Package com.opengamma.timeseries.date.localdate

Examples of com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries.reciprocal()

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  private DateDoubleTimeSeries<?> getPnLSeries(final LocalDate startDate, final LocalDate now, final Schedule scheduleCalculator,
      final TimeSeriesSamplingFunction samplingFunction, final LocalDateDoubleTimeSeries timeSeries) {
    final LocalDate[] dates = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR);
    LocalDateDoubleTimeSeries result = samplingFunction.getSampledTimeSeries(timeSeries, dates);
    result = result.reciprocal(); // Implementation note: to obtain the P/L for one unit of non-base currency expressed in base currency.
    return DIFFERENCE.evaluate(result);
  }
}
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  private DateDoubleTimeSeries<?> getPnLSeries(final LocalDate startDate, final LocalDate now, final Schedule scheduleCalculator,
      final TimeSeriesSamplingFunction samplingFunction, final HistoricalTimeSeries dbTimeSeries) {
    final LocalDate[] dates = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR);
    LocalDateDoubleTimeSeries result = samplingFunction.getSampledTimeSeries(dbTimeSeries.getTimeSeries(), dates);
    result = result.reciprocal(); // Implementation note: to obtain the P/L for one unit of non-base currency expressed in base currency.
    return DIFFERENCE.evaluate(result);
  }

}
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    final String samplingFunctionName = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
    final Schedule scheduleCalculator = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculatorName);
    final TimeSeriesSamplingFunction samplingFunction = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunctionName);
    final LocalDate[] dates = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(spotSeriesStart, returnSeriesEnd, true, false), WEEKEND_CALENDAR);
    LocalDateDoubleTimeSeries sampledTimeSeries = samplingFunction.getSampledTimeSeries(timeSeries, dates);
    sampledTimeSeries = sampledTimeSeries.reciprocal(); // Implementation note: to obtain the series for one unit of non-base currency expressed in base currency.
    LocalDateDoubleTimeSeries returnSeries = getReturnSeries(sampledTimeSeries, desiredValue);

    // Clip the time-series to the range originally asked for
    returnSeries = returnSeries.subSeries(returnSeriesStart, includeStart, returnSeries.getLatestTime(), true);
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