/**
* 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 org.threeten.bp.LocalDate;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource;
import com.opengamma.core.id.ExternalSchemes;
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.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.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.volatility.surface.ConfigDBVolatilitySurfaceDefinitionSource;
import com.opengamma.financial.analytics.volatility.surface.ConfigDBVolatilitySurfaceSpecificationSource;
import com.opengamma.financial.analytics.volatility.surface.SurfaceInstrumentProvider;
import com.opengamma.financial.analytics.volatility.surface.VolatilitySurfaceDefinition;
import com.opengamma.financial.analytics.volatility.surface.VolatilitySurfaceSpecification;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.async.AsynchronousExecution;
/**
*
*/
public abstract class VolatilitySurfaceHistoricalTimeSeriesFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(VolatilitySurfaceHistoricalTimeSeriesFunction.class);
private ConfigDBVolatilitySurfaceDefinitionSource _volatilitySurfaceDefinitionSource;
private ConfigDBVolatilitySurfaceSpecificationSource _volatilitySurfaceSpecificationSource;
@Override
public void init(final FunctionCompilationContext context) {
_volatilitySurfaceDefinitionSource = ConfigDBVolatilitySurfaceDefinitionSource.init(context, this);
_volatilitySurfaceSpecificationSource = ConfigDBVolatilitySurfaceSpecificationSource.init(context, this);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues)
throws AsynchronousExecution {
final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String dataField = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
final String resolutionKey;
final Set<String> resolutionKeyConstraint = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY);
if (resolutionKeyConstraint == null || resolutionKeyConstraint.size() != 1) {
resolutionKey = "Null";
} else {
resolutionKey = Iterables.getOnlyElement(resolutionKeyConstraint);
}
final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY));
final boolean includeStart = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY));
final Set<String> endDateConstraint = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY);
final String endDateString;
if (endDateConstraint == null || endDateConstraint.size() != 1) {
endDateString = "Now";
} else {
endDateString = Iterables.getOnlyElement(endDateConstraint);
}
LocalDate endDate = DateConstraint.evaluate(executionContext, endDateString);
final boolean includeEnd = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY));
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final VolatilitySurfaceDefinition<Object, Object> definition = getSurfaceDefinition(target, surfaceName);
final VolatilitySurfaceSpecification specification = getSurfaceSpecification(target, surfaceName);
final SurfaceInstrumentProvider<Object, Object> provider = (SurfaceInstrumentProvider<Object, Object>) specification.getSurfaceInstrumentProvider();
final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
for (final Object x : definition.getXs()) {
for (final Object y : definition.getYs()) {
ExternalId id = provider.getInstrument(x, y, endDate);
if (id.getScheme().equals(ExternalSchemes.BLOOMBERG_TICKER_WEAK)) {
id = ExternalSchemes.bloombergTickerSecurityId(id.getValue());
}
final ExternalIdBundle identifier = ExternalIdBundle.of(id);
final HistoricalTimeSeries timeSeries = timeSeriesSource.getHistoricalTimeSeries(dataField, identifier, resolutionKey, startDate, includeStart, endDate, includeEnd);
if (timeSeries != null) {
bundle.add(dataField, identifier, timeSeries);
} else {
s_logger.warn("Could not get time series for {}", identifier);
}
}
}
return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE_HISTORICAL_TIME_SERIES, target.toSpecification(), desiredValue
.getConstraints()), bundle));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.CURRENCY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = createValueProperties().withAny(ValuePropertyNames.SURFACE).with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, getInstrumentType())
.with(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY, getDataField()).withAny(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_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.VOLATILITY_SURFACE_HISTORICAL_TIME_SERIES, target.toSpecification(), properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
ValueProperties.Builder constraints = null;
final ValueProperties desiredValueConstraints = desiredValue.getConstraints();
Set<String> values = desiredValueConstraints.getValues(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
if ((values == null) || values.isEmpty()) {
constraints = desiredValueConstraints.copy().with(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY, MarketDataRequirementNames.MARKET_VALUE);
} else if (values.size() > 1) {
constraints = desiredValueConstraints.copy().withoutAny(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY, values.iterator().next());
}
values = desiredValueConstraints.getValues(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY);
if ((values == null) || values.isEmpty()) {
if (constraints == null) {
constraints = desiredValueConstraints.copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY, "");
} else if (values.size() > 1) {
if (constraints == null) {
constraints = desiredValueConstraints.copy();
}
constraints.withoutAny(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY).with(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY, values.iterator().next());
}
values = desiredValueConstraints.getValues(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY);
if ((values == null) || values.isEmpty()) {
if (constraints == null) {
constraints = desiredValueConstraints.copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY, "");
}
values = desiredValueConstraints.getValues(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY);
if ((values == null) || (values.size() != 1)) {
if (constraints == null) {
constraints = desiredValueConstraints.copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE);
}
values = desiredValueConstraints.getValues(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY);
if ((values == null) || values.isEmpty()) {
if (constraints == null) {
constraints = desiredValueConstraints.copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY, "");
}
values = desiredValueConstraints.getValues(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY);
if ((values == null) || (values.size() != 1)) {
if (constraints == null) {
constraints = desiredValueConstraints.copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE);
}
return Collections.emptySet();
// if (constraints == null) {
// return Collections.singleton(new ValueRequirement(ValueRequirementNames.VOLATILITY_SURFACE_HISTORICAL_TIME_SERIES, target.toSpecification(), constraints.get()));
// }
// // We need to substitute ourselves with the adjusted constraints
// return Collections.singleton(new ValueRequirement(ValueRequirementNames.VOLATILITY_SURFACE_HISTORICAL_TIME_SERIES, target.toSpecification(), constraints.get()));
}
protected abstract String getInstrumentType();
protected abstract String getDataField();
private VolatilitySurfaceDefinition<Object, Object> getSurfaceDefinition(final ComputationTarget target, final String definitionName) {
final String fullDefinitionName = definitionName + "_" + target.getUniqueId().getValue();
final VolatilitySurfaceDefinition<Object, Object> definition = (VolatilitySurfaceDefinition<Object, Object>) _volatilitySurfaceDefinitionSource.getDefinition(fullDefinitionName,
getInstrumentType());
if (definition == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface definition named " + fullDefinitionName + " for instrument type " + getInstrumentType());
}
return definition;
}
private VolatilitySurfaceSpecification getSurfaceSpecification(final ComputationTarget target, final String specificationName) {
final String fullSpecificationName = specificationName + "_" + target.getUniqueId().getValue();
final VolatilitySurfaceSpecification specification = _volatilitySurfaceSpecificationSource.getSpecification(fullSpecificationName, getInstrumentType());
if (specification == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface specification named " + fullSpecificationName);
}
return specification;
}
}