Package com.opengamma.engine.value

Examples of com.opengamma.engine.value.ValueProperties

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    return properties;
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    final ValueProperties properties = getResultProperties(target);
    return ImmutableSet.of(new ValueSpecification(ValueRequirementNames.FX_FORWARD_CURVE_RETURN_SERIES, target.toSpecification(), properties));
  }
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  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final UnorderedCurrencyPair currencyPair = (UnorderedCurrencyPair) target.getValue();
    final ValueProperties constraints = desiredValue.getConstraints();
    final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE);
    if (curveNames == null || curveNames.size() != 1) {
      return null;
    }
    final String curveName = Iterables.getOnlyElement(curveNames);
    final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
      return null;
    }
    final String curveCalculationConfigName = Iterables.getOnlyElement(curveCalculationConfigNames);

    final String ychtsStart = getFCHTSStart(constraints);
    if (ychtsStart == null) {
      return null;
    }
    final DateConstraint start = DateConstraint.parse(ychtsStart);
    final String returnSeriesEnd = getReturnSeriesEnd(constraints);
    if (returnSeriesEnd == null) {
      return null;
    }
    final DateConstraint end = DateConstraint.parse(returnSeriesEnd);
    if (start == null || end == null) {
      return null;
    }

    final Set<String> includeStarts = constraints.getValues(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY);
    if (includeStarts != null && includeStarts.size() != 1) {
      return null;
    }
    final boolean includeStart = includeStarts == null ? true : HistoricalTimeSeriesFunctionUtils.YES_VALUE.equals(Iterables.getOnlyElement(includeStarts));
    final Set<String> includeEnds = constraints.getValues(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY);
    if (includeEnds != null && includeEnds.size() != 1) {
      return null;
    }
    final boolean includeEnd = includeEnds == null ? false : HistoricalTimeSeriesFunctionUtils.YES_VALUE.equals(Iterables.getOnlyElement(includeEnds));
    final Set<String> samplingMethod = constraints.getValues(ValuePropertyNames.SAMPLING_FUNCTION);
    if (samplingMethod == null || samplingMethod.size() != 1) {
      return null;
    }
    final Set<String> scheduleMethod = constraints.getValues(ValuePropertyNames.SCHEDULE_CALCULATOR);
    if (scheduleMethod == null || scheduleMethod.size() != 1) {
      return null;
    }
    final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
    requirements.add(HistoricalTimeSeriesFunctionUtils.createFXForwardCurveHTSRequirement(currencyPair, curveName, MarketDataRequirementNames.MARKET_VALUE,
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    }
    return new TenorLabelledLocalDateDoubleTimeSeriesMatrix1D(tenors, returnSeriesArray);
  }

  private ValueRequirement getFXForwardCurveDefinitionRequirement(final UnorderedCurrencyPair currencies, final String curveName) {
    final ValueProperties properties = ValueProperties.builder()
        .with(ValuePropertyNames.CURVE, curveName).get();
    return new ValueRequirement(ValueRequirementNames.FX_FORWARD_CURVE_DEFINITION, ComputationTargetType.UNORDERED_CURRENCY_PAIR.specification(currencies), properties);
  }
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  }

  @Override
  protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final String currency = target.getUniqueId().getValue();
    final ValueProperties defaults = context.getViewCalculationConfiguration().getDefaultProperties();
    final Set<String> names = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
    Set<String> values;
    if ((names != null) && (names.size() == 1)) {
      final String name = names.iterator().next();
      values = defaults.getValues(name + "_" + currency + "_" + YIELD_CURVE_SHIFT);
      if (values != null) {
        return values;
      }
      values = defaults.getValues(name + "_" + YIELD_CURVE_SHIFT);
      if (values != null) {
        return values;
      }
    }
    values = defaults.getValues(currency + "_" + YIELD_CURVE_SHIFT);
    if (values != null) {
      return values;
    }
    return defaults.getValues(YIELD_CURVE_SHIFT);
  }
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    return ComputationTargetType.SECURITY;
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    final ValueProperties props = createValueProperties()
        .withAny(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY)
        .withAny(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY)
        .withAny(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY)
        .with(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE, HistoricalTimeSeriesFunctionUtils.NO_VALUE)
        .withAny(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY)
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  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final Position position = target.getPosition();
    final Collection<Trade> trades = position.getTrades();
    final Set<ValueRequirement> result = new HashSet<ValueRequirement>();
    final ValueProperties inputConstraint = desiredValue.getConstraints().withoutAny(ValuePropertyNames.FUNCTION);
    for (final Trade trade : trades) {
      result.add(new ValueRequirement(_requirementName, ComputationTargetType.TRADE, trade.getUniqueId(), inputConstraint));
    }
    return result;
  }
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    return Collections.singleton(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_MARKET_DATA, target.toSpecification(), ValueProperties.all()));
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final ValueProperties constraints = desiredValue.getConstraints();
    final Set<String> shift = constraints.getValues(SHIFT);
    if ((shift == null) || shift.isEmpty() || constraints.isOptional(SHIFT)) {
      return null;
    }
    final ValueProperties properties = desiredValue.getConstraints().copy().withoutAny(SHIFT).with(SHIFT, "0").withOptional(SHIFT).get();
    return Collections.singleton(new ValueRequirement(desiredValue.getValueName(), target.toSpecification(), properties));
  }
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  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
    final ValueSpecification input = inputs.keySet().iterator().next();
    final ValueProperties properties = createValueProperties(input).withAny(SHIFT).get();
    return Collections.singleton(new ValueSpecification(input.getValueName(), input.getTargetSpecification(), properties));
  }
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    if (surfaceQuoteUnits == null) {
      throw new OpenGammaRuntimeException("Could not get surface quote units");
    }

    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final ValueProperties surfaceProperties = ValueProperties.builder()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.BOND_FUTURE_OPTION)
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, surfaceQuoteType)
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, surfaceQuoteUnits).get();
    final Object volatilityDataObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.VOLATILITY_SURFACE_DATA, target.toSpecification(), surfaceProperties));
    if (volatilityDataObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface data");
    }
    @SuppressWarnings("unchecked")
    final VolatilitySurfaceData<Number, Double> surfaceData = (VolatilitySurfaceData<Number, Double>) volatilityDataObject;
    final ValueProperties properties = createValueProperties()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.BOND_FUTURE_OPTION).get();
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), properties);
    if (surfaceQuoteUnits.equals(SurfaceAndCubePropertyNames.VOLATILITY_QUOTE)) {
      return Collections.singleton(new ComputedValue(spec, getSurfaceFromVolatilityQuote(surfaceData, now, calendar)));
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    if (specification == null) {
      s_logger.error("Could not get volatility surface specification named {}", fullSpecificationName);
      return null;
    }
    final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
    final ValueProperties surfaceProperties = ValueProperties.builder()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.BOND_FUTURE_OPTION)
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, specification.getSurfaceQuoteType())
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, specification.getQuoteUnits()).get();
    requirements.add(new ValueRequirement(ValueRequirementNames.VOLATILITY_SURFACE_DATA, target.toSpecification(), surfaceProperties));
    if (specification.getQuoteUnits().equals(SurfaceAndCubePropertyNames.PRICE_QUOTE)) { // Term structure of futures prices is also required
      final Set<String> curveNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
      final String curveName;
      if (curveNames == null || curveNames.size() != 1) {
        curveName = surfaceName;
      } else {
        curveName = curveNames.iterator().next();
      }
      final ValueProperties curveProperties = ValueProperties.builder()
          .with(ValuePropertyNames.CURVE, curveName)
          .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.BOND_FUTURE_PRICE).get();
      final ValueRequirement curveRequirement = new ValueRequirement(ValueRequirementNames.FUTURE_PRICE_CURVE_DATA, target.toSpecification(), curveProperties);
      requirements.add(curveRequirement);
    }
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