/** * 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 org.slf4j.Logger; import org.slf4j.LoggerFactory; 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.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; import com.opengamma.master.historicaltimeseries.ManageableHistoricalTimeSeries; /** * Function to source the latest historical time-series data point for a security. */ public class HistoricalTimeSeriesSecurityFunction extends AbstractFunction.NonCompiledInvoker { private static final Logger s_logger = LoggerFactory.getLogger(HistoricalTimeSeriesSecurityFunction.class); @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { final ComputedValue htsValue = inputs.getComputedValue(ValueRequirementNames.HISTORICAL_TIME_SERIES); if (htsValue == null) { s_logger.warn("Cannot get time series for {}", target); } final ManageableHistoricalTimeSeries mhts = (ManageableHistoricalTimeSeries) htsValue.getValue(); final ValueRequirement desiredValue = desiredValues.iterator().next(); return Collections.singleton(new ComputedValue( new ValueSpecification(desiredValue.getValueName(), target.toSpecification(), desiredValue.getConstraints()), mhts.getTimeSeries())); } @Override public ComputationTargetType getTargetType() { return ComputationTargetType.SECURITY; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { final ValueProperties props = createValueProperties() .withAny(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY) .withAny(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY) .withAny(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY) .with(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE, HistoricalTimeSeriesFunctionUtils.NO_VALUE) .withAny(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY) .with(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE, HistoricalTimeSeriesFunctionUtils.NO_VALUE) .get(); return Collections.singleton(new ValueSpecification(ValueRequirementNames.HISTORICAL_TIME_SERIES, target.toSpecification(), props)); } @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); if ((dataFieldConstraints != null) && (dataFieldConstraints.size() > 1)) { return null; } final String dataField = ((dataFieldConstraints == null) || dataFieldConstraints.isEmpty()) ? null : Iterables.getOnlyElement(dataFieldConstraints); final HistoricalTimeSeriesResolutionResult resolutionResult = htsResolver.resolve(target.getSecurity().getExternalIdBundle(), null, null, null, dataField, null); if (resolutionResult == null) { return null; } final UniqueId htsId = resolutionResult.getHistoricalTimeSeriesInfo().getUniqueId(); final ValueRequirement valueRequirement = new ValueRequirement(ValueRequirementNames.HISTORICAL_TIME_SERIES, ComputationTargetType.PRIMITIVE, htsId, desiredValue.getConstraints()); return Collections.singleton(valueRequirement); } }