/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.future;
import java.util.List;
import java.util.Set;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.future.calculator.BondFutureNetBasisFromCurvesCalculator;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFuture;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.StringLabelledMatrix1D;
import com.opengamma.financial.analytics.model.bond.BondFunction;
import com.opengamma.financial.security.future.BondFutureDeliverable;
/**
*
*/
public class BondFutureNetBasisFromCurvesFunction extends BondFutureFromCurvesFunction {
private static final BondFutureNetBasisFromCurvesCalculator CALCULATOR = BondFutureNetBasisFromCurvesCalculator.getInstance();
public BondFutureNetBasisFromCurvesFunction() {
super(ValueRequirementNames.NET_BASIS, BondFunction.FROM_CURVES_METHOD);
}
@Override
protected Set<ComputedValue> calculate(final com.opengamma.financial.security.future.BondFutureSecurity security, final BondFuture bondFuture, final YieldCurveBundle data,
final ComputationTarget target) {
final List<BondFutureDeliverable> deliverables = security.getBasket();
final int n = deliverables.size();
final double[] netBasis = bondFuture.accept(CALCULATOR, data);
if (netBasis.length != n) {
throw new OpenGammaRuntimeException("Do not have a net basis for every deliverable: should never happen");
}
final String[] label = new String[n];
for (int i = 0; i < n; i++) {
label[i] = deliverables.get(i).getIdentifiers().getValue(ExternalSchemes.BLOOMBERG_BUID);
}
final StringLabelledMatrix1D result = new StringLabelledMatrix1D(label, netBasis);
return Sets.newHashSet(new ComputedValue(getResultSpec(target), result));
}
}