGammaRuntimeException("Could not get any values for security " + position.getSecurity());
    }

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

      final Object volatilityHTSObject = inputs.getValue(ValueRequirementNames.VOLATILITY_SURFACE_HISTORICAL_TIME_SERIES);
      if (volatilityHTSObject == null) {
        throw new OpenGammaRuntimeException("Could not get historical time series for volatilities");
      }
      final DoubleLabelledMatrix2D vegaMatrix = (DoubleLabelledMatrix2D) vegaMatrixObject;
      final HistoricalTimeSeriesBundle timeSeriesBundle = (HistoricalTimeSeriesBundle) volatilityHTSObject;
      final Clock snapshotClock = executionContext.getValuationClock();
      final LocalDate now = ZonedDateTime.now(snapshotClock).toLocalDate();
      final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
      final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
      final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);

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

    DoubleTimeSeries<?> result = null;
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    for (final String yieldCurveName : yieldCurveNames) {
      final ValueRequirement ycnsRequirement = getYCNSRequirement(currencyString, curveCalculationConfigName, yieldCurveName, surfaceName, target);
      final DoubleLabelledMatrix1D ycns = (DoubleLabelledMatrix1D) inputs.getValue(ycnsRequirement);
      final HistoricalTimeSeriesBundle ychts = (HistoricalTimeSeriesBundle) inputs.getValue(getYCHTSRequirement(currency, yieldCurveName, samplingPeriod.toString()));
      final DoubleTimeSeries<?> pnLSeries;
      if (curveCalculationConfig.getCalculationMethod().equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
        pnLSeries = getPnLSeries(ycns, ychts, schedule, samplingFunction);
      } else {
        final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, yieldCurveName);

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

    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final HistoricalTimeSeries marketTS = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMMarket());
    if (marketTS == null) {
      throw new OpenGammaRuntimeException("Market value series was not availble");
    }
    final HistoricalTimeSeries riskFreeRateTS = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMRiskFreeRate());
    if (riskFreeRateTS == null) {
      throw new OpenGammaRuntimeException("Risk free rate series was not available");
    }
    final Object assetPnLObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec)); //TODO replace with return series when portfolio weights are in
    if (assetPnLObject == null) {

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

      final DoubleArrayList initialRatesGuess = new DoubleArrayList();
      final LinkedHashMap<String, double[]> curveNodes = new LinkedHashMap<>();
      final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
      final Map<String, Integer> nodesPerCurve = new HashMap<>();
      for (final String curveName : curveNames) {
        final HistoricalTimeSeriesBundle timeSeries = getTimeSeriesBundle(inputs, targetSpec, curveName);
        final InterpolatedYieldCurveSpecificationWithSecurities spec = getYieldCurveSpecification(inputs, targetSpec, curveName);
        int nInstruments = 0;
        final Interpolator1D interpolator = spec.getInterpolator();
        final HistoricalTimeSeriesBundle marketData = getHistoricalMarketData(inputs, targetSpec, curveName);
        final DoubleArrayList nodeTimes = new DoubleArrayList();
        FixedIncomeStripWithSecurity previousStrip = null;
        for (final FixedIncomeStripWithSecurity strip : spec.getStrips()) {
          //TODO a lot of this can be moved outside the date loop
          final HistoricalTimeSeries historicalTimeSeries = marketData.get(MarketDataRequirementNames.MARKET_VALUE, strip.getSecurityIdentifier());
          if (historicalTimeSeries == null) {
            throw new OpenGammaRuntimeException("Could not get historical time series for " + strip);
          }
          final LocalDateDoubleTimeSeries ts = historicalTimeSeries.getTimeSeries();
          final Double marketValue = ts.getValue(valuationDate);

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

      final ValueRequirement ychtsRequirement = getYCHTSRequirement(currency, yieldCurveName, samplingPeriod.toString());
      final Object ychtsObject = inputs.getValue(ychtsRequirement);
      if (ychtsObject == null) {
        throw new OpenGammaRuntimeException("Could not get yield curve historical time series; " + ychtsRequirement);
      }
      final HistoricalTimeSeriesBundle ychts = (HistoricalTimeSeriesBundle) ychtsObject;
      final DoubleTimeSeries<?> pnLSeries;
      if (curveCalculationConfig.getCalculationMethod().equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
        pnLSeries = getPnLSeries(ycns, ychts, schedule, samplingFunction);
      } else {
        final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, yieldCurveName);

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

    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final HistoricalTimeSeries marketTSObject = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMMarket());
    if (marketTSObject == null) {
      throw new OpenGammaRuntimeException("Market value series was not available");
    }
    final HistoricalTimeSeries riskFreeTSObject = timeSeries.get(MarketDataRequirementNames.MARKET_VALUE, bundle.getCAPMRiskFreeRate());
    if (riskFreeTSObject == null) {
      throw new OpenGammaRuntimeException("Risk free series was not available");
    }
    final Object assetPnLObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec)); //TODO replace with return series when portfolio weights are in
    if (assetPnLObject == null) {

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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) throws AsynchronousExecution {
      final Clock snapshotClock = executionContext.getValuationClock();
      final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
      final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final InstrumentDerivative derivative = getDerivative(target, now, timeSeries, definition);
      final FXMatrix fxMatrix = new FXMatrix();
      final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
      final Collection<Currency> currencies = FinancialSecurityUtils.getCurrencies(target.getTrade().getSecurity(), securitySource);

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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 FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    //TODO won't need to call into database again when calculation configurations are a requirement
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final String payCurveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);

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

    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);
        }
        final LocalDateDoubleTimeSeries forwardTS = forwardFXTS.getTimeSeries();
        final ZonedDateTime paymentDate;

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