/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.timeseries;
import java.util.Collections;
import java.util.Set;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesAdjuster;
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.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.id.UniqueId;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
/**
* Function to source the latest historical time-series data point for a security.
*/
public class HistoricalTimeSeriesLatestSecurityValueFunction extends AbstractFunction.NonCompiledInvoker {
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ComputedValue latestHtsValue = inputs.getComputedValue(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST);
final ValueRequirement desiredValue = desiredValues.iterator().next();
return Collections.singleton(new ComputedValue(new ValueSpecification(desiredValue.getValueName(), target.toSpecification(), desiredValue.getConstraints()), latestHtsValue.getValue()));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.SECURITY;
}
@Override
protected ValueProperties.Builder createValueProperties() {
return super.createValueProperties()
.withAny(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY)
.withAny(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY)
.withAny(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST, target.toSpecification(), createValueProperties().get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final HistoricalTimeSeriesResolver htsResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final Set<String> dataFieldConstraints = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
final String dataField;
if ((dataFieldConstraints == null) || dataFieldConstraints.isEmpty()) {
dataField = null;
} else {
dataField = dataFieldConstraints.iterator().next();
}
final Set<String> resolutionKeyConstraints = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY);
final String resolutionKey;
if ((resolutionKeyConstraints == null) || resolutionKeyConstraints.isEmpty()) {
resolutionKey = null;
} else {
resolutionKey = resolutionKeyConstraints.iterator().next();
}
final HistoricalTimeSeriesResolutionResult resolutionResult = htsResolver.resolve(target.getSecurity().getExternalIdBundle(), null, null, null, dataField, resolutionKey);
if (resolutionResult == null) {
return null;
}
UniqueId htsId = resolutionResult.getHistoricalTimeSeriesInfo().getUniqueId();
final ValueProperties.Builder constraints = ValueProperties.builder();
final Set<String> ageLimitConstraints = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY);
if (ageLimitConstraints != null) {
if (ageLimitConstraints.isEmpty()) {
if (desiredValue.getConstraints().isOptional(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY)) {
constraints.withOptional(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY);
} else {
constraints.withAny(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY);
}
} else {
constraints.with(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY, ageLimitConstraints);
if (desiredValue.getConstraints().isOptional(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY)) {
constraints.withOptional(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY);
}
}
}
// Add adjuster / normalisation constraint
final HistoricalTimeSeriesAdjuster adjuster = resolutionResult.getAdjuster();
final String adjustment = (adjuster == null) ? "" : adjuster.getAdjustment(resolutionResult.getHistoricalTimeSeriesInfo().getExternalIdBundle().toBundle()).toString();
constraints.with(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY, adjustment);
ValueRequirement valueRequirement = new ValueRequirement(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST, ComputationTargetType.PRIMITIVE, htsId, constraints.get());
return Collections.singleton(valueRequirement);
}
}