/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.integration.marketdata.manipulator.dsl;
import java.util.ArrayList;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
import org.joda.beans.Bean;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.ImmutableConstructor;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaProperty;
import org.joda.beans.Property;
import org.joda.beans.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.ImmutableList;
import com.google.common.collect.Maps;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.marketdata.manipulator.function.StructureManipulator;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.ircurve.FixedIncomeStripWithSecurity;
import com.opengamma.financial.analytics.ircurve.StripInstrumentType;
import com.opengamma.financial.analytics.ircurve.YieldCurveData;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.ArgumentChecker;
import java.util.Arrays;
/**
* A {@link StructureManipulator} which performs a list of bucketed shifts on {@link YieldCurveData}.
*/
@BeanDefinition
public final class YieldCurveDataBucketedShiftManipulator implements ImmutableBean, StructureManipulator<YieldCurveData> {
private static final Logger s_logger = LoggerFactory.getLogger(YieldCurveDataBucketedShiftManipulator.class);
/** Shift type */
@PropertyDefinition(validate = "notNull")
private final ScenarioShiftType _shiftType;
/** Shifts to apply */
@PropertyDefinition(validate = "notNull")
private final ImmutableList<YieldCurveBucketedShift> _shifts;
@ImmutableConstructor
public YieldCurveDataBucketedShiftManipulator(ScenarioShiftType shiftType, List<YieldCurveBucketedShift> shifts) {
_shiftType = ArgumentChecker.notNull(shiftType, "shiftType");
_shifts = ImmutableList.copyOf(ArgumentChecker.notEmpty(shifts, "shifts"));
}
@Override
public YieldCurveData execute(YieldCurveData curveData,
ValueSpecification valueSpecification,
FunctionExecutionContext executionContext) {
ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
Map<ExternalIdBundle, Double> data = Maps.newHashMap(curveData.getDataPoints());
Map<ExternalId, ExternalIdBundle> index = curveData.getIndex();
for (YieldCurveBucketedShift shift : _shifts) {
for (FixedIncomeStripWithSecurity strip : curveData.getCurveSpecification().getStrips()) {
Period stripPeriod = strip.getTenor().getPeriod();
Period shiftStart = shift.getStart();
Period shiftEnd = shift.getEnd();
ZonedDateTime stripTime = valuationTime.plus(stripPeriod);
ZonedDateTime shiftStartTime = valuationTime.plus(shiftStart);
ZonedDateTime shiftEndTime = valuationTime.plus(shiftEnd);
if (stripTime.compareTo(shiftStartTime) >= 0 && stripTime.compareTo(shiftEndTime) <= 0) {
ExternalIdBundle bundle = index.get(strip.getSecurityIdentifier());
boolean future = (strip.getInstrumentType() == StripInstrumentType.FUTURE);
Double originalData = data.get(bundle);
Double stripData;
// futures are quoted the other way round from other instruments
if (future) {
stripData = 1 - originalData;
} else {
stripData = originalData;
}
Double shiftedData;
if (_shiftType == ScenarioShiftType.RELATIVE) {
// add shift amount to 1. i.e. 10.pc actualy means 'value * 1.1' and -10.pc means 'value * 0.9'
shiftedData = stripData * (shift.getShift() + 1);
} else {
shiftedData = stripData + shift.getShift();
}
Double shiftedStripData;
if (future) {
shiftedStripData = 1 - shiftedData;
} else {
shiftedStripData = shiftedData;
}
data.put(bundle, shiftedStripData);
s_logger.debug("Shifting data {}, tenor {} by {} from {} to {}",
strip.getSecurityIdentifier(), strip.getTenor(), shift.getShift(), originalData, shiftedStripData);
}
}
}
return new YieldCurveData(curveData.getCurveSpecification(), data);
}
@Override
public Class<YieldCurveData> getExpectedType() {
return YieldCurveData.class;
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code YieldCurveDataBucketedShiftManipulator}.
* @return the meta-bean, not null
*/
public static YieldCurveDataBucketedShiftManipulator.Meta meta() {
return YieldCurveDataBucketedShiftManipulator.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(YieldCurveDataBucketedShiftManipulator.Meta.INSTANCE);
}
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static YieldCurveDataBucketedShiftManipulator.Builder builder() {
return new YieldCurveDataBucketedShiftManipulator.Builder();
}
@Override
public YieldCurveDataBucketedShiftManipulator.Meta metaBean() {
return YieldCurveDataBucketedShiftManipulator.Meta.INSTANCE;
}
@Override
public <R> Property<R> property(String propertyName) {
return metaBean().<R>metaProperty(propertyName).createProperty(this);
}
@Override
public Set<String> propertyNames() {
return metaBean().metaPropertyMap().keySet();
}
//-----------------------------------------------------------------------
/**
* Gets shift type
* @return the value of the property, not null
*/
public ScenarioShiftType getShiftType() {
return _shiftType;
}
//-----------------------------------------------------------------------
/**
* Gets shifts to apply
* @return the value of the property, not null
*/
public ImmutableList<YieldCurveBucketedShift> getShifts() {
return _shifts;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
YieldCurveDataBucketedShiftManipulator other = (YieldCurveDataBucketedShiftManipulator) obj;
return JodaBeanUtils.equal(getShiftType(), other.getShiftType()) &&
JodaBeanUtils.equal(getShifts(), other.getShifts());
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(getShiftType());
hash = hash * 31 + JodaBeanUtils.hashCode(getShifts());
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("YieldCurveDataBucketedShiftManipulator{");
buf.append("shiftType").append('=').append(getShiftType()).append(',').append(' ');
buf.append("shifts").append('=').append(JodaBeanUtils.toString(getShifts()));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code YieldCurveDataBucketedShiftManipulator}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code shiftType} property.
*/
private final MetaProperty<ScenarioShiftType> _shiftType = DirectMetaProperty.ofImmutable(
this, "shiftType", YieldCurveDataBucketedShiftManipulator.class, ScenarioShiftType.class);
/**
* The meta-property for the {@code shifts} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty<ImmutableList<YieldCurveBucketedShift>> _shifts = DirectMetaProperty.ofImmutable(
this, "shifts", YieldCurveDataBucketedShiftManipulator.class, (Class) ImmutableList.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> _metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"shiftType",
"shifts");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return _shiftType;
case -903338959: // shifts
return _shifts;
}
return super.metaPropertyGet(propertyName);
}
@Override
public YieldCurveDataBucketedShiftManipulator.Builder builder() {
return new YieldCurveDataBucketedShiftManipulator.Builder();
}
@Override
public Class<? extends YieldCurveDataBucketedShiftManipulator> beanType() {
return YieldCurveDataBucketedShiftManipulator.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return _metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code shiftType} property.
* @return the meta-property, not null
*/
public MetaProperty<ScenarioShiftType> shiftType() {
return _shiftType;
}
/**
* The meta-property for the {@code shifts} property.
* @return the meta-property, not null
*/
public MetaProperty<ImmutableList<YieldCurveBucketedShift>> shifts() {
return _shifts;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return ((YieldCurveDataBucketedShiftManipulator) bean).getShiftType();
case -903338959: // shifts
return ((YieldCurveDataBucketedShiftManipulator) bean).getShifts();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code YieldCurveDataBucketedShiftManipulator}.
*/
public static final class Builder extends DirectFieldsBeanBuilder<YieldCurveDataBucketedShiftManipulator> {
private ScenarioShiftType _shiftType;
private List<YieldCurveBucketedShift> _shifts = new ArrayList<YieldCurveBucketedShift>();
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(YieldCurveDataBucketedShiftManipulator beanToCopy) {
this._shiftType = beanToCopy.getShiftType();
this._shifts = new ArrayList<YieldCurveBucketedShift>(beanToCopy.getShifts());
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
return _shiftType;
case -903338959: // shifts
return _shifts;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 893345500: // shiftType
this._shiftType = (ScenarioShiftType) newValue;
break;
case -903338959: // shifts
this._shifts = (List<YieldCurveBucketedShift>) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty<?> property, Object value) {
super.set(property, value);
return this;
}
@Override
public Builder setString(String propertyName, String value) {
setString(meta().metaProperty(propertyName), value);
return this;
}
@Override
public Builder setString(MetaProperty<?> property, String value) {
super.setString(property, value);
return this;
}
@Override
public Builder setAll(Map<String, ? extends Object> propertyValueMap) {
super.setAll(propertyValueMap);
return this;
}
@Override
public YieldCurveDataBucketedShiftManipulator build() {
return new YieldCurveDataBucketedShiftManipulator(
_shiftType,
_shifts);
}
//-----------------------------------------------------------------------
/**
* Sets the {@code shiftType} property in the builder.
* @param shiftType the new value, not null
* @return this, for chaining, not null
*/
public Builder shiftType(ScenarioShiftType shiftType) {
JodaBeanUtils.notNull(shiftType, "shiftType");
this._shiftType = shiftType;
return this;
}
/**
* Sets the {@code shifts} property in the builder.
* @param shifts the new value, not null
* @return this, for chaining, not null
*/
public Builder shifts(List<YieldCurveBucketedShift> shifts) {
JodaBeanUtils.notNull(shifts, "shifts");
this._shifts = shifts;
return this;
}
/**
* Sets the {@code shifts} property in the builder
* from an array of objects.
* @param shifts the new value, not null
* @return this, for chaining, not null
*/
public Builder shifts(YieldCurveBucketedShift... shifts) {
return shifts(Arrays.asList(shifts));
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("YieldCurveDataBucketedShiftManipulator.Builder{");
buf.append("shiftType").append('=').append(JodaBeanUtils.toString(_shiftType)).append(',').append(' ');
buf.append("shifts").append('=').append(JodaBeanUtils.toString(_shifts));
buf.append('}');
return buf.toString();
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}