Package com.opengamma.financial.analytics.ircurve

Examples of com.opengamma.financial.analytics.ircurve.ConfigDBInterpolatedYieldCurveSpecificationBuilder.buildCurve()

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      final YieldCurveDefinition curveDefinition = configSource.getSingle(YieldCurveDefinition.class, name, VersionCorrection.LATEST);
      if (curveDefinition != null) {
        final InterpolatedYieldCurveSpecificationBuilder builder = new ConfigDBInterpolatedYieldCurveSpecificationBuilder(configSource);
        for (final LocalDate date : dates) {
          s_logger.info("Processing curve date " + date);
          final InterpolatedYieldCurveSpecification curveSpec = builder.buildCurve(date, curveDefinition);
          for (final FixedIncomeStripWithIdentifier strip : curveSpec.getStrips()) {
            s_logger.info("Processing strip " + strip.getSecurity());
            externalIds.add(strip.getSecurity());
          }
        }
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      final YieldCurveDefinition curveDefinition = configSource.getSingle(YieldCurveDefinition.class, name, VersionCorrection.LATEST);
      if (curveDefinition != null) {
        final InterpolatedYieldCurveSpecificationBuilder builder = new ConfigDBInterpolatedYieldCurveSpecificationBuilder(configSource);
        for (final LocalDate date : dates) {
          s_logger.info("Processing curve date " + date);
          final InterpolatedYieldCurveSpecification curveSpec = builder.buildCurve(date, curveDefinition);
          for (final FixedIncomeStripWithIdentifier strip : curveSpec.getStrips()) {
            s_logger.info("Processing strip " + strip.getSecurity());
            if (strip.getStrip().getInstrumentType().equals(StripInstrumentType.FUTURE)) {
              externalIds.add(ExternalIdBundle.of(strip.getSecurity()));
            }
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      if (curveDefinition != null) {
        InterpolatedYieldCurveSpecificationBuilder builder = new ConfigDBInterpolatedYieldCurveSpecificationBuilder(configSource);
        for (LocalDate date : dates) {
          s_logger.info("Processing curve date " + date);
          try {
            final InterpolatedYieldCurveSpecification curveSpec = builder.buildCurve(date, curveDefinition);
            for (final FixedIncomeStripWithIdentifier strip : curveSpec.getStrips()) {
              s_logger.info("Processing strip " + strip.getSecurity());
              externalIds.add(strip.getSecurity());
            }
          } catch (final Throwable t) {
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        for (LocalDate date : dates) {
          if (isVerbose()) {
            System.out.println("Processing curve " + curveDefinition.getName() + " for date " + date);
          }
          try {
            final InterpolatedYieldCurveSpecification curveSpec = builder.buildCurve(date, curveDefinition);
            for (final FixedIncomeStripWithIdentifier strip : curveSpec.getStrips()) {
              s_logger.info("Processing strip " + strip.getSecurity());
              if (strip.getInstrumentType() == StripInstrumentType.FUTURE) {
                externalIds.add(strip.getSecurity());
              }
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        final InterpolatedYieldCurveSpecificationWithSecurities curveSpecificationWithSecurities = builder.resolveToSecurity(curveSpec, marketData);
        return curveSpecificationWithSecurities;
      }

      private InterpolatedYieldCurveSpecification getCurveSpecification(final YieldCurveDefinition curveDefinition, final LocalDate curveDate) {
        final InterpolatedYieldCurveSpecification curveSpec = curveSpecBuilder.buildCurve(curveDate, curveDefinition);
        return curveSpec;
      }

    };
  }
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