@Override
protected LocalDateDoubleTimeSeries getReturnSeries(
LocalDateDoubleTimeSeries ts, ValueRequirement desiredValue) {
LocalDateDoubleTimeSeries differenceSeries = super.getReturnSeries(ts, desiredValue);
double lambda =
Double.parseDouble(
desiredValue.getConstraint(
VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
TimeSeriesWeightedVolatilityOperator weightedVol =
new TimeSeriesWeightedVolatilityOperator(lambda);
LocalDateDoubleTimeSeries weightedVolSeries =
(LocalDateDoubleTimeSeries) weightedVol.evaluate(ts);
int n = weightedVolSeries.size();
double endDateWeightedVol = weightedVolSeries.getLatestValueFast();
double[] volWeightedDifferences = new double[n];
for (int i = 0; i < n; i++) {
System.out.println(
differenceSeries.getTimeAtIndex(i)
+ ","
+ differenceSeries.getValueAtIndexFast(i)
+ ","
+ weightedVolSeries.getValueAtIndexFast(i));
volWeightedDifferences[i] =
differenceSeries.getValueAtIndexFast(i)
* endDateWeightedVol
/ weightedVolSeries.getValueAtIndexFast(i);
}
LocalDateDoubleTimeSeries volWeightedDifferenceSeries =
ImmutableLocalDateDoubleTimeSeries.of(
weightedVolSeries.timesArrayFast(), volWeightedDifferences);
return volWeightedDifferenceSeries;
}
public void testCycle3() {
LocalDateDoubleTimeSeries cycleObject = cycleObject(LocalDateDoubleTimeSeries.class, ts);
assertEquals(ImmutableLocalDateDoubleTimeSeries.class, cycleObject.getClass());
assertEquals(ts, cycleObject);
cycleObject =
cycleObject(
LocalDateDoubleTimeSeries.class, ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES);
assertEquals(ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES, cycleObject);
}
/**
* @param x An array of DoubleTimeSeries. If the array has only one element, then this is assumed
* to be the price series and the result is the simple return. The dividend series is assumed
* to be the second element. It does not have to be the same length as the price series (in
* which case, dates without dividends are treated like the dividend was zero), and the
* dividend data points do not have to correspond to any of the dates in the price series (in
* which case, the result is the simple net return).
* @throws IllegalArgumentException If the array is null
* @throws TimeSeriesException Throws an exception if: the array is null; it has no elements; the
* time series has less than two entries; if the calculation mode is strict and there are
* zeroes in the price series.
* @return A DoubleTimeSeries containing the return series. This will always be one element
* shorter than the original price series.
*/
@Override
public LocalDateDoubleTimeSeries evaluate(final LocalDateDoubleTimeSeries... x) {
ArgumentChecker.notEmpty(x, "x");
ArgumentChecker.notNull(x[0], "first time series");
final LocalDateDoubleTimeSeries ts = x[0];
if (ts.size() < 2) {
throw new TimeSeriesException("Need at least two data points to calculate return series");
}
LocalDateDoubleTimeSeries d = null;
if (x.length > 1) {
if (x[1] != null) {
d = x[1];
}
}
final int[] resultDates = new int[ts.size() - 1];
final double[] resultValues = new double[ts.size() - 1];
int resultIndex = 0;
final LocalDateDoubleEntryIterator it = ts.iterator();
it.nextTimeFast();
double previousValue = it.currentValue();
double dividend;
Double dividendTSData;
while (it.hasNext()) {
final int date = it.nextTimeFast();
final double value = it.currentValue();
if (isValueNonZero(previousValue) && isValueNonZero(value)) {
resultDates[resultIndex] = date;
if (d == null) {
dividend = 0;
} else {
dividendTSData = d.getValue(date);
dividend = dividendTSData == null ? 0 : dividendTSData;
}
resultValues[resultIndex++] = (value + dividend) / previousValue;
}
previousValue = value;
}
return getSeries(resultDates, resultValues, resultIndex);
}
public void getHistoricalWithInclusiveExclusiveDates() throws Exception {
LocalDate end = DateUtils.previousWeekDay();
LocalDate start = end.minusDays(7);
HistoricalTimeSeriesInfoSearchRequest request =
new HistoricalTimeSeriesInfoSearchRequest(IDENTIFIERS);
request.setValidityDate(LocalDate.now());
request.setDataSource(BBG_DATA_SOURCE);
request.setDataProvider(CMPL_DATA_PROVIDER);
request.setDataField(CLOSE_DATA_FIELD);
LocalDateDoubleTimeSeries timeSeries = randomTimeSeries();
HistoricalTimeSeriesInfoSearchResult searchResult = new HistoricalTimeSeriesInfoSearchResult();
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}) {
LocalDate startInput = start;
LocalDate endInput = end;
if (!includeStart) {
startInput = start.plusDays(1);
}
if (!includeEnd) {
endInput = end.minusDays(1);
}
ManageableHistoricalTimeSeries hts = new ManageableHistoricalTimeSeries();
LocalDateDoubleTimeSeries lddts =
(maxPoints == null)
|| (Math.abs(maxPoints)
>= timeSeries.subSeries(start, includeStart, end, includeEnd).size())
? timeSeries.subSeries(start, includeStart, end, includeEnd)
: (maxPoints >= 0)
? timeSeries.subSeries(start, includeStart, end, includeEnd).head(maxPoints)
: timeSeries.subSeries(start, includeStart, end, includeEnd).tail(-maxPoints);
hts.setUniqueId(UID);
hts.setTimeSeries(lddts);
when(_mockMaster.getTimeSeries(
UID.getObjectId(),
VersionCorrection.LATEST,
HistoricalTimeSeriesGetFilter.ofRange(startInput, endInput, maxPoints)))
.thenReturn(hts);
when(_mockMaster.search(request)).thenReturn(searchResult);
HistoricalTimeSeries test =
(maxPoints == null)
? _tsSource.getHistoricalTimeSeries(
IDENTIFIERS,
BBG_DATA_SOURCE,
CMPL_DATA_PROVIDER,
CLOSE_DATA_FIELD,
start,
includeStart,
end,
includeEnd)
: _tsSource.getHistoricalTimeSeries(
IDENTIFIERS,
BBG_DATA_SOURCE,
CMPL_DATA_PROVIDER,
CLOSE_DATA_FIELD,
start,
includeStart,
end,
includeEnd,
maxPoints);
assertEquals(UID, test.getUniqueId());
assertEquals(hts.getTimeSeries(), test.getTimeSeries());
}
}
}
}
public void basicOperation() {
NonVersionedRedisHistoricalTimeSeriesSource source =
new NonVersionedRedisHistoricalTimeSeriesSource(getJedisPool(), getRedisPrefix());
UniqueId id1 = UniqueId.of("Test", "1");
UniqueId id2 = UniqueId.of("Test", "2");
UniqueId id3 = UniqueId.of("Test", "3");
source.setTimeSeriesPoint(id1, LocalDate.parse("2013-06-04"), 14.0);
source.setTimeSeriesPoint(id1, LocalDate.parse("2013-06-05"), 15.0);
source.setTimeSeriesPoint(id1, LocalDate.parse("2013-06-06"), 16.0);
source.setTimeSeriesPoint(id1, LocalDate.parse("2013-06-07"), 17.0);
source.setTimeSeriesPoint(id1, LocalDate.parse("2013-06-08"), 18.0);
source.setTimeSeriesPoint(id2, LocalDate.parse("2013-06-04"), 24.0);
source.setTimeSeriesPoint(id2, LocalDate.parse("2013-06-05"), 25.0);
source.setTimeSeriesPoint(id2, LocalDate.parse("2013-06-06"), 26.0);
source.setTimeSeriesPoint(id2, LocalDate.parse("2013-06-07"), 27.0);
source.setTimeSeriesPoint(id2, LocalDate.parse("2013-06-08"), 28.0);
source.setTimeSeriesPoint(id3, LocalDate.parse("2013-06-04"), 34.0);
source.setTimeSeriesPoint(id3, LocalDate.parse("2013-06-05"), 35.0);
source.setTimeSeriesPoint(id3, LocalDate.parse("2013-06-06"), 36.0);
source.setTimeSeriesPoint(id3, LocalDate.parse("2013-06-07"), 37.0);
source.setTimeSeriesPoint(id3, LocalDate.parse("2013-06-08"), 38.0);
Pair<LocalDate, Double> pair = null;
HistoricalTimeSeries hts = null;
LocalDateDoubleTimeSeries ts = null;
pair = source.getLatestDataPoint(id3);
assertNotNull(pair);
assertEquals(LocalDate.parse("2013-06-08"), pair.getFirst());
assertEquals(38.0, pair.getSecond(), 0.000001);
assertNull(source.getHistoricalTimeSeries(UniqueId.of("Test", "5")));
hts = source.getHistoricalTimeSeries(id2);
assertNotNull(hts);
assertEquals(id2, hts.getUniqueId());
ts = hts.getTimeSeries();
assertNotNull(ts);
assertEquals(5, ts.size());
assertEquals(24.0, ts.getValue(LocalDate.parse("2013-06-04")), 0.00001);
assertEquals(25.0, ts.getValue(LocalDate.parse("2013-06-05")), 0.00001);
assertEquals(26.0, ts.getValue(LocalDate.parse("2013-06-06")), 0.00001);
assertEquals(27.0, ts.getValue(LocalDate.parse("2013-06-07")), 0.00001);
assertEquals(28.0, ts.getValue(LocalDate.parse("2013-06-08")), 0.00001);
hts =
source.getHistoricalTimeSeries(
ExternalIdBundle.of(ExternalId.of("Test", "1")),
LocalDate.now(),
"Data Source",
"Data Provider",
"Data Field");
assertNotNull(hts);
assertEquals(id1, hts.getUniqueId());
ts = hts.getTimeSeries();
assertNotNull(ts);
assertEquals(5, ts.size());
assertEquals(14.0, ts.getValue(LocalDate.parse("2013-06-04")), 0.00001);
assertEquals(15.0, ts.getValue(LocalDate.parse("2013-06-05")), 0.00001);
assertEquals(16.0, ts.getValue(LocalDate.parse("2013-06-06")), 0.00001);
assertEquals(17.0, ts.getValue(LocalDate.parse("2013-06-07")), 0.00001);
assertEquals(18.0, ts.getValue(LocalDate.parse("2013-06-08")), 0.00001);
}
public void testEmptyCycle3() {
LocalDateDoubleTimeSeries cycleObject = cycleObject(LocalDateDoubleTimeSeries.class, empty);
assertEquals(ImmutableLocalDateDoubleTimeSeries.class, cycleObject.getClass());
assertEquals(empty, cycleObject);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Position position = target.getPosition();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
final FXForwardSecurity security = (FXForwardSecurity) position.getSecurity();
final MultipleCurrencyAmount mca =
(MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
final Currency payCurrency = security.getPayCurrency();
final Currency receiveCurrency = security.getReceiveCurrency();
final CurrencyPair currencyPair =
_currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency baseCurrency = currencyPair.getBase();
final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
final double exposure = mca.getAmount(currencyNonBase);
final ValueSpecification spec =
new ValueSpecification(
ValueRequirementNames.PNL_SERIES,
target.toSpecification(),
desiredValue.getConstraints());
if (resultCurrencies == null || resultCurrencies.size() != 1) {
s_logger.warn("No Currency property - returning result in base currency");
final LocalDateDoubleTimeSeries fxSpotReturnSeries =
(LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.RETURN_SERIES);
final LocalDateDoubleTimeSeries pnlSeries =
fxSpotReturnSeries.multiply(
position.getQuantity().doubleValue()
* exposure); // The P/L time series is in the base currency
return Collections.singleton(new ComputedValue(spec, pnlSeries));
}
final Currency resultCurrency = Currency.of(Iterables.getOnlyElement(resultCurrencies));
final LocalDateDoubleTimeSeries conversionTS =
(LocalDateDoubleTimeSeries) inputs.getValue(HISTORICAL_FX_TIME_SERIES);
if (conversionTS == null) {
throw new OpenGammaRuntimeException(
"Asked for result in "
+ resultCurrency
+ " but could not get "
+ baseCurrency
+ "/"
+ resultCurrency
+ " conversion series");
}
if (resultCurrency.equals(baseCurrency)) {
final LocalDateDoubleTimeSeries fxSpotReturnSeries =
(LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.RETURN_SERIES);
final LocalDateDoubleTimeSeries convertedSeries =
conversionTS
.reciprocal()
.multiply(
position.getQuantity().doubleValue()
* exposure); // The P/L time series is in the base currency
final LocalDateDoubleTimeSeries pnlSeries =
fxSpotReturnSeries.multiply(
convertedSeries); // The P/L time series is in the base currency
return Collections.singleton(new ComputedValue(spec, pnlSeries));
}
final LocalDateDoubleTimeSeries fxSpotReturnSeries =
(LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.RETURN_SERIES);
final LocalDateDoubleTimeSeries convertedSeries =
conversionTS.multiply(
position.getQuantity().doubleValue()
* exposure); // The P/L time series is in the base currency
final LocalDateDoubleTimeSeries pnlSeries = convertedSeries.multiply(fxSpotReturnSeries);
return Collections.singleton(new ComputedValue(spec, pnlSeries));
}
/**
* Updates an existing time-series in the master. If the time series provided has overlaps with
* the existing time series, the old versions of intersecting points will be corrected to the new
* ones. After that, points later than the existing latest point of the time series will be
* appended.
*
* @param description a description of the time-series for display purposes, not null
* @param dataSource the data source, not null
* @param dataProvider the data provider, not null
* @param dataField the data field, not null
* @param observationTime the descriptive observation time key, e.g. LONDON_CLOSE, not null
* @param oId the unique identifier of the time-series to be updated, not null
* @param timeSeries the time-series, not null
* @return the unique identifier of the time-series
*/
public UniqueId writeTimeSeries(
String description,
String dataSource,
String dataProvider,
String dataField,
String observationTime,
ObjectId oId,
LocalDateDoubleTimeSeries timeSeries) {
UniqueId uId = oId.atLatestVersion();
ManageableHistoricalTimeSeries existingManageableTs = _htsMaster.getTimeSeries(uId);
LocalDateDoubleTimeSeries existingTs = existingManageableTs.getTimeSeries();
if (existingTs.isEmpty()) {
uId = _htsMaster.updateTimeSeriesDataPoints(oId, timeSeries);
s_logger.debug(
"Updating time series " + oId + "[" + dataField + "] with all as currently emtpy)");
} else {
// There is a non-empty matching time-series already in the master so update it to reflect the
// new time-series
// 1: 'correct' any differences in the subseries already present
LocalDateDoubleTimeSeries tsIntersection =
timeSeries.subSeries(
existingTs.getEarliestTime(), true, existingTs.getLatestTime(), true);
if (!tsIntersection.equals(existingTs)) {
s_logger.debug(
"Correcting time series "
+ oId
+ "["
+ dataField
+ "] from "
+ existingTs.getEarliestTime()
+ " to "
+ existingTs.getLatestTime());
uId = _htsMaster.correctTimeSeriesDataPoints(oId, tsIntersection);
}
// 2: 'update' the time-series to add any new, later points
if (existingTs.getLatestTime().isBefore(timeSeries.getLatestTime())) {
LocalDateDoubleTimeSeries newSeries =
timeSeries.subSeries(
existingTs.getLatestTime(), false, timeSeries.getLatestTime(), true);
if (newSeries.size() > 0) {
s_logger.debug(
"Updating time series "
+ oId
+ "["
+ dataField
+ "] from "
+ newSeries.getEarliestTime()
+ " to "
+ newSeries.getLatestTime());
uId = _htsMaster.updateTimeSeriesDataPoints(oId, newSeries);
}
}
}
return uId;
}
/**
* Adds or updates a time-series in the master. Can be a sub-set of the data points present and
* will not 'erase' points that are missing, only supplement them.
*
* @param description a description of the time-series for display purposes, not null
* @param dataSource the data source, not null
* @param dataProvider the data provider, not null
* @param dataField the data field, not null
* @param observationTime the descriptive observation time key, e.g. LONDON_CLOSE, not null
* @param externalIdBundle the external identifiers with which the time-series is associated, not
* null
* @param externalIdSearchType the external identifier search type for matching an existing
* time-series, null to use the default
* @param timeSeries the time-series, not null
* @return the unique identifier of the time-series
*/
public UniqueId writeTimeSeries(
String description,
String dataSource,
String dataProvider,
String dataField,
String observationTime,
ExternalIdBundle externalIdBundle,
ExternalIdSearchType externalIdSearchType,
LocalDateDoubleTimeSeries timeSeries) {
ArgumentChecker.notNull(description, "description");
ArgumentChecker.notNull(dataSource, "dataSource");
ArgumentChecker.notNull(dataProvider, "dataProvider");
ArgumentChecker.notNull(dataField, "dataField");
ArgumentChecker.notNull(observationTime, "observationTime");
ArgumentChecker.notNull(externalIdBundle, "externalIdBundle");
ArgumentChecker.notNull(timeSeries, "timeSeries");
HistoricalTimeSeriesInfoSearchRequest htsSearchReq =
new HistoricalTimeSeriesInfoSearchRequest();
ExternalIdSearch idSearch = ExternalIdSearch.of(externalIdBundle);
if (externalIdSearchType != null) {
idSearch = idSearch.withSearchType(externalIdSearchType);
}
htsSearchReq.setExternalIdSearch(idSearch);
htsSearchReq.setDataSource(dataSource);
htsSearchReq.setDataProvider(dataProvider);
htsSearchReq.setDataField(dataField);
htsSearchReq.setObservationTime(observationTime);
HistoricalTimeSeriesInfoSearchResult searchResult = _htsMaster.search(htsSearchReq);
if (searchResult.getDocuments().size() > 0) {
if (searchResult.getDocuments().size() > 1) {
s_logger.warn(
"Found multiple time-series matching search. Will only update the first. Search {} returned {}",
htsSearchReq,
searchResult.getInfoList());
}
// update existing time series
HistoricalTimeSeriesInfoDocument existingTsDoc = searchResult.getFirstDocument();
return writeTimeSeries(
description,
dataSource,
dataProvider,
dataField,
observationTime,
existingTsDoc.getObjectId(),
timeSeries);
} else {
// add new time series
ManageableHistoricalTimeSeriesInfo info = new ManageableHistoricalTimeSeriesInfo();
info.setDataField(dataField);
info.setDataSource(dataSource);
info.setDataProvider(dataProvider);
info.setObservationTime(observationTime);
info.setExternalIdBundle(ExternalIdBundleWithDates.of(externalIdBundle));
info.setName(description);
HistoricalTimeSeriesInfoDocument htsInfoDoc = new HistoricalTimeSeriesInfoDocument();
htsInfoDoc.setInfo(info);
HistoricalTimeSeriesInfoDocument addedInfoDoc = _htsMaster.add(htsInfoDoc);
s_logger.debug(
"Adding time series "
+ externalIdBundle
+ " from "
+ timeSeries.getEarliestTime()
+ " to "
+ timeSeries.getLatestTime());
return _htsMaster.updateTimeSeriesDataPoints(
addedInfoDoc.getInfo().getTimeSeriesObjectId(), timeSeries);
}
}
/**
* Updates an existing time-series in the master.
*
* @param uniqueId the unique identifier of the time-series to be updated, not null
* @param timeSeries the time-series, not null
* @return the unique identifier of the time-series
*/
public UniqueId writeTimeSeries(UniqueId uniqueId, LocalDateDoubleTimeSeries timeSeries) {
ManageableHistoricalTimeSeries existingManageableTs = _htsMaster.getTimeSeries(uniqueId);
LocalDateDoubleTimeSeries existingTs = existingManageableTs.getTimeSeries();
if (existingTs.isEmpty()) {
_htsMaster.updateTimeSeriesDataPoints(uniqueId, timeSeries);
s_logger.debug("Updating time series " + uniqueId + " with all as currently emtpy)");
} else {
// There is a matching time-series already in the master so update it to reflect the new
// time-series
// 1: 'correct' any differences in the subseries already present
LocalDateDoubleTimeSeries tsIntersection =
timeSeries.subSeries(
existingTs.getEarliestTime(), true, existingTs.getLatestTime(), true);
if (!tsIntersection.equals(existingTs)) {
s_logger.debug(
"Correcting time series "
+ uniqueId
+ " from "
+ existingTs.getEarliestTime()
+ " to "
+ existingTs.getLatestTime());
uniqueId = _htsMaster.correctTimeSeriesDataPoints(uniqueId.getObjectId(), tsIntersection);
}
// 2: 'update' the time-series to add any new, later points
if (existingTs.getLatestTime().isBefore(timeSeries.getLatestTime())) {
LocalDateDoubleTimeSeries newSeries =
timeSeries.subSeries(
existingTs.getLatestTime(), false, timeSeries.getLatestTime(), true);
if (newSeries.size() > 0) {
s_logger.debug(
"Updating time series "
+ uniqueId
+ " from "
+ newSeries.getEarliestTime()
+ " to "
+ newSeries.getLatestTime());
uniqueId = _htsMaster.updateTimeSeriesDataPoints(uniqueId, newSeries);
}
}
}
return uniqueId;
}
