/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics; import static com.opengamma.engine.value.ValueRequirementNames.CURRENCY_PAIRS; import java.util.Collections; import java.util.Set; 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.ValueRequirement; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.engine.value.ValueSpecification; import com.opengamma.financial.currency.CurrencyPairs; import com.opengamma.financial.security.FinancialSecurityTypes; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.util.money.CurrencyAmount; /** * Function that returns the notional for a security. If the */ public class NotionalFunction extends AbstractFunction.NonCompiledInvoker { /** Property indicating whether this security has been bought or sold. */ public static final String PROPERTY_BUY = "Buy"; /** Indicates whether the notional should be negated */ public static final String NEGATIVE = "Negative"; /** Indicates whether the notional is of the correct sign */ public static final String POSITIVE = "Positive"; @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 CurrencyPairs currencyPairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS); SecuritySource securitySource = executionContext.getSecuritySource(); final CurrencyAmount ca = FinancialSecurityUtils.getNotional(target.getSecurity(), currencyPairs, securitySource); final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.NOTIONAL, target.toSpecification(), desiredValue.getConstraints().copy().get()); if (desiredValue.getConstraint(PROPERTY_BUY).equals(NEGATIVE)) { return Collections.singleton(new ComputedValue(spec, ca.multipliedBy(-1))); } return Collections.singleton(new ComputedValue(spec, ca)); } @Override public ComputationTargetType getTargetType() { return FinancialSecurityTypes.FINANCIAL_SECURITY; } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { return context.getViewCalculationConfiguration() != null; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { final Set<String> buy = context.getViewCalculationConfiguration().getDefaultProperties().getValues(PROPERTY_BUY); final String buyProperty = ((buy == null) || !buy.contains(NEGATIVE)) ? POSITIVE : NEGATIVE; final ValueProperties properties = createValueProperties().with(PROPERTY_BUY, buyProperty).get(); return Collections.singleton(new ValueSpecification(ValueRequirementNames.NOTIONAL, target.toSpecification(), properties)); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final ValueProperties properties = ValueProperties.builder().with(CurrencyPairsFunction.CURRENCY_PAIRS_NAME, CurrencyPairs.DEFAULT_CURRENCY_PAIRS).get(); return Collections.singleton(new ValueRequirement(CURRENCY_PAIRS, ComputationTargetSpecification.NULL, properties)); } }