Examples of com.opengamma.engine.marketdata.OverrideOperation

com.opengamma.engine.marketdata.OverrideOperation
Applies an override operation that acts upon the original underlying data. This allows market data to be injected that replaces the underlying data, or that shifts it (e.g. bump it 10%).

    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 {

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    compiler.compile("Not a valid expression", new DefaultComputationTargetResolver().atVersionCorrection(VersionCorrection.LATEST));
  }


  public void testConstantMultiplier() {
    final MarketDataELCompiler compiler = new MarketDataELCompiler();
    final OverrideOperation operation = compiler.compile("x * 0.9", new DefaultComputationTargetResolver().atVersionCorrection(VersionCorrection.LATEST));
    assertNotNull(operation);
    final ValueRequirement req = new ValueRequirement("Foo", ComputationTargetSpecification.of(UniqueId.of("Test", "Bar")));
    final Object result = operation.apply(req, 42d);
    assertEquals(result, 42d * 0.9);
  }

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    assertEquals(result, 42d * 0.9);
  }


  public void testConstantAddition() {
    final MarketDataELCompiler compiler = new MarketDataELCompiler();
    final OverrideOperation operation = compiler.compile("x + 0.42", new DefaultComputationTargetResolver().atVersionCorrection(VersionCorrection.LATEST));
    assertNotNull(operation);
    final ValueRequirement req = new ValueRequirement("Foo", ComputationTargetSpecification.of(UniqueId.of("Test", "Bar")));
    final Object result = operation.apply(req, 0.9d);
    assertEquals(result, 0.9 + 0.42);
  }

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  public void testConditionalExpression() {
    final InMemorySecuritySource securities = new InMemorySecuritySource();
    securities.addSecurity(_fooEquity);
    securities.addSecurity(_swap);
    final MarketDataELCompiler compiler = new MarketDataELCompiler();
    final OverrideOperation operation = compiler.compile("if (security.type == \"EQUITY\") x * 0.9", new DefaultComputationTargetResolver(securities).atVersionCorrection(VersionCorrection.LATEST));
    assertNotNull(operation);
    Object result = operation.apply(new ValueRequirement("Foo", ComputationTargetSpecification.of(_fooEquity)), 42d);
    assertEquals (result, 42d * 0.9);
    result = operation.apply(new ValueRequirement("Foo", ComputationTargetSpecification.of(_swap)), 42d);
    assertEquals (result, 42d);
  }

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    final InMemorySecuritySource securities = new InMemorySecuritySource();
    securities.addSecurity(_fooEquity);
    securities.addSecurity(_barEquity);
    securities.addSecurity(_swap);
    final MarketDataELCompiler compiler = new MarketDataELCompiler();
    final OverrideOperation operation = compiler.compile(
        "if (security.type == \"EQUITY\" && security.name == \"Foo\") x * 0.9; if (security.type == \"EQUITY\") x * 1.1; if (security.cow == 42) x * 0", new DefaultComputationTargetResolver(
            securities).atVersionCorrection(VersionCorrection.LATEST));
    assertNotNull(operation);
    // First rule should match
    Object result = operation.apply(new ValueRequirement("Foo", ComputationTargetSpecification.of(_fooEquity)), 42d);
    assertEquals (result, 42d * 0.9);
    // Second rule should match
    result = operation.apply(new ValueRequirement("Foo", ComputationTargetSpecification.of(_barEquity)), 42d);
    assertEquals(result, 42d * 1.1);
    // Third rule won't match but won't throw an error
    result = operation.apply(new ValueRequirement("Foo", ComputationTargetSpecification.of(_swap)), 42d);
    assertEquals(result, 42d);
  }

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   */
  private OverrideOperation getCacheMarketDataOperation(ViewCalculationConfiguration calcConfig) {
    OverrideOperationCompiler compiler = null;
    ComputationTargetResolver.AtVersionCorrection resolver = null;
    final Set<String> marketDataShift = calcConfig.getDefaultProperties().getValues(MARKET_DATA_SHIFT_PROPERTY);
    OverrideOperation operation = null;
    if (marketDataShift != null) {
      if (marketDataShift.size() != 1) {
        // This doesn't really mean much
        s_logger.error("Market data shift for {} not valid - {}", calcConfig.getName(), marketDataShift);
      } else {

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      // execution should not continue.
      return false;
    }
    final ResultModelDefinition resultModel = getViewDefinition().getResultModelDefinition();
    for (CompiledViewCalculationConfiguration calcConfig : getCompiledViewDefinition().getCompiledCalculationConfigurations()) {
      final OverrideOperation operation = getCacheMarketDataOperation(getViewDefinition().getCalculationConfiguration(calcConfig.getName()));
      final ViewComputationCache cache = getComputationCache(calcConfig.getName());
      final Collection<ValueSpecification> marketDataRequirements = calcConfig.getMarketDataRequirements();
      final Set<ValueSpecification> terminalOutputs = calcConfig.getTerminalOutputSpecifications().keySet();
      final Collection<ComputedValueResult> valuesToLoad = new ArrayList<>(marketDataRequirements.size());
      for (ValueSpecification marketDataSpec : marketDataRequirements) {
        Object marketDataValue = marketDataValues.get(marketDataSpec);
        ComputedValueResult computedValueResult;
        if (operation != null) {
          if (marketDataValue != null) {
            marketDataValue = operation.apply(marketDataSpec.toRequirementSpecification(), marketDataValue);
            if (marketDataValue == null) {
              s_logger.debug("Market data {} discarded by override operation", marketDataSpec);
            }
          }
        }

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Related Classes of com.opengamma.engine.marketdata.OverrideOperation

com.opengamma.engine.view.cycle.SingleComputationCycle

com.opengamma.financial.analytics.ircurve.YieldCurveMarketDataShiftFunction

com.opengamma.financial.marketdata.MarketDataELCompilerTest

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