コード例 #1
0
 @Override
 public Set<ComputedValue> execute(
     final FunctionExecutionContext executionContext,
     final FunctionInputs inputs,
     final ComputationTarget target,
     final Set<ValueRequirement> desiredValues) {
   final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
   final Currency currency = FinancialSecurityUtils.getCurrency(security);
   final Clock snapshotClock = executionContext.getValuationClock();
   final ZonedDateTime now = snapshotClock.zonedDateTime();
   final HistoricalTimeSeriesBundle timeSeries =
       HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
   final ValueRequirement desiredValue = desiredValues.iterator().next();
   final String curveCalculationConfigName =
       desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
   final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
   final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource =
       new ConfigDBCurveCalculationConfigSource(configSource);
   final MultiCurveCalculationConfig curveCalculationConfig =
       curveCalculationConfigSource.getConfig(curveCalculationConfigName);
   if (curveCalculationConfig == null) {
     throw new OpenGammaRuntimeException(
         "Could not find curve calculation configuration named " + curveCalculationConfigName);
   }
   final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
   final String[] yieldCurveNames =
       curveNames.length == 1 ? new String[] {curveNames[0], curveNames[0]} : curveNames;
   final String[] curveNamesForSecurity =
       FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(
           security, yieldCurveNames[0], yieldCurveNames[1]);
   final YieldCurveBundle bundle =
       YieldCurveFunctionUtils.getAllYieldCurves(
           inputs, curveCalculationConfig, curveCalculationConfigSource);
   final InstrumentDefinition<?> definition = security.accept(_visitor);
   if (definition == null) {
     throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
   }
   final InstrumentDerivative derivative =
       getDerivative(
           security, now, timeSeries, curveNamesForSecurity, definition, _definitionConverter);
   return getComputedValues(
       derivative, bundle, security, target, curveCalculationConfigName, currency.getCode());
 }
コード例 #2
0
 @Override
 public Set<ComputedValue> execute(
     final FunctionExecutionContext executionContext,
     final FunctionInputs inputs,
     final ComputationTarget target,
     final Set<ValueRequirement> desiredValues) {
   final Clock snapshotClock = executionContext.getValuationClock();
   final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
   final SecuritySource securitySource =
       OpenGammaExecutionContext.getSecuritySource(executionContext);
   final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
   final ValueRequirement desiredValue = desiredValues.iterator().next();
   final Currency currency = FinancialSecurityUtils.getCurrency(security);
   final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
   final String curveCalculationConfigName =
       desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
   final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
   final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource =
       new ConfigDBCurveCalculationConfigSource(configSource);
   final MultiCurveCalculationConfig curveCalculationConfig =
       curveCalculationConfigSource.getConfig(curveCalculationConfigName);
   if (curveCalculationConfig == null) {
     throw new OpenGammaRuntimeException(
         "Could not find curve calculation configuration named " + curveCalculationConfigName);
   }
   String[] curveNames = curveCalculationConfig.getYieldCurveNames(); // TODO
   if (curveNames.length == 1) {
     curveNames = new String[] {curveNames[0], curveNames[0]};
   }
   final String[] fullCurveNames = new String[curveNames.length];
   for (int i = 0; i < curveNames.length; i++) {
     fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
   }
   final YieldCurveBundle curves =
       YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
   final Object volatilitySurfaceObject =
       inputs.getValue(getVolatilityRequirement(surfaceName, currency));
   if (volatilitySurfaceObject == null) {
     throw new OpenGammaRuntimeException("Could not get volatility surface");
   }
   final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
   if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
     throw new OpenGammaRuntimeException(
         "Expecting an InterpolatedDoublesSurface; got "
             + volatilitySurface.getSurface().getClass());
   }
   final InstrumentDefinition<?> definition = security.accept(_visitor);
   final HistoricalTimeSeriesBundle timeSeries =
       HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
   final InstrumentDerivative swaption =
       _definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries);
   final ValueProperties properties =
       getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName);
   final ValueSpecification spec =
       new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
   final BlackFlatSwaptionParameters parameters =
       new BlackFlatSwaptionParameters(
           volatilitySurface.getSurface(),
           SwaptionUtils.getSwapGenerator(security, definition, securitySource));
   final YieldCurveWithBlackSwaptionBundle data =
       new YieldCurveWithBlackSwaptionBundle(parameters, curves);
   return getResult(swaption, data, spec);
 }