/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.equity; import java.util.Collections; import java.util.Set; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import com.opengamma.core.security.Security; import com.opengamma.core.value.MarketDataRequirementNames; 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.security.FinancialSecurity; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.financial.security.MarketSecurityVisitor; import com.opengamma.financial.security.equity.EquitySecurity; import com.opengamma.id.ExternalId; import com.opengamma.util.async.AsynchronousExecution; import com.opengamma.util.money.Currency; /** * Provides the market value for the underlying of a position, when applicable.<p> * For securities that do not have an underlying, such as the {@link EquitySecurity}, their own market value is provided */ public class UnderlyingMarketPriceFunction extends AbstractFunction.NonCompiledInvoker { /** Determines whether a security is market-traded */ private static MarketSecurityVisitor s_judgeOfMarketSecurities = new MarketSecurityVisitor(); /** The logger */ private static final Logger s_logger = LoggerFactory.getLogger(UnderlyingMarketPriceFunction.class); @Override public ComputationTargetType getTargetType() { return ComputationTargetType.POSITION_OR_TRADE; } @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) throws AsynchronousExecution { final double marketValue = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE); final ValueRequirement desiredValue = desiredValues.iterator().next(); return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.UNDERLYING_MARKET_PRICE, target.toSpecification(), desiredValue.getConstraints()), marketValue)); } /** * Currently set to apply to any market-traded security in {@link MarketSecurityVisitor}.<p> * @param context The compilation context with view-specific parameters and configurations. * @param target the Target for which capability is to be tested * @return true if FinancialSecurity underlying the Position or Trade is a market-traded Security, else false */ // TODO Constrain this further to those {@link FinancialSecurity}s that have underlyings. [PLAT-5523] @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { if (!(target.getPositionOrTrade().getSecurity() instanceof FinancialSecurity)) { return false; } final FinancialSecurity security = (FinancialSecurity) target.getPositionOrTrade().getSecurity(); try { return security.accept(s_judgeOfMarketSecurities); } catch (final Exception e) { return false; } } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { final Currency ccy = FinancialSecurityUtils.getCurrency(target.getPositionOrTrade().getSecurity()); ValueProperties valueProperties; if (ccy == null) { valueProperties = createValueProperties().get(); } else { valueProperties = createValueProperties().with(ValuePropertyNames.CURRENCY, ccy.getCode()).get(); } return Collections.singleton(new ValueSpecification(ValueRequirementNames.UNDERLYING_MARKET_PRICE, target.toSpecification(), valueProperties)); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final Security security = target.getPositionOrTrade().getSecurity(); final ExternalId underlyingId = FinancialSecurityUtils.getUnderlyingId(security); if (underlyingId != null) { return Collections.singleton(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.SECURITY, underlyingId)); } s_logger.info("No underlying found for {}. The security itself will be used as its own underlying", security.getName()); return Collections.singleton(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.SECURITY, security.getUniqueId())); } }