Examples of HistoricalTimeSeriesResolutionResult

com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesResolutionResult
Contains the result of resolving an historical time-series.
Time-series whose data points are derived from the same points of another time-series may be exposed by referencing the parent time-series and including an adjuster. The adjuster is expected to be applied to the relevant part of the parent time-series in order to satisfy the resolution request.
For example, an adjuster may be provided to apply normalization rules to a parent time-series that contains unnormalized data.
com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult
Contains the result of resolving an historical time-series.
Time-series whose data points are derived from the same points of another time-series may be exposed by referencing the parent time-series and including an adjuster. The adjuster is expected to be applied to the relevant part of the parent time-series in order to satisfy the resolution request.
For example, an adjuster may be provided to apply normalization rules to a parent time-series that contains unnormalized data.

Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult

    return new ValueRequirement(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE, ComputationTargetType.PRIMITIVE, newId, properties);
  }


  private ValueRequirement getTimeSeriesRequirement(final FunctionCompilationContext context, final EquityVarianceSwapSecurity security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getSpotUnderlyingId().toBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
    if (timeSeries == null) {
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, DateConstraint.NULL, true, DateConstraint.VALUATION_TIME, true);
  }

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Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult


  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final String fieldName = s_marketDataRequirementNamesMap.get(_requirementName);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(target.getSecurity().getExternalIdBundle(), null, null, null, fieldName, null);
    if (timeSeries == null) {
      return null;
    }
    // TODO - Can we do something more efficient than getting the whole series?
    return Collections.singleton(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, fieldName,

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Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult

  }


  private ValueRequirement getReferencePriceRequirement(final FunctionCompilationContext context, final FutureSecurity security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ExternalIdBundle idBundle = security.getExternalIdBundle();
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getExternalIdBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
    if (timeSeries == null) {
      s_logger.warn("Failed to find time series for: " + idBundle.toString());
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,

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Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult

      assertTrue(candidateInfo.contains(Triple.of("BLOOMBERG", "CMPL", "PX_LAST")));
      assertTrue(candidateInfo.contains(Triple.of("REUTERS", "UNKNOWN", "VOLUME")));
      assertTrue(candidateInfo.contains(Triple.of("REUTERS", "CMPL", "VOLUME")));
      assertTrue(candidateInfo.contains(Triple.of("REUTERS", "CMPT", "VOLUME")));
      
      HistoricalTimeSeriesResolutionResult resolutionResult = resolver.resolve(identifierBundleWithDates.toBundle(), null, "REUTERS", "Ignored for mapped fields", syntheticFieldName, null);
      assertEquals(3, _selector.getLastCandidates().size());
      assertEquals(reutersAdjuster, resolutionResult.getAdjuster());
    }
  }

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Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult

    hts.setUniqueId(UID);
    hts.setTimeSeries(randomTimeSeries());
    when(_mockMaster.getTimeSeries(UID, HistoricalTimeSeriesGetFilter.ofRange(null, null))).thenReturn(hts);
    ManageableHistoricalTimeSeriesInfo tsInfo = new ManageableHistoricalTimeSeriesInfo();
    tsInfo.setUniqueId(UID);
    when(_mockResolver.resolve(IDENTIFIERS, LocalDate.now(), null, null, CLOSE_DATA_FIELD, TEST_CONFIG)).thenReturn(new HistoricalTimeSeriesResolutionResult(tsInfo));
    
    HistoricalTimeSeries test = _tsSource.getHistoricalTimeSeries(CLOSE_DATA_FIELD, IDENTIFIERS, TEST_CONFIG);
    verify(_mockMaster, times(1)).getTimeSeries(UID, HistoricalTimeSeriesGetFilter.ofRange(null, null));
    
    assertEquals(UID, test.getUniqueId());

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Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult

    HistoricalTimeSeriesInfoDocument doc = new HistoricalTimeSeriesInfoDocument();
    doc.setUniqueId(UID);
    doc.getInfo().setTimeSeriesObjectId(UID.getObjectId());
    searchResult.getDocuments().add(doc);
    
    when(_mockResolver.resolve(IDENTIFIERS, LocalDate.now(), BBG_DATA_SOURCE, CMPL_DATA_PROVIDER, CLOSE_DATA_FIELD, null)).thenReturn(new HistoricalTimeSeriesResolutionResult(doc.getInfo()));
    
    for (boolean includeStart : new boolean[] {true, false})  {
      for (boolean includeEnd : new boolean[] {true, false}) {
        // Also test max points limit for various values
        for (Integer maxPoints : new Integer[] {null, -10, -1, 1, 0, -2, 2, 10} ) {

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Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult


  //-------------------------------------------------------------------------
  public void test() throws Exception {
    List<ExternalIdBundleWithDates> identifiers = HistoricalTimeSeriesMasterPopulator.populateAndTestMaster(_htsMaster, TS_DATASET_SIZE, DATA_SOURCES, DATA_PROVIDERS, DATA_FIELDS, LCLOSE_OBSERVATION_TIME);
    for (ExternalIdBundleWithDates identifierBundleWithDates : identifiers) {
      HistoricalTimeSeriesResolutionResult resolutionResult = _infoResolver.resolve(identifierBundleWithDates.toBundle(), null, null, null, "PX_LAST", CONFIG_DOC_NAME);
      assertNotNull(resolutionResult);
      HistoricalTimeSeriesInfoDocument doc = _htsMaster.get(resolutionResult.getHistoricalTimeSeriesInfo().getUniqueId());
      assertEquals(DEFAULT_DATA_SOURCE, doc.getInfo().getDataSource());
      assertEquals(DEFAULT_DATA_PROVIDER, doc.getInfo().getDataProvider());
      assertEquals("PX_LAST", doc.getInfo().getDataField());
    }
  }

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Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult

  public void testResolve() {
    final MockResolver mock = new MockResolver();
    final HistoricalTimeSeriesResolver client = mockConnection(mock);
    mock.setIdentifierBundle(ExternalId.of("Test", "Foo").toBundle());
    mock.setDataField("PX_LAST");
    mock.setResult(new HistoricalTimeSeriesResolutionResult(new ManageableHistoricalTimeSeriesInfo()));
    assertNotNull(client.resolve(ExternalId.of("Test", "Foo").toBundle(), null, null, null, "PX_LAST", null), null);
  }

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Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult

    final MockResolver mock = new MockResolver();
    final HistoricalTimeSeriesResolver client = mockConnection(mock);
    mock.setIdentifierBundle(ExternalId.of("Test", "Foo").toBundle());
    mock.setIdentifierValidityDate(now);
    mock.setDataField("PX_LAST");
    mock.setResult(new HistoricalTimeSeriesResolutionResult(new ManageableHistoricalTimeSeriesInfo()));
    assertNotNull(client.resolve(ExternalId.of("Test", "Foo").toBundle(), now, null, null, "PX_LAST", null), null);
  }

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Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult

    final HistoricalTimeSeriesResolver client = mockConnection(mock);
    mock.setIdentifierBundle(ExternalId.of("Test", "Foo").toBundle());
    mock.setDataSource("datasource");
    mock.setDataProvider("dataprovider");
    mock.setDataField("PX_LAST");
    mock.setResult(new HistoricalTimeSeriesResolutionResult(new ManageableHistoricalTimeSeriesInfo()));
    assertNotNull(client.resolve(ExternalId.of("Test", "Foo").toBundle(), null, "datasource", "dataprovider", "PX_LAST", null), null);
  }

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