Package com.opengamma.engine.value

Examples of com.opengamma.engine.value.ValueRequirement

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    // Add adjuster / normalisation constraint
    final HistoricalTimeSeriesAdjuster adjuster = resolutionResult.getAdjuster();
    final String adjustment = (adjuster == null) ? "" : adjuster.getAdjustment(resolutionResult.getHistoricalTimeSeriesInfo().getExternalIdBundle().toBundle()).toString();
    constraints.with(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY, adjustment);
   
    ValueRequirement valueRequirement = new ValueRequirement(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST, ComputationTargetType.PRIMITIVE, htsId, constraints.get());
    return Collections.singleton(valueRequirement);
  }
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    }
    final Set<String> fundingCurveNames = desiredValue.getConstraints().getValues(YieldCurveFunction.PROPERTY_FUNDING_CURVE);
    if ((fundingCurveNames == null) || (fundingCurveNames.size() != 1)) {
      return null;
    }
    return Collections.singleton(new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, target.toSpecification(), ValueProperties.with(ValuePropertyNames.CURVE, curveNames).get()));
  }
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    return Collections.singleton(new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, target.toSpecification(), ValueProperties.with(ValuePropertyNames.CURVE, curveNames).get()));
  }

  @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 String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final InterpolatedYieldCurveSpecificationWithSecurities curve = (InterpolatedYieldCurveSpecificationWithSecurities) inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    final Set<ValueRequirement> timeSeriesRequirements = new HashSet<ValueRequirement>();
    for (final FixedIncomeStripWithSecurity strip : curve.getStrips()) {
      final FinancialSecurity financialSecurity = (FinancialSecurity) strip.getSecurity();
      final InstrumentDefinition<?> definition = getSecurityConverter().visit(financialSecurity);
      final Set<ValueRequirement> requirements = getDefinitionConverter().getConversionTimeSeriesRequirements(financialSecurity, definition);
      if (requirements == null) {
        throw new OpenGammaRuntimeException("Can't get time series requirements for " + strip + " on " + curveName);
      }
      timeSeriesRequirements.addAll(requirements);
    }
    final HistoricalTimeSeriesBundle timeSeries = new HistoricalTimeSeriesBundle();
    final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
    for (ValueRequirement timeSeriesRequirement : timeSeriesRequirements) {
      final HistoricalTimeSeries hts = HistoricalTimeSeriesFunction.executeImpl(executionContext, timeSeriesSource,
          timeSeriesRequirement.getTargetReference().getSpecification(), timeSeriesRequirement);
      if (hts == null) {
        throw new OpenGammaRuntimeException("Can't get time series for " + timeSeriesRequirement);
      }
      timeSeries.add(timeSeriesRequirement.getConstraint(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY), timeSeriesSource.getExternalIdBundle(hts.getUniqueId()), hts);
    }
    return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES, target.toSpecification(), desiredValue
        .getConstraints()), timeSeries));
  }
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    return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT).toInstant(), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000).toInstant()) {

      @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 String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
        final String instrumentType = desiredValue.getConstraint(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE);
        VolatilitySurfaceSpecification specification = null;
        if (instrumentType.equals(InstrumentTypeProperties.FOREX)) {
          final UnorderedCurrencyPair pair = UnorderedCurrencyPair.of(target.getUniqueId());
          String name = pair.getFirstCurrency().getCode() + pair.getSecondCurrency().getCode();
          String fullSpecificationName = surfaceName + "_" + name;
          specification = source.getSpecification(fullSpecificationName, instrumentType);
          if (specification == null) {
            name = pair.getSecondCurrency().getCode() + pair.getFirstCurrency().getCode();
            fullSpecificationName = surfaceName + "_" + name;
            specification = source.getSpecification(fullSpecificationName, instrumentType);
            if (specification == null) {
              throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName);
            }
          }
        } else if (instrumentType.equals(InstrumentTypeProperties.EQUITY_OPTION) || instrumentType.equals(InstrumentTypeProperties.EQUITY_FUTURE_OPTION)) {
          final String fullSpecificationName = surfaceName + "_" + EquitySecurityUtils.getTrimmedTarget(UniqueId.parse(target.getValue().toString()));
          specification = source.getSpecification(fullSpecificationName, instrumentType);
          if (specification == null) {
            throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName + " for instrument type " + instrumentType);
          }
        } else {
          final String fullSpecificationName = surfaceName + "_" + target.getUniqueId().getValue();
          specification = source.getSpecification(fullSpecificationName, instrumentType);
          if (specification == null) {
            throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName + " for instrument type " + instrumentType);
          }
        }
        @SuppressWarnings("synthetic-access")
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE_SPEC, target.toSpecification(),
            createValueProperties()
            .with(ValuePropertyNames.SURFACE, surfaceName)
            .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, instrumentType)
            .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, specification.getSurfaceQuoteType())
            .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, specification.getQuoteUnits()).get());
        return Collections.singleton(new ComputedValue(spec, specification));
      }

      @Override
      public ComputationTargetType getTargetType() {
        return ComputationTargetType.ANYTHING;
      }

      @SuppressWarnings("synthetic-access")
      @Override
      public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
        return Collections.singleton(new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE_SPEC, target.toSpecification(),
            createValueProperties()
            .withAny(ValuePropertyNames.SURFACE)
            .withAny(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE)
            .withAny(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE)
            .withAny(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS).get()));
      }

      @Override
      public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
        final Set<String> surfaceNames = desiredValue.getConstraints().getValues(ValuePropertyNames.SURFACE);
        if (surfaceNames == null || surfaceNames.size() != 1) {
          return null;
        }
        final Set<String> instrumentTypes = desiredValue.getConstraints().getValues(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE);
        if (instrumentTypes == null || instrumentTypes.size() != 1) {
          return null;
        }
        return Collections.emptySet();
      }
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  private static final Logger s_logger = LoggerFactory.getLogger(CurveConfigurationHistoricalTimeSeriesFunction.class);

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
    final CurveConstructionConfiguration constructionConfig = (CurveConstructionConfiguration) inputs.getValue(ValueRequirementNames.CURVE_CONSTRUCTION_CONFIG);
    final List<CurveGroupConfiguration> groups = constructionConfig.getCurveGroups();
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    for (final CurveGroupConfiguration group : groups) {
      //TODO do we want to put information in about whether or not to use fixing time series?
      //TODO do we want to exclude node types that definitely don't need fixing data?
      for (final Map.Entry<String, List<CurveTypeConfiguration>> entry : group.getTypesForCurves().entrySet()) {
        final String curveName = entry.getKey();
        final ValueProperties properties = ValueProperties.builder()
            .with(ValuePropertyNames.CURVE, curveName)
            .get();
        final ValueRequirement bundleRequirement = new ValueRequirement(ValueRequirementNames.CURVE_HISTORICAL_TIME_SERIES, targetSpec, properties);
        final ValueRequirement specRequirement = new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, targetSpec, properties);
        final HistoricalTimeSeriesBundle bundleForCurve = (HistoricalTimeSeriesBundle) inputs.getValue(bundleRequirement);
        final CurveSpecification curveSpec = (CurveSpecification) inputs.getValue(specRequirement);
        for (final CurveNodeWithIdentifier node : curveSpec.getNodes()) {
          String dataField = node.getDataField();
          ExternalIdBundle ids = ExternalIdBundle.of(node.getIdentifier());
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      for (final Map.Entry<String, List<CurveTypeConfiguration>> entry : group.getTypesForCurves().entrySet()) {
        final String curveName = entry.getKey();
        final ValueProperties properties = ValueProperties.builder()
            .with(ValuePropertyNames.CURVE, curveName)
            .get();
        requirements.add(new ValueRequirement(ValueRequirementNames.CURVE_HISTORICAL_TIME_SERIES, targetSpec, properties));
        requirements.add(new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, targetSpec, properties));
      }
    }
    final ValueProperties properties = ValueProperties.builder()
        .with(ValuePropertyNames.CURVE_CONSTRUCTION_CONFIG, curveConstructionConfig)
        .get();
    requirements.add(new ValueRequirement(ValueRequirementNames.CURVE_CONSTRUCTION_CONFIG, targetSpec, properties));
    return requirements;
  }
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    return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000)) {

      @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 String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
        final String instrumentType = desiredValue.getConstraint(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE);
        VolatilitySurfaceDefinition<?, ?> definition = null;
        if (instrumentType.equals(InstrumentTypeProperties.FOREX)) {
          final UnorderedCurrencyPair pair = UnorderedCurrencyPair.of(target.getUniqueId());
          String name = pair.getFirstCurrency().getCode() + pair.getSecondCurrency().getCode();
          String fullDefinitionName = surfaceName + "_" + name;
          definition = source.getDefinition(fullDefinitionName, instrumentType);
          if (definition == null) {
            name = pair.getSecondCurrency().getCode() + pair.getFirstCurrency().getCode();
            fullDefinitionName = surfaceName + "_" + name;
            definition = source.getDefinition(fullDefinitionName, instrumentType);
            if (definition == null) {
              throw new OpenGammaRuntimeException("Could not get volatility surface definition named " + fullDefinitionName);
            }
          }
        } else if (instrumentType.equals(InstrumentTypeProperties.EQUITY_OPTION) || instrumentType.equals(InstrumentTypeProperties.EQUITY_FUTURE_OPTION)) {
          //FIXME: Modify to take ExternalId to avoid incorrect cast to UniqueId
          final String fullDefinitionName = surfaceName + "_" + EquitySecurityUtils.getTrimmedTarget(UniqueId.parse(target.getValue().toString()));
          definition = source.getDefinition(fullDefinitionName, instrumentType);
          if (definition == null) {
            throw new OpenGammaRuntimeException("Could not get volatility surface definition named " + fullDefinitionName + " for instrument type " + instrumentType);
          }
        } else {
          final String fullDefinitionName = surfaceName + "_" + target.getUniqueId().getValue();
          definition = source.getDefinition(fullDefinitionName, instrumentType);
          if (definition == null) {
            throw new OpenGammaRuntimeException("Could not get volatility surface definition named " + fullDefinitionName + " for instrument type " + instrumentType);
          }
        }
        @SuppressWarnings("synthetic-access")
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE_DEFINITION, target.toSpecification(),
            createValueProperties()
            .with(ValuePropertyNames.SURFACE, surfaceName)
            .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, instrumentType).get());
        return Collections.singleton(new ComputedValue(spec, definition));
      }

      @Override
      public ComputationTargetType getTargetType() {
        return ComputationTargetType.ANYTHING;
      }

      @SuppressWarnings("synthetic-access")
      @Override
      public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
        return Collections.singleton(new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE_DEFINITION, target.toSpecification(),
            createValueProperties()
            .withAny(ValuePropertyNames.SURFACE)
            .withAny(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE)
            .get()));
      }

      @Override
      public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
        final Set<String> surfaceNames = desiredValue.getConstraints().getValues(ValuePropertyNames.SURFACE);
        if (surfaceNames == null || surfaceNames.size() != 1) {
          return null;
        }
        final Set<String> instrumentTypes = desiredValue.getConstraints().getValues(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE);
        if (instrumentTypes == null || instrumentTypes.size() != 1) {
          return null;
        }
        return Collections.emptySet();
      }
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    final PositionSource positions = builder.getCompilationContext().getPortfolioStructure().getPositionSource();
    final Position position1 = getPosition(positions, "PositionAttr");
    config.setDefaultProperties(ValueProperties.with("POSITION.Present Value.DEFAULT_ForwardCurve." + position1.getUniqueId(), "BarForward")
        .with("POSITION.*.DEFAULT_FundingCurve." + position1.getUniqueId(), "BarFunding").with("POSITION.*.DEFAULT_ForwardCurve", "GenericForward")
        .with("POSITION.Present Value.DEFAULT_FundingCurve", "GenericFunding").get());
    final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(position1), ValueProperties.none());
    final ValueRequirement req2 = createValueRequirement(ComputationTargetSpecification.of(getPosition(positions, "Position")), ValueProperties.none());
    builder.addTarget(req1);
    builder.addTarget(req2);
    builder.getDependencyGraph();
    final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1);
    final ValueSpecification res2 = builder.getValueRequirementMapping().get(req2);
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  }

  public void testPositionAttribute() {
    final DependencyGraphBuilder builder = createBuilder();
    final PositionSource positions = builder.getCompilationContext().getPortfolioStructure().getPositionSource();
    final ValueRequirement req1 = createValueRequirement(ComputationTargetSpecification.of(getPosition(positions, "PositionAttr")), ValueProperties.none());
    builder.addTarget(req1);
    builder.getDependencyGraph();
    final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1);
    assertEquals(res1.getProperty("ForwardCurve"), "FooForward");
    assertEquals(res1.getProperty("FundingCurve"), "FooFunding");
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  public void testSecurityGeneric() {
    final DependencyGraphBuilder builder = createBuilder();
    final ViewCalculationConfiguration config = builder.getCompilationContext().getViewCalculationConfiguration();
    config.setDefaultProperties(ValueProperties.with("SECURITY.Present Value.DEFAULT_ForwardCurve", "BarForward").with("SECURITY.*.DEFAULT_FundingCurve", "BarFunding").get());
    final ValueRequirement req1 = createValueRequirement(
        ComputationTargetSpecification.of(builder.getCompilationContext().getSecuritySource().getSingle(ExternalIdBundle.of(ExternalId.of("Security", "Swap")))), ValueProperties.none());
    builder.addTarget(req1);
    builder.getDependencyGraph();
    final ValueSpecification res1 = builder.getValueRequirementMapping().get(req1);
    assertEquals(res1.getProperty("ForwardCurve"), "BarForward");
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