public void testUpdateTimeSeriesAddNewLaterPointsOnly() {
// Add the test series
testAddTimeSeries();
List<LocalDate> dates = ImmutableList.of(_today.plusDays(1));
List<Double> values = ImmutableList.of(4d);
ArrayLocalDateDoubleTimeSeries newTs = new ArrayLocalDateDoubleTimeSeries(dates, values);
UniqueId id =
_htsWriter.writeTimeSeries(
DESCRIPTION,
DATA_SOURCE,
DATA_PROVIDER,
DATA_FIELD,
OBSERVATION_TIME,
ExternalIdBundle.of(ID),
newTs);
ManageableHistoricalTimeSeries manageableTs = _htsMaster.getTimeSeries(id);
LocalDateDoubleTimeSeries readTs = manageableTs.getTimeSeries();
List<LocalDate> expectedDates =
ImmutableList.of(_today.minusDays(2), _today.minusDays(1), _today, _today.plusDays(1));
List<Double> expectedValues = ImmutableList.of(1d, 2d, 3d, 4d);
ArrayLocalDateDoubleTimeSeries expectedTs =
new ArrayLocalDateDoubleTimeSeries(expectedDates, expectedValues);
assertEquals(expectedTs, readTs);
}
public void testAddUpdateTimeSeriesSingleExistingPoint() {
List<LocalDate> dates = ImmutableList.of(_today);
List<Double> origValues = ImmutableList.of(1d);
ArrayLocalDateDoubleTimeSeries origTs = new ArrayLocalDateDoubleTimeSeries(dates, origValues);
UniqueId id =
_htsWriter.writeTimeSeries(
DESCRIPTION,
DATA_SOURCE,
DATA_PROVIDER,
DATA_FIELD,
OBSERVATION_TIME,
ExternalIdBundle.of(ID),
origTs);
ManageableHistoricalTimeSeries manageableTs = _htsMaster.getTimeSeries(id);
LocalDateDoubleTimeSeries readTs = manageableTs.getTimeSeries();
assertEquals(origTs, readTs);
List<Double> updatedValues = ImmutableList.of(2d);
ArrayLocalDateDoubleTimeSeries updatedTs =
new ArrayLocalDateDoubleTimeSeries(dates, updatedValues);
id =
_htsWriter.writeTimeSeries(
DESCRIPTION,
DATA_SOURCE,
DATA_PROVIDER,
DATA_FIELD,
OBSERVATION_TIME,
ExternalIdBundle.of(ID),
updatedTs);
manageableTs = _htsMaster.getTimeSeries(id);
readTs = manageableTs.getTimeSeries();
assertEquals(updatedTs, readTs);
}
/**
* 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;
}
public void getHistoricalTimeSeriesByUID() throws Exception {
ManageableHistoricalTimeSeries hts = new ManageableHistoricalTimeSeries();
hts.setUniqueId(UID);
hts.setTimeSeries(randomTimeSeries());
when(_mockMaster.getTimeSeries(UID, HistoricalTimeSeriesGetFilter.ofRange(null, null)))
.thenReturn(hts);
HistoricalTimeSeries test = _tsSource.getHistoricalTimeSeries(UID);
verify(_mockMaster, times(1))
.getTimeSeries(UID, HistoricalTimeSeriesGetFilter.ofRange(null, null));
assertEquals(UID, test.getUniqueId());
assertEquals(hts.getTimeSeries().times(), test.getTimeSeries().times());
assertEquals(hts.getTimeSeries().values(), test.getTimeSeries().values());
}
public void getHistoricalTimeSeriesByExternalIdWithMetaData() throws Exception {
HistoricalTimeSeriesInfoSearchRequest request =
new HistoricalTimeSeriesInfoSearchRequest(IDENTIFIERS);
request.setValidityDate(LocalDate.now());
request.setDataSource(BBG_DATA_SOURCE);
request.setDataProvider(CMPL_DATA_PROVIDER);
request.setDataField(CLOSE_DATA_FIELD);
HistoricalTimeSeriesInfoSearchResult searchResult = new HistoricalTimeSeriesInfoSearchResult();
HistoricalTimeSeriesInfoDocument doc = new HistoricalTimeSeriesInfoDocument();
doc.setUniqueId(UID);
when(_mockResolver.resolve(
IDENTIFIERS,
LocalDate.now(),
BBG_DATA_SOURCE,
CMPL_DATA_PROVIDER,
CLOSE_DATA_FIELD,
null))
.thenReturn(new HistoricalTimeSeriesResolutionResult(doc.getInfo()));
doc.getInfo().setTimeSeriesObjectId(UID.getObjectId());
searchResult.getDocuments().add(doc);
when(_mockMaster.search(request)).thenReturn(searchResult);
ManageableHistoricalTimeSeries hts = new ManageableHistoricalTimeSeries();
hts.setUniqueId(UID);
hts.setTimeSeries(randomTimeSeries());
when(_mockMaster.getTimeSeries(
UID.getObjectId(),
VersionCorrection.LATEST,
HistoricalTimeSeriesGetFilter.ofRange(null, null)))
.thenReturn(hts);
HistoricalTimeSeries test =
_tsSource.getHistoricalTimeSeries(
IDENTIFIERS, BBG_DATA_SOURCE, CMPL_DATA_PROVIDER, CLOSE_DATA_FIELD);
verify(_mockMaster, times(1))
.getTimeSeries(
UID.getObjectId(),
VersionCorrection.LATEST,
HistoricalTimeSeriesGetFilter.ofRange(null, null));
assertEquals(UID, test.getUniqueId());
}
public void testAddTimeSeries() {
List<LocalDate> dates = ImmutableList.of(_today.minusDays(2), _today.minusDays(1), _today);
List<Double> values = ImmutableList.of(1d, 2d, 3d);
ArrayLocalDateDoubleTimeSeries origTs = new ArrayLocalDateDoubleTimeSeries(dates, values);
UniqueId id =
_htsWriter.writeTimeSeries(
DESCRIPTION,
DATA_SOURCE,
DATA_PROVIDER,
DATA_FIELD,
OBSERVATION_TIME,
ExternalIdBundle.of(ID),
origTs);
ManageableHistoricalTimeSeries manageableTs = _htsMaster.getTimeSeries(id);
LocalDateDoubleTimeSeries readTs = manageableTs.getTimeSeries();
assertEquals(origTs, readTs);
}
/**
* 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;
}
public void getHistoricalTimeSeriesByExternalIdWithoutMetaData() throws Exception {
ManageableHistoricalTimeSeries hts = new ManageableHistoricalTimeSeries();
hts.setUniqueId(UID);
hts.setTimeSeries(randomTimeSeries());
when(_mockMaster.getTimeSeries(UID, HistoricalTimeSeriesGetFilter.ofRange(null, null)))
.thenReturn(hts);
ManageableHistoricalTimeSeriesInfo tsInfo = new ManageableHistoricalTimeSeriesInfo();
tsInfo.setUniqueId(UID);
when(_mockResolver.resolve(
IDENTIFIERS, LocalDate.now(), null, null, CLOSE_DATA_FIELD, TEST_CONFIG))
.thenReturn(new HistoricalTimeSeriesResolutionResult(tsInfo));
HistoricalTimeSeries test =
_tsSource.getHistoricalTimeSeries(CLOSE_DATA_FIELD, IDENTIFIERS, TEST_CONFIG);
verify(_mockMaster, times(1))
.getTimeSeries(UID, HistoricalTimeSeriesGetFilter.ofRange(null, null));
assertEquals(UID, test.getUniqueId());
assertEquals(hts.getTimeSeries().times(), test.getTimeSeries().times());
assertEquals(hts.getTimeSeries().values(), test.getTimeSeries().values());
}
@Test(enabled = false) // Current implementation does not support removing points
public void testUpdateTimeSeriesRemoveExistingPoints() {
// Add the test series
testAddTimeSeries();
List<LocalDate> dates = ImmutableList.of(_today.minusDays(2), _today);
List<Double> values = ImmutableList.of(6d, 7d);
ArrayLocalDateDoubleTimeSeries updatedTs = new ArrayLocalDateDoubleTimeSeries(dates, values);
UniqueId id =
_htsWriter.writeTimeSeries(
DESCRIPTION,
DATA_SOURCE,
DATA_PROVIDER,
DATA_FIELD,
OBSERVATION_TIME,
ExternalIdBundle.of(ID),
updatedTs);
ManageableHistoricalTimeSeries manageableTs = _htsMaster.getTimeSeries(id);
LocalDateDoubleTimeSeries readTs = manageableTs.getTimeSeries();
assertEquals(updatedTs, readTs);
}
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());
}
}
}
}
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);
}