/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.bondcurves; import static com.opengamma.engine.value.ValueRequirementNames.BOND_DETAILS; import java.util.Collection; import java.util.Collections; import java.util.Set; import com.google.common.collect.Iterables; import com.opengamma.core.position.Trade; 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.ValueSpecification; import com.opengamma.financial.analytics.model.fixedincome.FixedSwapLegDetails; import com.opengamma.financial.security.bond.BondSecurity; import com.opengamma.util.async.AsynchronousExecution; import com.opengamma.util.money.CurrencyAmount; /** * Produces information about cash-flows for a bond position. */ public class BondPositionDetailsFunction extends AbstractFunction.NonCompiledInvoker { @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) throws AsynchronousExecution { final FixedSwapLegDetails details = (FixedSwapLegDetails) inputs.getValue(BOND_DETAILS); final double quantity = target.getPosition().getQuantity().doubleValue(); final CurrencyAmount[] paymentAmounts = details.getPaymentAmounts(); final CurrencyAmount[] notionals = details.getNotionals(); final int length = paymentAmounts.length; final CurrencyAmount[] scaledPaymentAmounts = new CurrencyAmount[length]; final CurrencyAmount[] scaledNotionals = new CurrencyAmount[length]; for (int i = 0; i < length; i++) { scaledPaymentAmounts[i] = paymentAmounts[i].multipliedBy(quantity); scaledNotionals[i] = notionals[i].multipliedBy(quantity); } final FixedSwapLegDetails scaledDetails = new FixedSwapLegDetails(details.getAccrualStart(), details.getAccrualEnd(), details.getDiscountFactors(), details.getPaymentTimes(), details.getPaymentFractions(), scaledPaymentAmounts, scaledNotionals, details.getFixedRates()); final ValueProperties properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy().get(); return Collections.singleton(new ComputedValue(new ValueSpecification(BOND_DETAILS, target.toSpecification(), properties), scaledDetails)); } @Override public ComputationTargetType getTargetType() { return ComputationTargetType.POSITION; } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { final Collection<Trade> trades = target.getPosition().getTrades(); if (trades.size() != 1) { return false; } return Iterables.getOnlyElement(trades).getSecurity() instanceof BondSecurity; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { return Collections.singleton(new ValueSpecification(BOND_DETAILS, target.toSpecification(), ValueProperties.all())); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final Trade trade = Iterables.getOnlyElement(target.getPosition().getTrades()); final ValueProperties properties = desiredValue.getConstraints().copy().get(); return Collections.singleton(new ValueRequirement(BOND_DETAILS, ComputationTargetSpecification.of(trade), properties)); } }