protected Set<ValueRequirement> getSensitivityRequirements(
final SecuritySource secSource, final RawSecurity rawSecurity) {
final Set<ValueRequirement> requirements = Sets.newHashSet();
final Collection<FactorExposureData> decodedSensitivities =
RawSecurityUtils.decodeFactorExposureData(secSource, rawSecurity);
for (final FactorExposureData exposureEntry : decodedSensitivities) {
requirements.add(getSensitivityRequirement(exposureEntry.getExposureExternalId()));
}
return requirements;
}
private List<FactorExposure> convertToFactorExposure(
List<FactorExposureData> factorExposureDataList) {
List<FactorExposure> results = new ArrayList<FactorExposure>();
for (FactorExposureData exposure : factorExposureDataList) {
HistoricalTimeSeries exposureHTS =
data()
.getHistoricalTimeSeriesSource()
.getHistoricalTimeSeries(
"EXPOSURE", exposure.getExposureExternalId().toBundle(), null);
HistoricalTimeSeries convexityHTS =
data()
.getHistoricalTimeSeriesSource()
.getHistoricalTimeSeries(
"CONVEXITY", exposure.getExposureExternalId().toBundle(), null);
HistoricalTimeSeries priceHTS =
data()
.getHistoricalTimeSeriesSource()
.getHistoricalTimeSeries("PX_LAST", exposure.getFactorExternalId().toBundle(), null);
results.add(
new FactorExposure(
exposure.getFactorType().getFactorType(),
exposure.getFactorName(),
exposure.getNode(),
priceHTS != null ? priceHTS.getUniqueId() : null,
priceHTS != null ? priceHTS.getTimeSeries().getLatestValue() : null,
exposureHTS != null ? exposureHTS.getUniqueId() : null,
exposureHTS != null ? exposureHTS.getTimeSeries().getLatestValue() : null,
convexityHTS != null ? convexityHTS.getUniqueId() : null,
convexityHTS != null ? convexityHTS.getTimeSeries().getLatestValue() : null));
}
return results;
}
private FactorExposureData searchForBondTenorMatch(
final Collection<FactorExposureData> exposures, final FixedIncomeStripWithSecurity strip) {
for (final FactorExposureData exposure : exposures) {
if (exposure.getFactorType().equals(FactorType.YIELD)
&& exposure.getFactorName().contains(BOND_TEXT)) {
if (exposure.getNode() != null && exposure.getNode().length() > 0) {
final Period nodePeriod = Period.parse("P" + exposure.getNode());
if (strip.getTenor().getPeriod().toTotalMonths() == nodePeriod.toTotalMonths()) {
return exposure;
}
}
}
}
return null;
}
private DoubleMatrix1D getSensitivities(
final SecuritySource secSource,
final FunctionInputs inputs,
final RawSecurity rawSecurity,
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec,
final YieldAndDiscountCurve curve) {
final Collection<FactorExposureData> decodedSensitivities =
RawSecurityUtils.decodeFactorExposureData(secSource, rawSecurity);
final double[] entries = new double[curveSpec.getStrips().size()];
int i = 0;
for (final FixedIncomeStripWithSecurity strip : curveSpec.getStrips()) {
final FactorExposureData swapExternalSensitivitiesData =
searchForSwapTenorMatch(decodedSensitivities, strip);
if (swapExternalSensitivitiesData != null) {
final ComputedValue computedValue =
inputs.getComputedValue(
getSensitivityRequirement(swapExternalSensitivitiesData.getExposureExternalId()));
if (computedValue != null) {
final ManageableHistoricalTimeSeries mhts =
(ManageableHistoricalTimeSeries) computedValue.getValue();
final Double value = mhts.getTimeSeries().getLatestValue();
entries[i] =
-value; // * (qty.doubleValue() ); // we invert here because OpenGamma uses -1bp shift
// rather than +1. DV01 function will invert back.
} else {
s_logger.warn(
"Value was null when getting required input data "
+ swapExternalSensitivitiesData.getExposureExternalId());
entries[i] = 0d;
}
} else {
entries[i] = 0d;
}
i++;
}
// Quick hack to map in bond data.
i = 0;
for (final FixedIncomeStripWithSecurity strip : curveSpec.getStrips()) {
final FactorExposureData bondExternalSensitivitiesData =
searchForBondTenorMatch(decodedSensitivities, strip);
if (bondExternalSensitivitiesData != null) {
final ComputedValue computedValue =
inputs.getComputedValue(
getSensitivityRequirement(bondExternalSensitivitiesData.getExposureExternalId()));
if (computedValue != null) {
final ManageableHistoricalTimeSeries mhts =
(ManageableHistoricalTimeSeries) computedValue.getValue();
final Double value = mhts.getTimeSeries().getLatestValue();
entries[i] -=
value; // * (qty.doubleValue() ); // we invert here because OpenGamma uses -1bp shift
// rather than +1. DV01 function will invert back.
} else {
s_logger.warn(
"Value was null when getting required input data "
+ bondExternalSensitivitiesData.getExposureExternalId());
}
}
i++;
}
return new DoubleMatrix1D(entries);
}
