Package com.opengamma.id

Examples of com.opengamma.id.ExternalScheme

105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
   */
  public static String getIndexOrEquityName(final ExternalId externalId) {
    //FIXME: Modify to take ExternalId to avoid incorrect cast to UniqueId
    ArgumentChecker.notNull(externalId, "unique id");
    final String value = externalId.getValue();
    final ExternalScheme extScheme = externalId.getScheme();

    if (extScheme.equals(ExternalSchemes.BLOOMBERG_BUID) || extScheme.equals(ExternalSchemes.BLOOMBERG_BUID_WEAK)) {
      final int length = value.length();
      return value.substring(length - 3, length).toUpperCase(); //TODO fix this
    }
    if (extScheme.equals(ExternalSchemes.BLOOMBERG_TICKER) || extScheme.equals(ExternalSchemes.BLOOMBERG_TICKER_WEAK)) {
      final int lastSpace = value.lastIndexOf(" ");
      return value.substring(0, lastSpace);
    }
    if (extScheme.equals(ExternalSchemes.ACTIVFEED_TICKER)) {
      final int firstDot = value.indexOf(".", 0);
      return value.substring(0, firstDot + 1); // e.g. "IBM."
    }
    s_logger.info("Cannot handle scheme of type {}", extScheme);
    return null;
View Full Code Here
253
254
255
256
257
258
259
260
261
262
263
   * @param surfaceName the surface or curve name
   * @return the scheme
   */
  //TODO: This should be moved somewhere non equity specific
  public static ExternalScheme getTargetType(final String surfaceName) {
    final ExternalScheme target = SCHEME_MAPPING.get(surfaceName);
    if (target == null) {
      s_logger.warn("Can't determine data scheme from surface/curve name: " + surfaceName);
      return null;
    }
    return target;
View Full Code Here
268
269
270
271
272
273
274
275
276
277
278
   *
   * @param scheme the destination scheme
   * @return the source scheme
   */
  public static ExternalScheme getRemappedScheme(final ExternalScheme scheme) {
    final ExternalScheme remappedScheme = SCHEME_REMAPPING.get(scheme);
    if (remappedScheme == null) {
      return scheme; //no remapping
    }
    return remappedScheme;
  }
View Full Code Here
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
    requirements.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, parameters.getFirstInitialVolatilityId()));
    requirements.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, parameters.getSecondInitialVolatilityId()));
    requirements.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, parameters.getCorrelationId()));
    final Map<Tenor, Pair<ExternalId, ExternalId>> volatilityTermStructure = parameters.getVolatilityTermStructure();
    for (final Map.Entry<Tenor, Pair<ExternalId, ExternalId>> entry : volatilityTermStructure.entrySet()) {
      final ExternalScheme firstScheme = entry.getValue().getFirst().getScheme();
      final ExternalScheme secondScheme = entry.getValue().getSecond().getScheme();
      final String firstId = entry.getValue().getFirst().getValue();
      final String secondId = entry.getValue().getSecond().getValue();
      final ExternalId firstTenorAppendedId = ExternalId.of(firstScheme, createId(entry.getKey(), firstId));
      final ExternalId secondTenorAppendedId = ExternalId.of(secondScheme, createId(entry.getKey(), secondId));
      requirements.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, firstTenorAppendedId));
      requirements.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, secondTenorAppendedId));
    }
    final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
    return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000)) {

      @Override
      public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
          final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
        final Clock snapshotClock = executionContext.getValuationClock();
        final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
        final Object firstMeanReversionObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
            ComputationTargetType.PRIMITIVE, parameters.getFirstMeanReversionId()));
        if (firstMeanReversionObject == null) {
          throw new OpenGammaRuntimeException("Could not get first mean reversion value");
        }
        final Object secondMeanReversionObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
            ComputationTargetType.PRIMITIVE, parameters.getSecondMeanReversionId()));
        if (secondMeanReversionObject == null) {
          throw new OpenGammaRuntimeException("Could not get second mean reversion value");
        }
        final Object firstInitialVolatilityObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
            ComputationTargetType.PRIMITIVE, parameters.getFirstInitialVolatilityId()));
        if (firstInitialVolatilityObject == null) {
          throw new OpenGammaRuntimeException("Could not get first initial volatility value");
        }
        final Object secondInitialVolatilityObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
            ComputationTargetType.PRIMITIVE, parameters.getSecondInitialVolatilityId()));
        if (secondInitialVolatilityObject == null) {
          throw new OpenGammaRuntimeException("Could not get second initial volatility value");
        }
        final Object correlationObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
            ComputationTargetType.PRIMITIVE, parameters.getCorrelationId()));
        if (correlationObject == null) {
          throw new OpenGammaRuntimeException("Could not get correlation value");
        }
        final Double firstMeanReversion = (Double) firstMeanReversionObject;
        final Double secondMeanReversion = (Double) secondMeanReversionObject;
        final Double firstInitialVolatility = (Double) firstInitialVolatilityObject;
        final Double secondInitialVolatility = (Double) secondInitialVolatilityObject;
        final Double correlation = (Double) correlationObject;
        final DoubleArrayList firstVolatility = new DoubleArrayList();
        firstVolatility.add(firstInitialVolatility);
        final DoubleArrayList secondVolatility = new DoubleArrayList();
        secondVolatility.add(secondInitialVolatility);
        final DoubleArrayList volatilityTime = new DoubleArrayList();
        for (final Map.Entry<Tenor, Pair<ExternalId, ExternalId>> entry : volatilityTermStructure.entrySet()) {
          final ExternalScheme firstScheme = entry.getValue().getFirst().getScheme();
          final ExternalScheme secondScheme = entry.getValue().getSecond().getScheme();
          final String firstId = entry.getValue().getFirst().getValue();
          final String secondId = entry.getValue().getSecond().getValue();
          final ExternalId firstTenorAppendedId = ExternalId.of(firstScheme, createId(entry.getKey(), firstId));
          final ExternalId secondTenorAppendedId = ExternalId.of(secondScheme, createId(entry.getKey(), secondId));
          final Object firstVolatilityObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
View Full Code Here
413
414
415
416
417
418
419
420
421
422
423
424
425
    //return BlackVolatilitySurfacePropertyUtils.getSurfaceRequirement(desiredValue, additionalConstraints, surfaceName, forwardCurveName,
    //InstrumentTypeProperties.EQUITY_OPTION, ComputationTargetType.PRIMITIVE, underlyingBuid);
  }

  private ExternalId getWeakUnderlyingId(final ExternalId underlyingId, final HistoricalTimeSeriesSource tsSource, final SecuritySource securitySource, final String surfaceName) {
    /** scheme we return i.e. BBG_WEAK */
    final ExternalScheme desiredScheme = EquitySecurityUtils.getTargetType(surfaceName);
    /** scheme we look for i.e. BBG */
    final ExternalScheme sourceScheme = EquitySecurityUtils.getRemappedScheme(desiredScheme);
    if (desiredScheme == null) { // surface name is unknown
      return null;
    }
    if (underlyingId.isScheme(desiredScheme)) {
View Full Code Here
56
57
58
59
60
61
62
63
64
65
66
   * @return the Bloomberg key, not null
   */
  public static String toBloombergKey(ExternalId externalId) {
    ArgumentChecker.notNull(externalId, "externalId");
   
    ExternalScheme scheme = externalId.getScheme();
    if (SCHEME_MAP.containsKey(scheme)) {
      String prefix = SCHEME_MAP.get(scheme);
      String id  = externalId.getValue();
      return prefix != null ? prefix + id : id;
    }
View Full Code Here
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
    ArgumentChecker.notNull(externalId, "externalId");
    if (dataProvider == null || dataProvider.contains(DATA_PROVIDER_UNKNOWN) || dataProvider.equalsIgnoreCase(DEFAULT_DATA_PROVIDER)) {
      return toBloombergKey(externalId);
    }
   
    ExternalScheme scheme = externalId.getScheme();
    if (SCHEME_MAP.containsKey(scheme)) {
      String prefix = SCHEME_MAP.get(scheme);
      StringBuilder buf = new StringBuilder();
      if (prefix != null) {
        buf.append(prefix);
      }
      if (scheme.equals(ExternalSchemes.BLOOMBERG_TICKER)) {
        String id  = externalId.getValue().toUpperCase(Locale.US);
        if (id.endsWith("EQUITY")) {
          buf.append(id);
        } else {
          String[] splits = id.split(" ");
View Full Code Here
57
58
59
60
61
62
63
64
65
66
67
        return simpleExchange;
      }
    });
    EHCachingExchangeSource source = new EHCachingExchangeSource(underlying, _cacheManager);
    assertEquals(0, getCount.get());
    ExternalScheme scheme = ExternalScheme.of("Scheme");
    ExternalId id = ExternalId.of(scheme, "Value");
    Exchange get1 = source.getSingle(id);
    assertEquals(1, getCount.get());
    assertEquals(1, get1.getExternalIdBundle().size());
    assertEquals(id, get1.getExternalIdBundle().getExternalId(scheme));
View Full Code Here
TOP

Related Classes of com.opengamma.id.ExternalScheme

  • com.opengamma.bbg.livedata.faketicks.FakeDistributionSpecificationResolver
  • com.opengamma.bbg.util.BloombergDomainIdentifierResolver
  • com.opengamma.core.id.ExternalIdOrderConfigFudgeBuilder
  • com.opengamma.financial.analytics.ircurve.CurveDefinitionAndSpecifications
  • com.opengamma.financial.analytics.ircurve.SecondaryCurveDefinitionAndSpecifications
  • com.opengamma.financial.analytics.model.curve.G2ppParametersFunction
  • com.opengamma.financial.analytics.model.curve.HullWhiteOneFactorParametersFunction
  • com.opengamma.financial.analytics.model.equity.EquitySecurityUtils
  • com.opengamma.financial.analytics.model.equity.option.EquityOptionFunction
  • com.opengamma.financial.fudgemsg.SyntheticIdentifierCurveInstrumentProviderFudgeBuilder
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.