/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.simpleinstrument;
import java.util.Collections;
import java.util.Set;
import org.apache.commons.lang.Validate;
import org.threeten.bp.Clock;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.simpleinstruments.derivative.SimpleInstrument;
import com.opengamma.analytics.financial.simpleinstruments.pricing.SimpleFutureDataBundleDeprecated;
import com.opengamma.analytics.financial.simpleinstruments.pricing.SimpleFuturePresentValueCalculatorDeprecated;
import com.opengamma.core.value.MarketDataRequirementNames;
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.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.conversion.SimpleFutureConverter;
import com.opengamma.financial.analytics.ircurve.YieldCurveFunction;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.future.EnergyFutureSecurity;
import com.opengamma.financial.security.future.FutureSecurity;
import com.opengamma.financial.security.future.IndexFutureSecurity;
import com.opengamma.financial.security.future.MetalFutureSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.CurrencyAmount;
/**
* @deprecated This function, which assumed 0.0 reference / lastClosing price has been replaced by SimpleFuturePresentValueFunction
*/
@Deprecated
public class SimpleFuturePresentValueFunctionDeprecated extends AbstractFunction.NonCompiledInvoker {
private static final SimpleFutureConverter CONVERTER = new SimpleFutureConverter();
private static final SimpleFuturePresentValueCalculatorDeprecated CALCULATOR = new SimpleFuturePresentValueCalculatorDeprecated();
private final String _curveName;
public SimpleFuturePresentValueFunctionDeprecated(final String curveName) {
Validate.notNull(curveName, "curve name");
_curveName = curveName;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final FutureSecurity security = (FutureSecurity) target.getSecurity();
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final Currency currency = security.getCurrency();
final Object curveObject = inputs.getValue(YieldCurveFunction.getCurveRequirement(currency, _curveName, null, null));
if (curveObject == null) {
throw new OpenGammaRuntimeException("Could not get " + _curveName + " curve");
}
final ExternalId underlyingIdentifier = getUnderlyingIdentifier(security);
final Object spotObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, underlyingIdentifier));
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get market data for " + underlyingIdentifier);
}
final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
final double spot = (Double) spotObject;
final SimpleFutureDataBundleDeprecated data = new SimpleFutureDataBundleDeprecated(curve, null, spot, 0., 0.);
final SimpleInstrument instrument = security.accept(CONVERTER).toDerivative(now);
final CurrencyAmount pv = instrument.accept(CALCULATOR, data);
final ValueProperties properties = createValueProperties()
.with(ValuePropertyNames.CURVE, _curveName)
.with(ValuePropertyNames.CURRENCY, pv.getCurrency().getCode()).get();
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, pv.getAmount()));
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.ENERGY_FUTURE_SECURITY.or(FinancialSecurityTypes.METAL_FUTURE_SECURITY).or(FinancialSecurityTypes.INDEX_FUTURE_SECURITY);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = createValueProperties()
.with(ValuePropertyNames.CURVE, _curveName)
.with(ValuePropertyNames.CURRENCY, ((FutureSecurity) target.getSecurity()).getCurrency().getCode()).get();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final FutureSecurity future = (FutureSecurity) target.getSecurity();
final ExternalId underlyingIdentifier = getUnderlyingIdentifier(future);
final ValueRequirement yieldCurve = YieldCurveFunction.getCurveRequirement(future.getCurrency(), _curveName, null, null);
final ValueRequirement spot = new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, underlyingIdentifier);
return Sets.newHashSet(yieldCurve, spot);
}
private ExternalId getUnderlyingIdentifier(final FutureSecurity future) {
final ExternalId underlyingIdentifier;
if (future instanceof EnergyFutureSecurity) {
underlyingIdentifier = ((EnergyFutureSecurity) future).getUnderlyingId();
} else if (future instanceof MetalFutureSecurity) {
underlyingIdentifier = ((MetalFutureSecurity) future).getUnderlyingId();
} else if (future instanceof IndexFutureSecurity) {
underlyingIdentifier = ((IndexFutureSecurity) future).getUnderlyingId();
} else {
throw new OpenGammaRuntimeException("Future was not an energy, index or metal future; should never happen");
}
if (underlyingIdentifier == null) {
throw new OpenGammaRuntimeException("Underlying identifier for " + future + " was null");
}
return underlyingIdentifier;
}
}