/**
* 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()));
}
}