/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics;
import static com.opengamma.engine.value.ValueRequirementNames.DV01;
import static com.opengamma.engine.value.ValueRequirementNames.PV01;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.core.position.Position;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueSpecification;
/**
* Able to scale values produced by the rest of the OG-Financial package.
*/
public class DV01Function extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(DV01Function.class);
@Override
public String getShortName() {
return "DV01Function";
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.POSITION;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(DV01, target.toSpecification(), ValueProperties.all()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Position position = target.getPosition();
final ValueRequirement requirement = new ValueRequirement(PV01, ComputationTargetType.POSITION, position.getUniqueId(), desiredValue.getConstraints().withoutAny(
ValuePropertyNames.FUNCTION).withoutAny(ValuePropertyNames.SHIFT));
return Collections.singleton(requirement);
}
protected ValueProperties getResultProperties(final ValueSpecification input) {
return input.getProperties().copy().withoutAny(ValuePropertyNames.FUNCTION).with(ValuePropertyNames.FUNCTION, getUniqueId()).withAny(ValuePropertyNames.SHIFT).get();
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final ValueSpecification input = inputs.keySet().iterator().next();
final ValueSpecification specification = new ValueSpecification(DV01, target.toSpecification(), getResultProperties(input));
return Collections.singleton(specification);
}
@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 ComputedValue input = inputs.getAllValues().iterator().next();
final Object value = input.getValue();
final ValueSpecification specification = new ValueSpecification(DV01, target.toSpecification(), desiredValue.getConstraints());
ComputedValue scaledValue = null;
if (value instanceof Double) {
Double doubleValue = (Double) value;
final String shiftStr = desiredValue.getConstraint(ValuePropertyNames.SHIFT);
double shift;
if (shiftStr != null) {
try {
shift = Double.parseDouble(shiftStr);
} catch (final NumberFormatException nfe) {
s_logger.error("Constraint Shift on DV01 not a value double, defaulting to 1d");
shift = 1d;
}
} else {
shift = 1d;
}
doubleValue *= shift;
scaledValue = new ComputedValue(specification, doubleValue);
} else {
s_logger.error("DV01 is non numeric type {}, value {}", value.getClass(), value);
}
return Collections.singleton(scaledValue);
}
}