private ValueRequirement getIndexTimeSeriesRequirement(
final InterestRateInstrumentType type,
final SwapLeg leg,
final ZonedDateTime swapEffectiveDate) {
if (leg instanceof FloatingInterestRateLeg) {
final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) leg;
final ExternalIdBundle id = getIndexIdForSwap(floatingLeg);
final LocalDate startDate = swapEffectiveDate.toLocalDate().minusDays(360);
// Implementation note: To catch first fixing. SwapSecurity does not have this date.
final HistoricalTimeSeriesResolutionResult ts =
getTimeSeriesResolver()
.resolve(id, null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
if (ts == null) {
return null;
}
return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(
ts,
MarketDataRequirementNames.MARKET_VALUE,
DateConstraint.of(startDate),
true,
DateConstraint.VALUATION_TIME,
true);
}
return null;
}
@Override
public Set<ValueRequirement> getTimeSeriesRequirements(
final FRASecurity security, final String[] curveNames) {
final ExternalId indexId = security.getUnderlyingId();
final ConventionBundle indexConvention =
getConventionSource().getConventionBundle(indexId);
if (indexConvention == null) {
throw new OpenGammaRuntimeException(
"No conventions found for floating reference rate " + indexId);
}
final ExternalIdBundle indexIdBundle = indexConvention.getIdentifiers();
final HistoricalTimeSeriesResolutionResult timeSeries =
getTimeSeriesResolver()
.resolve(
indexIdBundle,
null,
null,
null,
MarketDataRequirementNames.MARKET_VALUE,
null);
if (timeSeries == null) {
return null;
}
return Collections.singleton(
HistoricalTimeSeriesFunctionUtils.createHTSRequirement(
timeSeries,
MarketDataRequirementNames.MARKET_VALUE,
DateConstraint.VALUATION_TIME.minus(Period.ofDays(7)).previousWeekDay(),
true,
DateConstraint.VALUATION_TIME,
false));
}
private ValueRequirement getIndexTimeSeriesRequirement(
final ExternalIdBundle id, final LocalDate startDate) {
final HistoricalTimeSeriesResolutionResult timeSeries =
getTimeSeriesResolver()
.resolve(id, null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
if (timeSeries == null) {
return null;
}
return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(
timeSeries,
MarketDataRequirementNames.MARKET_VALUE,
DateConstraint.of(startDate),
true,
DateConstraint.VALUATION_TIME,
true);
}
protected ValueRequirement getSensitivityRequirement(final ExternalId externalId) {
final HistoricalTimeSeriesResolutionResult resolutionResult =
_htsResolver.resolve(ExternalIdBundle.of(externalId), null, null, null, "EXPOSURE", null);
final ValueRequirement htsRequirement =
HistoricalTimeSeriesFunctionUtils.createHTSRequirement(
resolutionResult,
"EXPOSURE",
DateConstraint.VALUATION_TIME,
true,
DateConstraint.VALUATION_TIME,
true);
return htsRequirement;
// return new ValueRequirement();
// return new ValueRequirement(/*ExternalDataRequirementNames.SENSITIVITY*/"EXPOSURE",
// ComputationTargetType.PRIMITIVE, UniqueId.of(externalId.getScheme().getName(),
// externalId.getValue()));
}
@Override
public Set<ValueRequirement> getTimeSeriesRequirements(
final IRFutureOptionSecurity security, final String[] curveNames) {
final HistoricalTimeSeriesResolutionResult timeSeries =
getTimeSeriesResolver()
.resolve(
security.getExternalIdBundle(),
null,
null,
null,
MarketDataRequirementNames.MARKET_VALUE,
null);
if (timeSeries == null) {
return null;
}
return Collections.singleton(
HistoricalTimeSeriesFunctionUtils.createHTSRequirement(
timeSeries,
MarketDataRequirementNames.MARKET_VALUE,
DateConstraint.VALUATION_TIME.minus(Period.ofMonths(1)).previousWeekDay(),
true,
DateConstraint.VALUATION_TIME,
false));
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final Object positionOrNode = getTarget(target);
final Set<ValueRequirement> result = new HashSet<ValueRequirement>();
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> samplingPeriodNames =
constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD);
if (samplingPeriodNames == null || samplingPeriodNames.size() != 1) {
return null;
}
final Set<String> scheduleCalculatorNames =
constraints.getValues(ValuePropertyNames.SCHEDULE_CALCULATOR);
if (scheduleCalculatorNames == null || scheduleCalculatorNames.size() != 1) {
return null;
}
final Set<String> samplingFunctionNames =
constraints.getValues(ValuePropertyNames.SAMPLING_FUNCTION);
if (samplingFunctionNames == null || samplingFunctionNames.size() != 1) {
return null;
}
final Set<String> returnCalculatorNames =
constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR);
if (returnCalculatorNames == null || returnCalculatorNames.size() != 1) {
return null;
}
final Set<String> stdDevCalculatorNames =
constraints.getValues(ValuePropertyNames.STD_DEV_CALCULATOR);
if (stdDevCalculatorNames == null || stdDevCalculatorNames.size() != 1) {
return null;
}
final Set<String> covarianceCalculatorNames =
constraints.getValues(ValuePropertyNames.COVARIANCE_CALCULATOR);
if (covarianceCalculatorNames == null || covarianceCalculatorNames.size() != 1) {
return null;
}
final Set<String> varianceCalculatorNames =
constraints.getValues(ValuePropertyNames.VARIANCE_CALCULATOR);
if (varianceCalculatorNames == null || varianceCalculatorNames.size() != 1) {
return null;
}
final String samplingPeriodName = samplingPeriodNames.iterator().next();
final String scheduleCalculatorName = scheduleCalculatorNames.iterator().next();
final String samplingFunctionName = samplingFunctionNames.iterator().next();
final String returnCalculatorName = returnCalculatorNames.iterator().next();
final ValueProperties pnlSeriesProperties =
ValueProperties.builder()
.withAny(ValuePropertyNames.CURRENCY)
.with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriodName)
.with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorName)
.with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName)
.with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName)
.get();
final ValueProperties betaProperties =
ValueProperties.builder()
.with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriodName)
.with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorName)
.with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName)
.with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName)
.with(
ValuePropertyNames.COVARIANCE_CALCULATOR,
covarianceCalculatorNames.iterator().next())
.with(ValuePropertyNames.VARIANCE_CALCULATOR, varianceCalculatorNames.iterator().next())
.get();
result.add(
new ValueRequirement(
ValueRequirementNames.PNL_SERIES, positionOrNode, pnlSeriesProperties));
result.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, positionOrNode));
result.add(
new ValueRequirement(ValueRequirementNames.CAPM_BETA, positionOrNode, betaProperties));
final HistoricalTimeSeriesResolver resolver =
OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final ConventionBundleSource conventionSource =
OpenGammaCompilationContext.getConventionBundleSource(context);
final ConventionBundle bundle =
conventionSource.getConventionBundle(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
final HistoricalTimeSeriesResolutionResult timeSeries =
resolver.resolve(
bundle.getCAPMMarket(),
null,
null,
null,
MarketDataRequirementNames.MARKET_VALUE,
_resolutionKey);
if (timeSeries == null) {
return null;
}
result.add(
HistoricalTimeSeriesFunctionUtils.createHTSRequirement(
timeSeries,
MarketDataRequirementNames.MARKET_VALUE,
DateConstraint.VALUATION_TIME.minus(samplingPeriodName),
true,
DateConstraint.VALUATION_TIME,
true));
return result;
}