/**
* 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.ArrayList;
import java.util.Arrays;
import java.util.List;
import com.opengamma.core.config.impl.ConfigItem;
import com.opengamma.engine.function.config.AbstractFunctionConfigurationBean;
import com.opengamma.engine.function.config.FunctionConfiguration;
import com.opengamma.engine.function.config.FunctionConfigurationSource;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.ircurve.YieldCurveDefinition;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.curve.interestrate.ImpliedDepositCurveFunction;
import com.opengamma.master.config.ConfigDocument;
import com.opengamma.master.config.ConfigMaster;
import com.opengamma.master.config.ConfigSearchRequest;
import com.opengamma.master.config.impl.ConfigSearchIterator;
/**
* Function repository configuration source for the functions contained in this package.
*/
public class TimeSeriesFunctions extends AbstractFunctionConfigurationBean {
/**
* Default instance of a repository configuration source exposing the functions from this package.
*
* @return the configuration source exposing functions from this package
*/
public static FunctionConfigurationSource instance() {
return new TimeSeriesFunctions().getObjectCreating();
}
/**
* Returns a factory that populates the repository with functions that produce {@link ValueRequirementNames#YIELD_CURVE_HISTORICAL_TIME_SERIES}
* for all curve types <b>except</b> {@link ImpliedDepositCurveFunction#IMPLIED_DEPOSIT}
* @param configMaster The configuration master
* @return A function configuration source
*/
public static FunctionConfigurationSource providers(final ConfigMaster configMaster) {
final Providers factory = new Providers();
factory.setConfigMaster(configMaster);
return factory.getObjectCreating();
}
/**
* Function repository configuration source for yield curve functions based on the items defined in a Config Master.
*/
public static class Providers extends AbstractFunctionConfigurationBean {
/** The configuration master */
private ConfigMaster _configMaster;
/**
* Sets the configuration master.
* @param configMaster The config master
*/
public void setConfigMaster(final ConfigMaster configMaster) {
_configMaster = configMaster;
}
/**
* Gets the configuration master.
* @return The configuration master.
*/
public ConfigMaster getConfigMaster() {
return _configMaster;
}
@Override
protected void addAllConfigurations(final List<FunctionConfiguration> functions) {
// search for the names of implied deposit curves and exclude from historical time series function
final List<String> excludedCurves = new ArrayList<>();
final ConfigSearchRequest<YieldCurveDefinition> searchRequest = new ConfigSearchRequest<>();
searchRequest.setType(MultiCurveCalculationConfig.class);
for (final ConfigDocument configDocument : ConfigSearchIterator.iterable(_configMaster, searchRequest)) {
final String documentName = configDocument.getName();
final MultiCurveCalculationConfig config = ((ConfigItem<MultiCurveCalculationConfig>) configDocument.getConfig()).getValue();
if (config.getCalculationMethod().equals(ImpliedDepositCurveFunction.IMPLIED_DEPOSIT)) {
excludedCurves.addAll(Arrays.asList(config.getYieldCurveNames()));
}
}
if (excludedCurves.isEmpty()) {
functions.add(functionConfiguration(YieldCurveHistoricalTimeSeriesFunction.class));
functions.add(functionConfiguration(YieldCurveConversionSeriesFunction.class));
} else {
final String[] excludedCurvesArray = excludedCurves.toArray(new String[excludedCurves.size()]);
functions.add(functionConfiguration(YieldCurveHistoricalTimeSeriesFunction.class, excludedCurvesArray));
functions.add(functionConfiguration(YieldCurveConversionSeriesFunction.class, excludedCurvesArray));
}
}
}
@Override
protected void addAllConfigurations(final List<FunctionConfiguration> functions) {
functions.add(functionConfiguration(CreditSpreadCurveHistoricalTimeSeriesFunction.class));
functions.add(functionConfiguration(CurveConfigurationHistoricalTimeSeriesFunction.class));
functions.add(functionConfiguration(CurveHistoricalTimeSeriesFunction.class));
functions.add(functionConfiguration(DefaultHistoricalTimeSeriesShiftFunction.class));
functions.add(functionConfiguration(FXForwardCurveHistoricalTimeSeriesFunction.class));
functions.add(functionConfiguration(FXForwardCurveNodeReturnSeriesFunction.class));
functions.add(functionConfiguration(FXReturnSeriesFunction.class));
functions.add(functionConfiguration(FXVolatilitySurfaceHistoricalTimeSeriesFunction.class));
functions.add(functionConfiguration(HistoricalTimeSeriesFunction.class));
functions.add(functionConfiguration(HistoricalTimeSeriesSecurityFunction.class));
functions.add(functionConfiguration(HistoricalTimeSeriesLatestPositionProviderIdValueFunction.class));
functions.add(functionConfiguration(HistoricalTimeSeriesLatestSecurityValueFunction.class));
functions.add(functionConfiguration(HistoricalTimeSeriesLatestValueFunction.class));
functions.add(functionConfiguration(HistoricalValuationFunction.class));
functions.add(functionConfiguration(YieldCurveInstrumentConversionHistoricalTimeSeriesFunction.class));
functions.add(functionConfiguration(YieldCurveInstrumentConversionHistoricalTimeSeriesShiftFunction.class));
functions.add(functionConfiguration(YieldCurveInstrumentConversionHistoricalTimeSeriesFunctionDeprecated.class));
functions.add(functionConfiguration(YieldCurveInstrumentConversionHistoricalTimeSeriesShiftFunctionDeprecated.class));
functions.add(functionConfiguration(VolatilityWeightedFXForwardCurveNodeReturnSeriesFunction.class));
functions.add(functionConfiguration(VolatilityWeightedFXReturnSeriesFunction.class));
functions.add(functionConfiguration(VolatilityWeightedYieldCurveNodeReturnSeriesFunction.class));
functions.add(functionConfiguration(YieldCurveNodeReturnSeriesFunction.class));
}
}