Examples of com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver.resolve()

com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver.resolve()
Resolves a time-series from a bundle of identifiers and a data field.
The desired series is specified by identifier bundle, typically a security, and the data field name, such as "price" or "volume". However, the underlying sources of data may contain multiple matching time-series. The resolver allows the preferred series to be chosen based on a key. The meaning of the key is resolver-specific, and it might be treated as a DSL or a configuration key. @param identifierBundle the bundle of identifiers to resolve, not null @param identifierValidityDate the date that the identifier must be valid on, null to use all identifiers @param dataSource the data source name associated with the time-series, null for any @param dataProvider the data provider name associated with the time-series, null for any @param dataField the type of data that the time-series represents, not null @param resolutionKey a key defining how the resolution is to occur, null for the default best match @return a resolution result for the best match, null if unable to find a match

        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName.iterator().next()).get()));
    requirements.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, target.toSpecification()));
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM")); //TODO 
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult marketTimeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (marketTimeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(marketTimeSeries,
        MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriod), true, DateConstraint.VALUATION_TIME, true));

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    if (marketTimeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(marketTimeSeries,
        MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriod), true, DateConstraint.VALUATION_TIME, true));
    final HistoricalTimeSeriesResolutionResult riskFreeTimeSeries = resolver.resolve(bundle.getCAPMRiskFreeRate(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (riskFreeTimeSeries == null) {
      return null;
    }
    requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(riskFreeTimeSeries,
        MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriod), true, DateConstraint.VALUATION_TIME, true));

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        .with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName.iterator().next()).get());
    final ValueRequirement fairValueRequirement = new ValueRequirement(ValueRequirementNames.FAIR_VALUE, target.toSpecification());
    final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
    final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM")); //TODO country-specific
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
    if (timeSeries == null) {
      return null;
    }
    final ValueRequirement timeSeriesRequirement = HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries,
        MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriodName), true, DateConstraint.VALUATION_TIME, true);

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  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final RawSecurity security = (RawSecurity) target.getSecurity();
    final SecurityEntryData securityEntryData = RawSecurityUtils.decodeSecurityEntryData(security);
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(securityEntryData.getId().toBundle(), null, "LITHIUM", null, "PX_LAST", null);
    if (timeSeries == null) {
      return null;
    }
    return Collections.singleton(new ValueRequirement(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST, ComputationTargetType.PRIMITIVE,
        timeSeries.getHistoricalTimeSeriesInfo().getUniqueId(), ValueProperties.none()));

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  }


  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(target.getSecurity().getExternalIdBundle(), null, _dataSource, _dataProvider, _field, null);
    if (timeSeries == null) {
      return null;
    }
    return Collections.singleton(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, _field, DateConstraint.of(_startDate), true, DateConstraint.VALUATION_TIME, true));
  }

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    return new ValueRequirement(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target, properties);
  }


  private ValueRequirement getTimeSeriesRequirement(final FunctionCompilationContext context, final EquityVarianceSwapSecurity security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getSpotUnderlyingId().toBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
    if (timeSeries == null) {
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, DateConstraint.NULL, true, DateConstraint.VALUATION_TIME, true);
  }

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    return (YieldAndDiscountCurve) curveObject;
  }


  private ValueRequirement getDividendYieldRequirement(final FunctionCompilationContext context, final FutureSecurity security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(ExternalIdBundle.of(getSpotAssetId(security)), null, null, null,
        MarketDataRequirementNames.DIVIDEND_YIELD, null);
    if (timeSeries == null) {
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.DIVIDEND_YIELD,

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    return requirements;
  }


  private ValueRequirement getTimeSeriesRequirement(final FunctionCompilationContext context, final Security security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getExternalIdBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
    if (timeSeries == null) {
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,
        DateConstraint.VALUATION_TIME.minus(Period.ofMonths(1)).previousWeekDay(), true, DateConstraint.VALUATION_TIME, true);

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   */
  protected ValueRequirement getReferencePriceRequirement(final FunctionCompilationContext context, final FutureSecurity security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final ExternalIdBundle idBundle = security.getExternalIdBundle();
    // TODO CASE: Test that you can change field to MARKET_VALUE because of the FieldAdjustment in ActivHistoricalTimeSeriesSourceComponentFactory.createResolver
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getExternalIdBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, getResolutionKey());
    if (timeSeries == null) {
      s_logger.warn("Failed to find time series for: " + idBundle.toString());
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,

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    return new ValueRequirement(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE, ComputationTargetType.PRIMITIVE, newId, properties);
  }


  private ValueRequirement getTimeSeriesRequirement(final FunctionCompilationContext context, final EquityVarianceSwapSecurity security) {
    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getSpotUnderlyingId().toBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
    if (timeSeries == null) {
      return null;
    }
    return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, DateConstraint.NULL, true, DateConstraint.VALUATION_TIME, true);
  }

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