/**
* 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.HashSet;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.simpleinstruments.pricing.SimpleFutureDataBundle;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.future.FutureSecurity;
import com.opengamma.util.money.Currency;
/**
* @param <T> The type of the data returned from the calculator
*/
public abstract class CostOfCarryFuturesFunction<T> extends FuturesFunction<T> {
/** The calculation method name */
public static final String CALCULATION_METHOD_NAME = "CostOfCarry";
/**
* @param valueRequirementName String describes the value requested
* @param calculator The calculator
* @param closingPriceField The field name of the historical time series for price, e.g. "PX_LAST", "Close". Set in *FunctionConfiguration
* @param costOfCarryField The field name of the historical time series for cost of carry e.g. "COST_OF_CARRY". Set in *FunctionConfiguration
* @param resolutionKey The key defining how the time series resolution is to occur e.g. "DEFAULT_TSS_CONFIG"
*/
public CostOfCarryFuturesFunction(final String valueRequirementName, final InstrumentDerivativeVisitor<SimpleFutureDataBundle, T> calculator,
String closingPriceField, String costOfCarryField, String resolutionKey) {
super(valueRequirementName, calculator, closingPriceField, costOfCarryField, resolutionKey);
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final FutureSecurity security = (FutureSecurity) target.getTrade().getSecurity();
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
// Spot
final ValueRequirement refPriceReq = getReferencePriceRequirement(context, security);
if (refPriceReq == null) {
return null;
}
requirements.add(refPriceReq);
requirements.add(getSpotAssetRequirement(security));
requirements.add(getCostOfCarryRequirement(security));
return requirements;
}
@Override
protected ValueProperties.Builder createValueProperties(final ComputationTarget target) {
final Currency ccy = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CURRENCY, ccy.getCode())
.with(ValuePropertyNames.CALCULATION_METHOD, CALCULATION_METHOD_NAME);
return properties;
}
@Override
protected SimpleFutureDataBundle getFutureDataBundle(final FutureSecurity security, final FunctionInputs inputs,
final HistoricalTimeSeriesBundle timeSeriesBundle, final ValueRequirement desiredValue) {
final Double spotUnderlyer = getSpot(inputs);
final Double costOfCarry = getCostOfCarry(security, inputs);
return new SimpleFutureDataBundle(null, null, spotUnderlyer, null, costOfCarry);
}
private ValueRequirement getCostOfCarryRequirement(final FutureSecurity security) {
return new ValueRequirement(MarketDataRequirementNames.COST_OF_CARRY, ComputationTargetType.PRIMITIVE, getSpotAssetId(security)); // [PLAT-2286] Is this PRIMITIVE or SECURITY?
}
private Double getCostOfCarry(final FutureSecurity security, final FunctionInputs inputs) {
final ValueRequirement costOfCarryRequirement = getCostOfCarryRequirement(security);
final Object costOfCarryObject = inputs.getValue(costOfCarryRequirement);
if (costOfCarryObject == null) {
throw new OpenGammaRuntimeException("Could not get " + costOfCarryRequirement);
}
return (Double) costOfCarryObject;
}
}