public static Set<ValueRequirement> buildRequirements(
final InterpolatedYieldCurveSpecification specification,
final FunctionCompilationContext context) {
final Set<ValueRequirement> result = new HashSet<ValueRequirement>();
for (final FixedIncomeStripWithIdentifier strip : specification.getStrips()) {
result.add(
new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, strip.getSecurity()));
}
final ConventionBundleSource conventionBundleSource =
OpenGammaCompilationContext.getConventionBundleSource(context);
final ConventionBundle conventionBundle =
conventionBundleSource.getConventionBundle(
Identifier.of(
InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME,
specification.getCurrency().getCode() + "_SWAP"));
final ConventionBundle referenceRateConvention =
conventionBundleSource.getConventionBundle(
IdentifierBundle.of(conventionBundle.getSwapFloatingLegInitialRate()));
final Identifier initialRefRateId =
SecurityUtils.bloombergTickerSecurityId(
referenceRateConvention.getIdentifiers().getIdentifier(SecurityUtils.BLOOMBERG_TICKER));
result.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, initialRefRateId));
return Collections.unmodifiableSet(result);
}
