/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.covariance;
import java.util.Collections;
import java.util.Set;
import com.opengamma.core.position.Portfolio;
import com.opengamma.core.position.Position;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.engine.view.ViewCalculationConfiguration;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.riskfactors.RiskFactorsGatherer;
import com.opengamma.financial.view.HistoricalViewEvaluationResult;
import com.opengamma.timeseries.DoubleTimeSeries;
/**
* Uses the risk factor values to create the covariance matrix.
*/
public class RiskFactorCovarianceMatrixFunction extends SampledCovarianceMatrixFunction {
// FunctionDefinition
/**
* Initializes the function.
*
* @param context the compilation context
* @deprecated [PLAT-2240] This just checks whether the context is suitably configured
*/
@Deprecated
@Override
public void init(final FunctionCompilationContext context) {
super.init(context);
if (OpenGammaCompilationContext.getRiskFactorsGatherer(context) == null) {
throw new IllegalStateException("Function compilation context does not contain " + OpenGammaCompilationContext.RISK_FACTORS_GATHERER_NAME);
}
}
// SampledCovarianceMatrix
@Override
protected String getDataType() {
return "RiskFactors";
}
@Override
protected void addValueRequirements(final FunctionCompilationContext context, final Portfolio portfolio, final ViewCalculationConfiguration calcConfig) {
final RiskFactorsGatherer riskFactors = OpenGammaCompilationContext.getRiskFactorsGatherer(context);
calcConfig.addSpecificRequirements(riskFactors.getPositionRiskFactors(portfolio));
}
@Override
protected void addValueRequirements(final FunctionCompilationContext context, final Position position, final ViewCalculationConfiguration calcConfig) {
final RiskFactorsGatherer riskFactors = OpenGammaCompilationContext.getRiskFactorsGatherer(context);
calcConfig.addSpecificRequirements(riskFactors.getPositionRiskFactors(position));
}
// FunctionInvoker
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final HistoricalViewEvaluationResult riskFactors = (HistoricalViewEvaluationResult) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
// Grab the value specifications as a list so that we iterate over them in a consistent order to construct the matrix
final ValueRequirement[] riskFactorReqs = riskFactors.getValueRequirements().toArray(new ValueRequirement[riskFactors.getValueRequirements().size()]);
@SuppressWarnings("rawtypes")
final DoubleTimeSeries[] timeSeries = new DoubleTimeSeries[riskFactorReqs.length];
for (int i = 0; i < riskFactorReqs.length; i++) {
timeSeries[i] = riskFactors.getDoubleTimeSeries(riskFactorReqs[i]);
}
final ValueRequirement desiredValueReq = desiredValues.iterator().next();
final ValueSpecification desiredValueSpec = new ValueSpecification(ValueRequirementNames.COVARIANCE_MATRIX, target.toSpecification(), desiredValueReq.getConstraints());
return Collections.singleton(new ComputedValue(desiredValueSpec, createCovarianceMatrix(timeSeries, riskFactorReqs)));
}
}