本文整理汇总了Java中org.threeten.bp.Clock类的典型用法代码示例。如果您正苦于以下问题:Java Clock类的具体用法?Java Clock怎么用?Java Clock使用的例子?那么恭喜您, 这里精选的类代码示例或许可以为您提供帮助。
Clock类属于org.threeten.bp包,在下文中一共展示了Clock类的20个代码示例,这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞,您的评价将有助于我们的系统推荐出更棒的Java代码示例。
示例1: createDialog
import org.threeten.bp.Clock; //导入依赖的package包/类
/**
* Creates a {@link TimePickerDialog} instance.
*
* @param context to retrieve the time format (12 or 24 hour)
* @param localTime the initial localTime
* @param listener to listen for a localTime selection
* @param clock to retrieve the calendar from
* @return a new instance of {@link TimePickerDialog}
*/
@NonNull
public static TimePickerDialog createDialog(@NonNull Context context, @Nullable LocalTime localTime,
@Nullable Consumer<LocalTime> listener, @NonNull Clock clock) {
TimePickerDialog.OnTimeSetListener dialogCallBack = (view, hourOfDay, minute, second) -> {
LocalTime time = LocalTime.of(hourOfDay, minute, second);
Optional.ofNullable(listener)
.ifPresent(theListener -> theListener.accept(time));
};
localTime = Optional.ofNullable(localTime)
.orElse(LocalTime.now(clock));
TimePickerDialog timePickerDialog = TimePickerDialog.newInstance(
dialogCallBack,
localTime.getHour(),
localTime.getMinute(),
localTime.getSecond(),
DateFormat.is24HourFormat(context)
);
timePickerDialog.dismissOnPause(true);
return timePickerDialog;
}
开发者ID:xmartlabs,项目名称:bigbang,代码行数:31,代码来源:TimePickerDialogHelper.java
示例2: createDialog
import org.threeten.bp.Clock; //导入依赖的package包/类
/**
* Creates a {@link DatePickerDialog} instance with the <code>localDate</code> selected.
*
* @param localDate the selected start localDate
* @param listener to be triggered when the user selects a localDate
* @param clock to get the current date
* @return the {@link DatePickerDialog} created instance
*/
@NonNull
public static DatePickerDialog createDialog(@Nullable LocalDate localDate, @Nullable Consumer<LocalDate> listener,
@NonNull Clock clock) {
localDate = Optional.ofNullable(localDate)
.orElse(LocalDate.now(clock));
DatePickerDialog.OnDateSetListener dialogCallBack = (view, year, monthOfYear, dayOfMonth) -> {
LocalDate date = LocalDate.of(year, monthOfYear + 1, dayOfMonth);
Optional.ofNullable(listener)
.ifPresent(theListener -> theListener.accept(date));
};
DatePickerDialog datePickerDialog = DatePickerDialog.newInstance(
dialogCallBack,
localDate.getYear(),
localDate.getMonthValue() - 1,
localDate.getDayOfMonth()
);
datePickerDialog.dismissOnPause(true);
return datePickerDialog;
}
开发者ID:xmartlabs,项目名称:bigbang,代码行数:30,代码来源:DatePickerDialogHelper.java
示例3: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ZonedDateTime now = ZonedDateTime.now(Clock.systemUTC());
final EquityOptionSecurity option = (EquityOptionSecurity) target.getSecurity();
final ValueRequirement underlyingPriceRequirement = getPriceRequirement(option.getUnderlyingId());
final ValueRequirement discountCurveDataRequirement = getDiscountCurveMarketDataRequirement(option.getCurrency());
final YieldAndDiscountCurve discountCurve = (YieldAndDiscountCurve) inputs.getValue(discountCurveDataRequirement);
final double spotPrice = (Double) inputs.getValue(underlyingPriceRequirement);
final Expiry expiry = option.getExpiry();
final double t = DateUtils.getDifferenceInYears(now, expiry.getExpiry());
final double b = discountCurve.getInterestRate(t); // TODO cost-of-carry model
@SuppressWarnings("unused")
final StandardOptionDataBundle data = new StandardOptionDataBundle(discountCurve, b, null, spotPrice, now);
// TODO Map<OptionDefinition, Double> of options that will be used to form surface
final VolatilitySurface surface = null; // TODO
final ValueSpecification specification = createResultSpecification(target);
final ComputedValue result = new ComputedValue(specification, surface);
return Collections.singleton(result);
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:20,代码来源:PractitionerBlackScholesVolatilitySurfaceFunction.java
示例4: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final InstrumentDefinition<InstrumentDerivative> irFutureOptionDefinition = (InstrumentDefinition<InstrumentDerivative>) getConverter(executionContext).convert(target.getTrade());
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final MultiCurveCalculationConfig curveCalculationConfig = _curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final InstrumentDerivative irFutureOption = _dataConverter.convert(target.getTrade().getSecurity(), irFutureOptionDefinition, now, curveNames, timeSeries);
final double price = irFutureOption.accept(new MyDerivativeVisitor(target, inputs, curves));
final ValueSpecification valueSpecification = new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), createValueProperties()
.with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode())
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName).with(ValuePropertyNames.SURFACE, surfaceName).with(ValuePropertyNames.SMILE_FITTING_METHOD, "Heston")
.with(ValuePropertyNames.CALCULATION_METHOD, "Fourier").get());
return Sets.newHashSet(new ComputedValue(valueSpecification, price));
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:24,代码来源:InterestRateFutureOptionHestonPresentValueFunction.java
示例5: getDataBundle
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
protected SkewKurtosisOptionDataBundle getDataBundle(final Clock relevantTime, final EquityOptionSecurity option, final FunctionInputs inputs) {
final StandardOptionDataBundle standardData = super.getDataBundle(relevantTime, option, inputs);
final UniqueId uid = option.getUniqueId();
final Object skewObject = inputs.getValue(ValueRequirementNames.SKEW);
if (skewObject == null) {
throw new NullPointerException("Could not get skew");
}
final Object kurtosisObject = inputs.getValue(ValueRequirementNames.PEARSON_KURTOSIS);
if (kurtosisObject == null) {
throw new NullPointerException("Could not get Pearson kurtosis");
}
final double skew = (Double) skewObject;
final double kurtosis = (Double) kurtosisObject;
return new SkewKurtosisOptionDataBundle(standardData, skew, kurtosis);
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:17,代码来源:SkewKurtosisDataOptionModelFunction.java
示例6: getDataBundle
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
protected StandardOptionDataBundle getDataBundle(final Clock relevantTime, final EquityOptionSecurity option, final FunctionInputs inputs) {
//REVIEW yomi 03-06-2011 Elaine needs to confirm what needs to go here because we cannot deal with FXOptionSecurity here
/*
final ZonedDateTime now = relevantTime.zonedDateTime();
final FXOptionSecurity fxOption = (FXOptionSecurity) option;
final Security underlying = secMaster.getSecurity(ExternalIdBundle.of(option.getUnderlyingIdentifier())); //TODO make sure spot FX rate is right way up
final Double spotAsObject = (Double) inputs.getValue(getUnderlyingMarketDataRequirement(underlying.getUniqueId()));
if (spotAsObject == null) {
throw new NullPointerException("No spot value for underlying instrument.");
}
final double spot = spotAsObject;
final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(getVolatilitySurfaceMarketDataRequirement(option));
//TODO check call / put are actually the right way around
final YieldAndDiscountCurve domesticCurve = (YieldAndDiscountCurve) inputs.getValue(getYieldCurveMarketDataRequirement(fxOption.getCallCurrency().getUniqueId()));
final YieldAndDiscountCurve foreignCurve = (YieldAndDiscountCurve) inputs.getValue(getYieldCurveMarketDataRequirement(fxOption.getPutCurrency().getUniqueId()));
final Expiry expiry = option.getExpiry();
final double t = DateUtil.getDifferenceInYears(now, expiry.getExpiry().toInstant());
final double b = foreignCurve.getInterestRate(t); //TODO not great but needs an analytics refactor
return new StandardOptionDataBundle(domesticCurve, b, volatilitySurface, spot, now);
*/
throw new UnsupportedOperationException();
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:24,代码来源:GarmanKohlhagenFXOptionModelFunction.java
示例7: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final Trade trade = target.getTrade();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final MultiCurveCalculationConfig curveCalculationConfig = _curveConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
final String currency = FinancialSecurityUtils.getCurrency(trade.getSecurity()).getCode();
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final String[] yieldCurveNames = curveNames.length == 1 ? new String[] {curveNames[0], curveNames[0] } : curveNames;
final String[] fullYieldCurveNames = new String[yieldCurveNames.length];
for (int i = 0; i < yieldCurveNames.length; i++) {
fullYieldCurveNames[i] = yieldCurveNames[i] + "_" + currency;
}
final YieldCurveBundle data = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, _curveConfigSource);
final InstrumentDefinition<InstrumentDerivative> irFutureDefinition = _converter.convert(trade);
final InstrumentDerivative irFuture = _dataConverter.convert(trade.getSecurity(), irFutureDefinition, now, fullYieldCurveNames, timeSeries);
final ValueSpecification spec = getSpecification(target, curveCalculationConfigName);
return getResults(irFuture, data, spec);
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:26,代码来源:InterestRateFutureFunction.java
示例8: getValues
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public void getValues(final Collection<PayoffStyle> values) {
values.add(new AssetOrNothingPayoffStyle());
values.add(new AsymmetricPoweredPayoffStyle(s_random.nextDouble()));
values.add(new BarrierPayoffStyle());
values.add(new CappedPoweredPayoffStyle(s_random.nextDouble(), s_random.nextDouble()));
values.add(new CashOrNothingPayoffStyle(s_random.nextDouble()));
values.add(new FadeInPayoffStyle(s_random.nextDouble(), s_random.nextDouble()));
values.add(new FixedStrikeLookbackPayoffStyle());
values.add(new FloatingStrikeLookbackPayoffStyle());
values.add(new GapPayoffStyle(s_random.nextDouble()));
values.add(new PoweredPayoffStyle(s_random.nextDouble()));
values.add(new SupersharePayoffStyle(s_random.nextDouble(), s_random.nextDouble()));
values.add(new VanillaPayoffStyle());
values.add(new ExtremeSpreadPayoffStyle(ZonedDateTime.now().withNano(0), s_random.nextBoolean()));
values.add(new SimpleChooserPayoffStyle(ZonedDateTime.now().withNano(0), s_random.nextDouble(),
new Expiry(ZonedDateTime.now(Clock.systemDefaultZone()), ExpiryAccuracy.MONTH_YEAR)));
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:19,代码来源:SecurityTestCase.java
示例9: runOneCycle
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
protected void runOneCycle() {
s_logger.debug("queueSize {} ", _writerQueue.size());
for (String security : _securities) {
int msgSize = _messageSizeGenerator.nextInt(MAX_MESSAGE_SIZE);
for (int i = 0; i < msgSize; i++) {
try {
MutableFudgeMsg msg = getRandomMessage();
Instant instant = Clock.systemUTC().instant();
long epochMillis = instant.toEpochMilli();
msg.add(RECEIVED_TS_KEY, epochMillis);
msg.add(SECURITY_KEY, security);
s_logger.debug("generating {}", msg);
_writerQueue.put(msg);
} catch (InterruptedException e) {
Thread.interrupted();
s_logger.warn("interrupted exception while putting ticks message on queue");
}
}
}
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:23,代码来源:RandomTicksGeneratorJob.java
示例10: test_ReplaceVersion_noUid
import org.threeten.bp.Clock; //导入依赖的package包/类
@Test(expectedExceptions = IllegalArgumentException.class)
public void test_ReplaceVersion_noUid() {
Clock origClock = _cfgMaster.getClock();
try {
Instant now = Instant.now();
ObjectId baseOid = setupTestData(now);
_cfgMaster.setClock(Clock.fixed(now.plus(2, HOURS), ZoneOffset.UTC));
List<ConfigDocument> replacement = newArrayList();
for (int i = 0; i <= 2; i++) {
String val = "replace_" + i;
ConfigDocument doc = new ConfigDocument(ConfigItem.of(val));
doc.setVersionFromInstant(now.plus(1, MINUTES).plus(i * 20, SECONDS));
replacement.add(doc);
}
_cfgMaster.replaceVersion(baseOid.atVersion("no such uid"), replacement);
} finally {
_cfgMaster.setClock(origClock);
}
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:24,代码来源:ModifyConfigDbConfigMasterWorkerReplaceVersionTest.java
示例11: provideClock
import org.threeten.bp.Clock; //导入依赖的package包/类
@Provides
@Singleton
public Clock provideClock() {
Instant instant = Instant.parse("2016-05-06T10:15:30.00Z");
ZoneId zoneId = ZoneId.of(DEFAULT_TIME_ZONE_STRING);
return Clock.fixed(instant, zoneId);
}
开发者ID:xmartlabs,项目名称:bigbang,代码行数:8,代码来源:MockClockModule.java
示例12: getCalendarFromClock
import org.threeten.bp.Clock; //导入依赖的package包/类
/**
* Retrieves a {@link Calendar} instance from the {@code clock}.
*
* @param clock to be used to retrieve the {@link Calendar} instance.
* @return a new {@link Calendar} instance representing the clock's time.
*/
@NonNull
public static Calendar getCalendarFromClock(Clock clock) {
Calendar calendar = Calendar.getInstance();
calendar.setTimeInMillis(clock.millis());
return calendar;
}
开发者ID:xmartlabs,项目名称:bigbang,代码行数:13,代码来源:DateHelper.java
示例13: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final Object volatilitySurfaceDataObject = inputs.getValue(_requirement);
if (volatilitySurfaceDataObject == null) {
throw new OpenGammaRuntimeException("Could not get " + _requirement);
}
@SuppressWarnings("unchecked")
final VolatilitySurfaceData<LocalDate, Double> volatilitySurfaceData = (VolatilitySurfaceData<LocalDate, Double>) volatilitySurfaceDataObject;
final int n = volatilitySurfaceData.getXs().length;
final int m = volatilitySurfaceData.getYs().length;
final DoubleArrayList t = new DoubleArrayList();
final DoubleArrayList k = new DoubleArrayList();
final DoubleArrayList sigma = new DoubleArrayList();
final LocalDate[] xDates = volatilitySurfaceData.getXs();
final Double[] y = volatilitySurfaceData.getYs();
for (int i = 0; i < n; i++) {
final Double time = DateUtils.getDifferenceInYears(now.toLocalDate(), xDates[i]);
for (int j = 0; j < m; j++) {
final Double strike = y[j];
final Double vol = volatilitySurfaceData.getVolatility(xDates[i], y[j]);
if (time != null && strike != null && vol != null) {
t.add(time);
k.add(strike);
sigma.add(vol);
}
}
}
final Surface<Double, Double, Double> surface = InterpolatedDoublesSurface.from(t.toDoubleArray(), k.toDoubleArray(), sigma.toDoubleArray(), _interpolator);
final VolatilitySurface volatilitySurface = new VolatilitySurface(surface);
return Collections.singleton(new ComputedValue(_result, volatilitySurface));
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:34,代码来源:Grid2DInterpolatedVolatilitySurfaceFunctionDeprecated.java
示例14: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final double theta = Double.parseDouble(desiredValue.getConstraint(PROPERTY_THETA));
final int nTimeSteps = Integer.parseInt(desiredValue.getConstraint(PROPERTY_NUMBER_TIME_STEPS));
final int nSpaceSteps = Integer.parseInt(desiredValue.getConstraint(PROPERTY_NUMBER_SPACE_STEPS));
final double timeStepBunching = Double.parseDouble(desiredValue.getConstraint(PROPERTY_TIME_STEP_BUNCHING));
final double spaceStepBunching = Double.parseDouble(desiredValue.getConstraint(PROPERTY_SPACE_STEPS_BUNCHING));
final double maxProxyDelta = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MAX_PROXY_DELTA));
final double centreMoneyness = Double.parseDouble(desiredValue.getConstraint(PROPERTY_CENTRE_MONEYNESS));
final String interpolatorName = desiredValue.getConstraint(PROPERTY_SPACE_DIRECTION_INTERPOLATOR);
final Interpolator1D interpolator = Interpolator1DFactory.getInterpolator(interpolatorName);
final PDELocalVolatilityCalculator<?> pdeCalculator =
getPDECalculator(new LocalVolatilityForwardPDECalculator(theta, nTimeSteps, nSpaceSteps, timeStepBunching, spaceStepBunching, maxProxyDelta, centreMoneyness), interpolator);
final Object localVolatilityObject = inputs.getValue(ValueRequirementNames.LOCAL_VOLATILITY_SURFACE);
if (localVolatilityObject == null) {
throw new OpenGammaRuntimeException("Could not get local volatility surface");
}
final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
if (forwardCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get forward curve");
}
final Object discountingCurveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
if (discountingCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get discounting curve");
}
final LocalVolatilitySurfaceMoneyness localVolatility = (LocalVolatilitySurfaceMoneyness) localVolatilityObject;
final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
final EuropeanVanillaOption option = getOption(security, now);
final YieldAndDiscountCurve discountingCurve = (YieldAndDiscountCurve) discountingCurveObject;
final Object result = getResult(pdeCalculator, localVolatility, forwardCurve, option, discountingCurve);
final ValueProperties properties = getResultProperties(desiredValue);
final ValueSpecification spec = new ValueSpecification(getRequirementName(), target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, result));
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:39,代码来源:LocalVolatilityForwardPDEFunction.java
示例15: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final double theta = Double.parseDouble(desiredValue.getConstraint(PROPERTY_THETA));
final int nTimeSteps = Integer.parseInt(desiredValue.getConstraint(PROPERTY_NUMBER_TIME_STEPS));
final int nSpaceSteps = Integer.parseInt(desiredValue.getConstraint(PROPERTY_NUMBER_SPACE_STEPS));
final double timeStepBunching = Double.parseDouble(desiredValue.getConstraint(PROPERTY_TIME_STEP_BUNCHING));
final double spaceStepBunching = Double.parseDouble(desiredValue.getConstraint(PROPERTY_SPACE_STEPS_BUNCHING));
final double maxMoneyness = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MAX_MONEYNESS));
final String interpolatorName = desiredValue.getConstraint(PROPERTY_SPACE_DIRECTION_INTERPOLATOR);
final Interpolator1D interpolator = Interpolator1DFactory.getInterpolator(interpolatorName);
final PDELocalVolatilityCalculator<?> pdeCalculator =
getPDECalculator(new LocalVolatilityBackwardPDECalculator(theta, nTimeSteps, nSpaceSteps, timeStepBunching, spaceStepBunching, maxMoneyness), interpolator);
final Object localVolatilityObject = inputs.getValue(getVolatilitySurfaceRequirement(target, desiredValue));
if (localVolatilityObject == null) {
throw new OpenGammaRuntimeException("Could not get local volatility surface");
}
final Object forwardCurveObject = inputs.getValue(getForwardCurveRequirement(target, desiredValue));
if (forwardCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get forward curve");
}
final Object discountingCurveObject = inputs.getValue(getDiscountingCurveRequirement(target, desiredValue));
if (discountingCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get discounting curve");
}
final LocalVolatilitySurfaceMoneyness localVolatility = (LocalVolatilitySurfaceMoneyness) localVolatilityObject;
final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
final EuropeanVanillaOption option = getOption(security, now);
final YieldAndDiscountCurve discountingCurve = (YieldAndDiscountCurve) discountingCurveObject;
final Object result = getResult(pdeCalculator, localVolatility, forwardCurve, option, discountingCurve);
final ValueProperties properties = getResultProperties(desiredValue);
final ValueSpecification spec = new ValueSpecification(getRequirementName(), target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, result));
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:38,代码来源:LocalVolatilityBackwardPDEFunction.java
示例16: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final MultiCurveCalculationConfig curveCalculationConfig = _curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
String[] curveNames = curveCalculationConfig.getYieldCurveNames();
if (curveNames.length == 1) {
curveNames = new String[] {curveNames[0], curveNames[0] };
}
final String[] fullCurveNames = new String[curveNames.length];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceName, currency));
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
}
final InstrumentDefinition<?> definition = security.accept(_visitor);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final InstrumentDerivative swaption = _definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries);
final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName);
final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(), SwaptionUtils.getSwapGenerator(security, definition, securitySource));
final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
return getResult(swaption, data, spec);
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:41,代码来源:SwaptionBlackFunction.java
示例17: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final FXMatrix fxMatrix = (FXMatrix) inputs.getValue(ValueRequirementNames.FX_MATRIX);
final T knownData = getKnownData(inputs);
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
//To ensure that the ValueProperties matches the one created in getBundleProperties, the currencies are extracted
//from the fx matrix and given to the ValueProperties if they exist. This change results in the base classes
//needing to remove the curve sensitivity currencies from the curve ValueProperties
Set<String> currencies = new HashSet();
for (Currency currency : fxMatrix.getCurrencies().keySet()) {
currencies.add(currency.toString());
}
String[] sensitivityCurrencies = currencies.toArray(new String[currencies.size()]);
final ValueProperties.Builder propertiesBuilder = desiredValues.iterator().next().getConstraints().copy()
.withoutAny(CURVE)
.with(CURVE, Arrays.asList(_curveNames));
if (!currencies.isEmpty()) {
propertiesBuilder.with(CURVE_SENSITIVITY_CURRENCY, sensitivityCurrencies);
}
ValueProperties properties = propertiesBuilder.get();
final double absoluteTolerance = Double.parseDouble(Iterables.getOnlyElement(properties.getValues(PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE)));
final double relativeTolerance = Double.parseDouble(Iterables.getOnlyElement(properties.getValues(PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE)));
final int maxIterations = Integer.parseInt(Iterables.getOnlyElement(properties.getValues(PROPERTY_ROOT_FINDER_MAX_ITERATIONS)));
final U builder = getBuilder(absoluteTolerance, relativeTolerance, maxIterations);
final Pair<T, CurveBuildingBlockBundle> pair = getCurves(inputs, now, builder, knownData, executionContext, fxMatrix);
final ValueSpecification bundleSpec = new ValueSpecification(CURVE_BUNDLE, ComputationTargetSpecification.NULL, properties);
final ValueSpecification jacobianSpec = new ValueSpecification(JACOBIAN_BUNDLE, ComputationTargetSpecification.NULL, properties);
return getResults(bundleSpec, jacobianSpec, properties, pair);
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:34,代码来源:MultiCurveFunction.java
示例18: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final Trade trade = target.getTrade();
final IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String surfaceNameWithPrefix = surfaceName + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target); // Done to enable standard and midcurve options to share the same default name
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final MultiCurveCalculationConfig curveCalculationConfig = _curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final String[] fullCurveNames = new String[Math.max(2, curveNames.length)];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
if (curveNames.length == 1) { // MultiCurveCalculationConfig contains just a single curve for discounting and forwarding
fullCurveNames[1] = fullCurveNames[0];
}
final YieldCurveBundle curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, _curveCalculationConfigSource);
final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceNameWithPrefix, currency));
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
}
final InstrumentDefinition<?> irFutureOptionDefinition = getConverter(executionContext).convert(trade);
final InstrumentDerivative irFutureOption = _dataConverter.convert(security, irFutureOptionDefinition, now, fullCurveNames, timeSeries);
final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), desiredValue.getConstraints());
final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), curves);
return getResult(irFutureOption, data, spec, desiredValues);
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:40,代码来源:InterestRateFutureOptionBlackFunction.java
示例19: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final Trade trade = target.getTrade();
final IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
// To enable standard and midcurve options to share the same default name
final String surfaceNameWithPrefix = surfaceName + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target);
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final MultiCurveCalculationConfig curveCalculationConfig = _curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final String[] fullCurveNames = new String[curveNames.length];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
final YieldCurveBundle curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, _curveCalculationConfigSource);
final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceNameWithPrefix, currency));
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
}
final InstrumentDefinition<?> irFutureOptionDefinition = getConverter(executionContext).convert(trade);
final InstrumentDerivative irFutureOption = _dataConverter.convert(security, irFutureOptionDefinition, now, fullCurveNames, timeSeries);
final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName, curveName);
final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), curves);
return getResult(irFutureOption, data, curveName, spec, security);
}
开发者ID:DevStreet,项目名称:FinanceAnalytics,代码行数:40,代码来源:InterestRateFutureOptionBlackCurveSpecificFunction.java
示例20: execute
import org.threeten.bp.Clock; //导入依赖的package包/类
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues)
throws AsynchronousExecution {
final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final Trade trade = target.getTrade();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final MultiCurveCalculationConfig curveCalculationConfig = _curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final YieldCurveBundle curves = YieldCur
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