/**
* 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.Set;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.OpenGammaCompilationContext;
import com.opengamma.financial.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.InterestRateInstrumentTradeOrSecurityConverter;
import com.opengamma.financial.analytics.ircurve.FixedIncomeStripWithSecurity;
import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationWithSecurities;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.CurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
/**
* Function to source time series data from a {@link HistoricalTimeSeriesSource} attached to the execution context needed to convert each of the instruments in a curve to their OG-Analytics derivative
* form.
*/
public class YieldCurveInstrumentConversionHistoricalTimeSeriesFunction extends AbstractFunction.NonCompiledInvoker {
private InterestRateInstrumentTradeOrSecurityConverter _securityConverter;
private FixedIncomeConverterDataProvider _definitionConverter;
private CurveCalculationConfigSource _curveCalculationConfig;
protected InterestRateInstrumentTradeOrSecurityConverter getSecurityConverter() {
return _securityConverter;
}
protected FixedIncomeConverterDataProvider getDefinitionConverter() {
return _definitionConverter;
}
protected CurveCalculationConfigSource getCurveCalculationConfig() {
return _curveCalculationConfig;
}
@Override
public void init(final FunctionCompilationContext context) {
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
_securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
_definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
_curveCalculationConfig = new ConfigDBCurveCalculationConfigSource(configSource);
ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.CURRENCY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES, target.toSpecification(),
createValueProperties()
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG).get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> curveCalculationConfigs = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if ((curveCalculationConfigs == null) || (curveCalculationConfigs.size() != 1)) {
return null;
}
final Set<ValueRequirement> requirements = new HashSet<>();
final MultiCurveCalculationConfig curveCalculationConfig = getCurveCalculationConfig().getConfig(Iterables.getOnlyElement(curveCalculationConfigs));
for (final String curveName : curveCalculationConfig.getYieldCurveNames()) {
final ValueProperties properties = ValueProperties.with(ValuePropertyNames.CURVE, curveName).get();
requirements.add(new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, target.toSpecification(), properties));
}
return requirements;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final Set<ValueRequirement> timeSeriesRequirements = new HashSet<>();
final HistoricalTimeSeriesBundle timeSeries = new HistoricalTimeSeriesBundle();
final ComputationTargetSpecification targetSpec = target.toSpecification();
for (final ComputedValue input : inputs.getAllValues()) {
if (!input.getSpecification().getValueName().equals(ValueRequirementNames.YIELD_CURVE_SPEC)) {
continue;
}
final String curveName = input.getSpecification().getProperty(ValuePropertyNames.CURVE);
final InterpolatedYieldCurveSpecificationWithSecurities curve = (InterpolatedYieldCurveSpecificationWithSecurities) input.getValue();
for (final FixedIncomeStripWithSecurity strip : curve.getStrips()) {
final InstrumentDefinition<?> definition = getSecurityConverter().visit(strip.getSecurity());
final Set<ValueRequirement> requirements = getDefinitionConverter().getConversionTimeSeriesRequirements(strip.getSecurity(), definition);
if (requirements == null) {
throw new OpenGammaRuntimeException("Can't get time series requirements for " + strip + " on " + curveName);
}
timeSeriesRequirements.addAll(requirements);
}
final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
for (final ValueRequirement timeSeriesRequirement : timeSeriesRequirements) {
final HistoricalTimeSeries hts = HistoricalTimeSeriesFunction.executeImpl(executionContext, timeSeriesSource, timeSeriesRequirement.getTargetReference().getSpecification(),
timeSeriesRequirement);
if (hts == null) {
throw new OpenGammaRuntimeException("Can't get time series for " + timeSeriesRequirement);
}
timeSeries.add(timeSeriesRequirement.getConstraint(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY), timeSeriesSource.getExternalIdBundle(hts.getUniqueId()), hts);
}
}
final ValueProperties properties = createValueProperties().with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName).get();
return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES, targetSpec, properties), timeSeries));
}
}