Government Bond View broken in latest dev


#1

The Government Bond View is broken in latest dev, as the bond analytics no longer works. Looks like there are changes to how Yield Curve works, and not in the examples-simulated. Please can someone explain changes and what needs to be done? Thanks


#2

Hi,

I’ve just put in a pull request for a proof of concept that fixes the problem for Australia bonds.

https://github.com/OpenGamma/OG-Platform/pull/14

The issue is that you need a security entry for each ibor index, because a convention isn’t really a security. The proof of concept just creates an IborIndex by hand.

This is a bit ugly, and I’m looking for a more general solution.


#3

Please any ideas on this? I am trying to avoid rolling back to older version. Thanks


#4

I’m taking a look at this. It looks like there is a evaluation error in one of the yield curve converter functions.

Also do you know what version this started breaking in? It will help me track it down.


#5

Thanks. Not sure but it started in versions pulled on about Mar12 or Mar13.


#6

Thanks.

I got the system to fail in eclipse and I’m reporting my results on “Dumping log files / yield curve failures”


#7

Do you have a commit id for working version of opengamma? I tried to find where the system broke through bisection, but I ran into problems with bugs that were crashing the system.

If you can give me a commit id of a working system and the first commit id of something that breaks, that will help me a lot in tracking down what is wrong.

I’m pretty anxious to getting this bug fixed myself, since it is the only blocker for a local release here.


#8

Unfortunately I do not, as I did not realise it was broken until I tried to retest bonds. There appear to be some changes to how curves works hence “Curves - Legacy” in the new GUI.


#9

FYI. It appears to have started breaking between M11 and M12.


#10

I believe that the issue was triggered by 911704fbd47c8f

I’ll see about fixing it.


#11

Thanks. Note that there is a related issue here which affects some of the other views as well:
http://jira.opengamma.com/browse/PLAT-6267


#12

I just modified pull #14 so that all of the items needed for the example server to work seem to be there.

It looks like that OG is in the middle of some much needed refactoring to set things up so that the conventions are not securities. Once the refactoring is complete, then it should be possible to delete most of the files in the conventions directory in the example server and then use the conventions from the main server, and then include only the indices necessary to run example.


#13

Thanks for this fix.

It would be nice to know when OG plan to finish the refactoring.


#14

As you have noticed, there have been some changes to the way that conventions work which have unfortunately broken the example views on the develop branch. This has been assigned to be fixed but the changes are fairly involved and we also want to update these views to use our new curve system.

We will update this thread when the views are working again. In the meantime, thanks Joe for the pull request - this is a good illustration of the way that conventions have changed.


#15

Jonathan - thanks for the update. Please do you have any document on how the new curve works?


#16

I’d like to do a brain dump of the changes into a wiki, where would be the best place to put that?

It took me a while to understand what is going on, but it makes a lot of sense that the difference is.

The basic change was that the old system stored market data with the conventions. This really didn’t make any sense because a convention isn’t a thing that you should store data in. This created a lot of need for special coding.

The new system creates a security (i.e. IborIndex) that stores the market data. This requires that the database actually have the security with the market data information, which makes more sense.

It’s quite nicer since you can rip out large chunks of unused code now. For example, there is no need for the example server to define it’s own conventions. It just should use the conventions from the main server.


#17

Joe - we don’t currently have a public wiki but I would welcome a brain dump of the changes. Could you either post it here or in a Gist? In future we will probably have docs as part of the codebase so you would be able to submit a pull request.

Thanks