/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.timeseries;
import java.util.Collections;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.LocalDate;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource;
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.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition;
import com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveInstrumentProvider;
import com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveSpecification;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.time.Tenor;
/**
* Function to source time series data for each of the instruments in a curve from a {@link HistoricalTimeSeriesSource} attached to the execution context.
*/
public class FXForwardCurveHistoricalTimeSeriesFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(FXForwardCurveHistoricalTimeSeriesFunction.class);
private static String parseString(final String str) {
if (str.length() == 0) {
return null;
}
return str;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String dataField = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
final String resolutionKey = parseString(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY));
final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY));
final boolean includeStart = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY));
final LocalDate endDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY));
final boolean includeEnd = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY));
final FXForwardCurveDefinition definition = (FXForwardCurveDefinition) inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_DEFINITION);
final FXForwardCurveSpecification specification = (FXForwardCurveSpecification) inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_SPECIFICATION);
final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
final Tenor[] tenors = definition.getTenors();
final FXForwardCurveInstrumentProvider curveInstrumentProvider = specification.getCurveInstrumentProvider();
for (final Tenor tenor : tenors) {
final ExternalIdBundle id = ExternalIdBundle.of(curveInstrumentProvider.getInstrument(endDate, tenor));
final HistoricalTimeSeries timeSeries = timeSeriesSource.getHistoricalTimeSeries(dataField, id, resolutionKey, startDate, includeStart, endDate, includeEnd);
if (timeSeries != null) {
if (timeSeries.getTimeSeries().isEmpty()) {
s_logger.warn("Time series for {} is empty", id);
} else {
bundle.add(dataField, id, timeSeries);
}
} else {
s_logger.warn("Couldn't get time series for {}", id);
}
}
final ExternalIdBundle id = ExternalIdBundle.of(curveInstrumentProvider.getSpotInstrument());
final HistoricalTimeSeries timeSeries = timeSeriesSource.getHistoricalTimeSeries(dataField, id, resolutionKey, startDate, includeStart, endDate, includeEnd);
if (timeSeries != null) {
if (timeSeries.getTimeSeries().isEmpty()) {
s_logger.warn("Time series for {} is empty", id);
} else {
bundle.add(dataField, id, timeSeries);
}
} else {
s_logger.warn("Couldn't get time series for {}", id);
}
return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.FX_FORWARD_CURVE_HISTORICAL_TIME_SERIES, target.toSpecification(),
desiredValue.getConstraints()), bundle));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.UNORDERED_CURRENCY_PAIR;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(ValueRequirementNames.FX_FORWARD_CURVE_HISTORICAL_TIME_SERIES, target.toSpecification(), createValueProperties()
.withAny(ValuePropertyNames.CURVE)
.withAny(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY)
.withAny(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY)
.withAny(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE, HistoricalTimeSeriesFunctionUtils.NO_VALUE)
.withAny(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE, HistoricalTimeSeriesFunctionUtils.NO_VALUE).get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
ValueProperties.Builder constraints = null;
Set<String> values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
if ((values == null) || values.isEmpty()) {
constraints = desiredValue.getConstraints().copy().with(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY, MarketDataRequirementNames.MARKET_VALUE);
} else if (values.size() > 1) {
constraints = desiredValue.getConstraints().copy().withoutAny(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY, values.iterator().next());
}
values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY);
if ((values == null) || values.isEmpty()) {
if (constraints == null) {
constraints = desiredValue.getConstraints().copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY, "");
} else if (values.size() > 1) {
if (constraints == null) {
constraints = desiredValue.getConstraints().copy();
}
constraints.withoutAny(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY).with(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY, values.iterator().next());
}
values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY);
if ((values == null) || values.isEmpty()) {
if (constraints == null) {
constraints = desiredValue.getConstraints().copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY, "Null");
}
values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY);
if ((values == null) || (values.size() != 1)) {
if (constraints == null) {
constraints = desiredValue.getConstraints().copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE);
}
values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY);
if ((values == null) || values.isEmpty()) {
if (constraints == null) {
constraints = desiredValue.getConstraints().copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY, "Now");
}
values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY);
if ((values == null) || (values.size() != 1)) {
if (constraints == null) {
constraints = desiredValue.getConstraints().copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE);
}
if (constraints == null) {
// We can satisfy the desired value as-is, just ask for the FX forward curve definition and specification to drive our behavior
final ValueProperties curveConstraints;
values = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
if (values != null) {
if (values.isEmpty()) {
curveConstraints = ValueProperties.withAny(ValuePropertyNames.CURVE).get();
} else {
curveConstraints = ValueProperties.with(ValuePropertyNames.CURVE, values).get();
}
} else {
curveConstraints = ValueProperties.none();
}
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.add(new ValueRequirement(ValueRequirementNames.FX_FORWARD_CURVE_SPECIFICATION, target.toSpecification(), curveConstraints));
requirements.add(new ValueRequirement(ValueRequirementNames.FX_FORWARD_CURVE_DEFINITION, target.toSpecification(), curveConstraints));
return requirements;
}
// We need to substitute ourselves with the adjusted constraints
return Collections.singleton(new ValueRequirement(ValueRequirementNames.FX_FORWARD_CURVE_HISTORICAL_TIME_SERIES, target.toSpecification(), constraints.get()));
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final ValueSpecification input = inputs.keySet().iterator().next();
if (ValueRequirementNames.FX_FORWARD_CURVE_HISTORICAL_TIME_SERIES.equals(input.getValueName())) {
// Use the substituted result
return Collections.singleton(input);
}
// Use full results - graph builder will compose correctly against the desired value
return getResults(context, target);
}
}