/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics;
import java.util.ArrayList;
import java.util.Collection;
import java.util.Collections;
import java.util.HashMap;
import java.util.HashSet;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.apache.commons.lang.Validate;
import com.opengamma.core.position.Position;
import com.opengamma.core.position.Trade;
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.analytics.fixedincome.YieldCurveNodeSensitivityDataBundle;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
/**
* Sums the values of the trades that make up a position to produce the position's value.
*/
public class PositionTradeScalingFunction extends AbstractFunction.NonCompiledInvoker {
// NOTE: The name is for legacy reasons; this does no scaling and should really be called PositionTradeSummingFunction or similar.
// All scaling is done by PositionOrTradeScaling function which will work nicely for positions with just one trade.
private final String _requirementName;
public PositionTradeScalingFunction(final String requirementName) {
Validate.notNull(requirementName, "Requirement name");
_requirementName = requirementName;
}
@Override
public String getShortName() {
return "PositionTradeScaling for " + _requirementName;
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.POSITION;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
// Only apply when there are multiple trades; otherwise the PositionOrTradeScaling function on its own will work. Allowing this
// into the graph creates an ambiguity otherwise as either PositionTradeScaling(POSITION) <- PositionOrTradeScaling(TRADE) <- F(SECURITY)
// or PositionOrTradeScaling(POSITION) <- F(SECURITY) may be possible for some value requirements
return (!target.getPosition().getTrades().isEmpty());
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueSpecification specification = new ValueSpecification(_requirementName, target.toSpecification(), ValueProperties.all());
return Collections.singleton(specification);
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Position position = target.getPosition();
final Collection<Trade> trades = position.getTrades();
final Set<ValueRequirement> result = new HashSet<ValueRequirement>();
final ValueProperties inputConstraint = desiredValue.getConstraints().withoutAny(ValuePropertyNames.FUNCTION);
for (final Trade trade : trades) {
result.add(new ValueRequirement(_requirementName, ComputationTargetType.TRADE, trade.getUniqueId(), inputConstraint));
}
return result;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
// Result properties are anything that was common to the input specifications
ValueProperties common = null;
for (final ValueSpecification input : inputs.keySet()) {
common = SumUtils.addProperties(common, input.getProperties());
}
if (common == null) {
// Can't have been any inputs ... ?
return null;
}
common = common.copy().withoutAny(ValuePropertyNames.FUNCTION).with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
return Collections.singleton(new ValueSpecification(_requirementName, target.toSpecification(), common));
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ValueRequirement desiredValue = desiredValues.iterator().next();
Object summedValue = null;
for (final ComputedValue input : inputs.getAllValues()) {
final Object value = input.getValue();
if (value == null) {
continue;
}
if (value instanceof YieldCurveNodeSensitivityDataBundle) {
final YieldCurveNodeSensitivityDataBundle nodeSensitivities = (YieldCurveNodeSensitivityDataBundle) value;
final Currency ccy = nodeSensitivities.getCurrency();
final String name = nodeSensitivities.getYieldCurveName();
final DoubleLabelledMatrix1D m = nodeSensitivities.getLabelledMatrix();
YieldCurveNodeSensitivityDataBundle dataBundle = (YieldCurveNodeSensitivityDataBundle) summedValue;
if (ccy.equals(dataBundle.getCurrency()) && name.equals(dataBundle.getYieldCurveName())) {
summedValue = new YieldCurveNodeSensitivityDataBundle(ccy, (DoubleLabelledMatrix1D) SumUtils.addValue(dataBundle.getLabelledMatrix(), m, _requirementName), name);
} else {
// TODO: Throwing the value away like this looks bad!
}
} else if (_requirementName.equals(ValueRequirementNames.PRESENT_VALUE_CURVE_SENSITIVITY)) { //TODO this should probably not be done like this
// THIS IS ALMOST CERATINLY WRONG
@SuppressWarnings("unchecked")
final Map<String, List<DoublesPair>> map = (Map<String, List<DoublesPair>>) value;
final Map<String, List<DoublesPair>> scaled = new HashMap<String, List<DoublesPair>>();
for (final Map.Entry<String, List<DoublesPair>> entry : map.entrySet()) {
final List<DoublesPair> scaledList = new ArrayList<DoublesPair>();
for (final DoublesPair pair : entry.getValue()) {
scaledList.add(DoublesPair.of(pair.first, pair.second * target.getPosition().getQuantity().doubleValue()));
}
scaled.put(entry.getKey(), scaledList);
}
// TODO: THIS IS MOST DEFINATELY WRONG - We should be adding, not scaling in this function. Should we add or does that make no sense and this is from when we used to scale in this function?
summedValue = scaled;
} else {
summedValue = SumUtils.addValue(summedValue, value, _requirementName);
}
}
if (summedValue == null) {
return null;
}
final ValueSpecification specification = new ValueSpecification(_requirementName, target.toSpecification(), desiredValue.getConstraints());
return Collections.singleton(new ComputedValue(specification, summedValue));
}
}