/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.bondcurves;
import static com.opengamma.engine.value.ValueRequirementNames.BOND_DETAILS;
import java.util.Collection;
import java.util.Collections;
import java.util.Set;
import com.google.common.collect.Iterables;
import com.opengamma.core.position.Trade;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.ValueSpecification;
import com.opengamma.financial.analytics.model.fixedincome.FixedSwapLegDetails;
import com.opengamma.financial.security.bond.BondSecurity;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.CurrencyAmount;
/**
* Produces information about cash-flows for a bond position.
*/
public class BondPositionDetailsFunction extends AbstractFunction.NonCompiledInvoker {
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final FixedSwapLegDetails details = (FixedSwapLegDetails) inputs.getValue(BOND_DETAILS);
final double quantity = target.getPosition().getQuantity().doubleValue();
final CurrencyAmount[] paymentAmounts = details.getPaymentAmounts();
final CurrencyAmount[] notionals = details.getNotionals();
final int length = paymentAmounts.length;
final CurrencyAmount[] scaledPaymentAmounts = new CurrencyAmount[length];
final CurrencyAmount[] scaledNotionals = new CurrencyAmount[length];
for (int i = 0; i < length; i++) {
scaledPaymentAmounts[i] = paymentAmounts[i].multipliedBy(quantity);
scaledNotionals[i] = notionals[i].multipliedBy(quantity);
}
final FixedSwapLegDetails scaledDetails = new FixedSwapLegDetails(details.getAccrualStart(), details.getAccrualEnd(), details.getDiscountFactors(), details.getPaymentTimes(),
details.getPaymentFractions(), scaledPaymentAmounts, scaledNotionals, details.getFixedRates());
final ValueProperties properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy().get();
return Collections.singleton(new ComputedValue(new ValueSpecification(BOND_DETAILS, target.toSpecification(), properties), scaledDetails));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.POSITION;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Collection<Trade> trades = target.getPosition().getTrades();
if (trades.size() != 1) {
return false;
}
return Iterables.getOnlyElement(trades).getSecurity() instanceof BondSecurity;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(BOND_DETAILS, target.toSpecification(), ValueProperties.all()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Trade trade = Iterables.getOnlyElement(target.getPosition().getTrades());
final ValueProperties properties = desiredValue.getConstraints().copy().get();
return Collections.singleton(new ValueRequirement(BOND_DETAILS, ComputationTargetSpecification.of(trade), properties));
}
}