/**
* 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.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
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.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.YieldCurveFunction;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.security.FinancialSecurity;
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.
*
* @deprecated This is to support the two curve case rather than calc curve configurations. Remove when InterpolatedYieldCurveFunction and MarketInstrumentImpliedYieldCurveFunction no longer reference
* it
*/
@Deprecated
public class YieldCurveInstrumentConversionHistoricalTimeSeriesFunctionDeprecated extends AbstractFunction.NonCompiledInvoker {
private InterestRateInstrumentTradeOrSecurityConverter _securityConverter;
private FixedIncomeConverterDataProvider _definitionConverter;
protected InterestRateInstrumentTradeOrSecurityConverter getSecurityConverter() {
return _securityConverter;
}
protected FixedIncomeConverterDataProvider getDefinitionConverter() {
return _definitionConverter;
}
@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);
_securityConverter = new InterestRateInstrumentTradeOrSecurityConverter(holidaySource, conventionSource, regionSource, securitySource, true);
_definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
}
@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).withAny(YieldCurveFunction.PROPERTY_FORWARD_CURVE).withAny(YieldCurveFunction.PROPERTY_FUNDING_CURVE).get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> curveNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
if ((curveNames == null) || (curveNames.size() != 1)) {
return null;
}
final Set<String> forwardCurveNames = desiredValue.getConstraints().getValues(YieldCurveFunction.PROPERTY_FORWARD_CURVE);
if ((forwardCurveNames == null) || (forwardCurveNames.size() != 1)) {
return null;
}
final Set<String> fundingCurveNames = desiredValue.getConstraints().getValues(YieldCurveFunction.PROPERTY_FUNDING_CURVE);
if ((fundingCurveNames == null) || (fundingCurveNames.size() != 1)) {
return null;
}
return Collections.singleton(new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, target.toSpecification(), ValueProperties.with(ValuePropertyNames.CURVE, curveNames).get()));
}
@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 curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final InterpolatedYieldCurveSpecificationWithSecurities curve = (InterpolatedYieldCurveSpecificationWithSecurities) inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
final Set<ValueRequirement> timeSeriesRequirements = new HashSet<ValueRequirement>();
for (final FixedIncomeStripWithSecurity strip : curve.getStrips()) {
final FinancialSecurity financialSecurity = (FinancialSecurity) strip.getSecurity();
final InstrumentDefinition<?> definition = getSecurityConverter().visit(financialSecurity);
final Set<ValueRequirement> requirements = getDefinitionConverter().getConversionTimeSeriesRequirements(financialSecurity, definition);
if (requirements == null) {
throw new OpenGammaRuntimeException("Can't get time series requirements for " + strip + " on " + curveName);
}
timeSeriesRequirements.addAll(requirements);
}
final HistoricalTimeSeriesBundle timeSeries = new HistoricalTimeSeriesBundle();
final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
for (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);
}
return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES, target.toSpecification(), desiredValue
.getConstraints()), timeSeries));
}
}