/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.ircurve; import java.util.Collections; import java.util.Map; import java.util.Set; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import com.opengamma.core.marketdatasnapshot.SnapshotDataBundle; 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.marketdata.OverrideOperation; import com.opengamma.engine.marketdata.OverrideOperationCompiler; 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.OpenGammaExecutionContext; import com.opengamma.id.ExternalIdBundle; /** * Function to shift a yield curve's market data, implemented using properties and constraints. * <p> * The shift expression is applied to each of the market data value lines. */ public class YieldCurveMarketDataShiftFunction extends AbstractFunction.NonCompiledInvoker { private static final Logger s_logger = LoggerFactory.getLogger(YieldCurveMarketDataShiftFunction.class); /** * Property to shift a yield curve's market data. */ protected static final String SHIFT = "SHIFT"; @Override public String getShortName() { return "YieldCurveMarketDataShift"; } @Override public ComputationTargetType getTargetType() { return ComputationTargetType.CURRENCY; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { return Collections.singleton(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_MARKET_DATA, target.toSpecification(), ValueProperties.all())); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final ValueProperties constraints = desiredValue.getConstraints(); final Set<String> shift = constraints.getValues(SHIFT); if ((shift == null) || shift.isEmpty() || constraints.isOptional(SHIFT)) { return null; } final ValueProperties properties = desiredValue.getConstraints().copy().withoutAny(SHIFT).with(SHIFT, "0").withOptional(SHIFT).get(); return Collections.singleton(new ValueRequirement(desiredValue.getValueName(), target.toSpecification(), properties)); } private ValueProperties.Builder createValueProperties(final ValueSpecification input) { return input.getProperties().copy().withoutAny(ValuePropertyNames.FUNCTION).with(ValuePropertyNames.FUNCTION, getUniqueId()); } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) { final ValueSpecification input = inputs.keySet().iterator().next(); final ValueProperties properties = createValueProperties(input).withAny(SHIFT).get(); return Collections.singleton(new ValueSpecification(input.getValueName(), input.getTargetSpecification(), properties)); } @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { final ComputedValue input = inputs.getAllValues().iterator().next(); final ValueSpecification inputSpec = input.getSpecification(); final SnapshotDataBundle marketData = (SnapshotDataBundle) input.getValue(); final ValueRequirement desiredValue = desiredValues.iterator().next(); final String shift = desiredValue.getConstraint(SHIFT); final ValueProperties.Builder properties = createValueProperties(inputSpec).with(SHIFT, shift); final OverrideOperationCompiler compiler = OpenGammaExecutionContext.getOverrideOperationCompiler(executionContext); if (compiler == null) { throw new IllegalStateException("No override operation compiler for " + shift + " in execution context"); } s_logger.debug("Applying {} to {}", shift, marketData); final OverrideOperation operation = compiler.compile(shift, executionContext.getComputationTargetResolver()); for (final Map.Entry<ExternalIdBundle, Double> dataPoint : marketData.getDataPointSet()) { s_logger.debug("Applying to {}", dataPoint); final Object result = operation.apply(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, dataPoint.getKey()), dataPoint.getValue()); s_logger.debug("Got result {}", result); if (result instanceof Number) { dataPoint.setValue(((Number) result).doubleValue()); } else { s_logger.warn("Result of override operation was not numeric"); } } return Collections.singleton(new ComputedValue(new ValueSpecification(inputSpec.getValueName(), inputSpec.getTargetSpecification(), properties.get()), marketData)); } }