/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.pnl; import java.util.Map; import java.util.Set; import com.google.common.collect.ImmutableSet; import com.google.common.collect.Iterables; 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.ValueSpecification; import com.opengamma.financial.analytics.timeseries.DateConstraint; import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils; import com.opengamma.util.async.AsynchronousExecution; /** * Produces a value in terms of a {@link ValuePropertyNames#SAMPLING_PERIOD} from a value in terms of {@link HistoricalTimeSeriesFunctionUtils#START_DATE_PROPERTY} and * {@link HistoricalTimeSeriesFunctionUtils#END_DATE_PROPERTY}. */ public class PnLPeriodTranslationFunction extends AbstractFunction.NonCompiledInvoker { private static final ComputationTargetType TYPE = ComputationTargetType.POSITION.or(ComputationTargetType.PORTFOLIO_NODE); private final String _valueRequirementName; public PnLPeriodTranslationFunction(String valueRequirementName) { _valueRequirementName = valueRequirementName; } @Override public ComputationTargetType getTargetType() { return TYPE; } @Override public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target) { return ImmutableSet.of(new ValueSpecification(_valueRequirementName, target.toSpecification(), ValueProperties.all())); } @Override public Set<ValueRequirement> getRequirements(FunctionCompilationContext context, ComputationTarget target, ValueRequirement desiredValue) { Set<String> samplingPeriods = desiredValue.getConstraints().getValues(ValuePropertyNames.SAMPLING_PERIOD); if (samplingPeriods == null || samplingPeriods.size() != 1) { return null; } String samplingPeriod = Iterables.getOnlyElement(samplingPeriods); DateConstraint start = DateConstraint.VALUATION_TIME.minus(samplingPeriod); ValueProperties inputConstraints = desiredValue.getConstraints().copy() .withOptional(ValuePropertyNames.SAMPLING_PERIOD) .with(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY, start.toString()) .with(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY, DateConstraint.VALUATION_TIME.toString()) .get(); return ImmutableSet.of(new ValueRequirement(_valueRequirementName, target.toSpecification(), inputConstraints)); } @Override public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target, Map<ValueSpecification, ValueRequirement> inputs) { Map.Entry<ValueSpecification, ValueRequirement> input = Iterables.getOnlyElement(inputs.entrySet()); String samplingPeriod = input.getValue().getConstraint(ValuePropertyNames.SAMPLING_PERIOD); ValueProperties outputProperties = input.getKey().getProperties().copy() .with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriod) .withoutAny(ValuePropertyNames.FUNCTION) .with(ValuePropertyNames.FUNCTION, getUniqueId()) .get(); return ImmutableSet.of(new ValueSpecification(_valueRequirementName, target.toSpecification(), outputProperties)); } @Override public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues) throws AsynchronousExecution { ValueRequirement desiredValue = desiredValues.iterator().next(); Object result = inputs.getValue(_valueRequirementName); return ImmutableSet.of(new ComputedValue(new ValueSpecification(_valueRequirementName, target.toSpecification(), desiredValue.getConstraints()), result)); } }