Package com.opengamma.engine.value

Examples of com.opengamma.engine.value.ValueProperties

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@Test(groups = TestGroup.UNIT)
public class ValueRequirementJSONBuilderTest {

  @Test
  public void roundTrip() {
    ValueProperties props = ValueProperties.builder().with("foo", "FOO").with("bar", "[BAR1]", "BAR2").get();
    ValueRequirement req1 = new ValueRequirement("valueName",
                                                ComputationTargetType.PORTFOLIO,
                                                UniqueId.of("foo", "bar"),
                                                props);
    ValueRequirementJSONBuilder builder = new ValueRequirementJSONBuilder();
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  }

  @Override
  public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues) {
    //final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE, target.toSpecification(), properties);
    ValueProperties outputProperties = createValueProperties().get();
    ValueSpecification spec = new ValueSpecification(ValueRequirementNames.TARGET, target.toSpecification(), outputProperties);
    //return new ValueSpecification(_newValueName, inputSpec.getTargetSpecification(), outputProperties);
    return ImmutableSet.of(new ComputedValue(spec, target.getValue()));
  }
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  @Override
  public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target, Map<ValueSpecification, ValueRequirement> inputs) {
    if (!inputs.isEmpty()) { // doesn't take any inputs
      return null;
    }
    ValueProperties outputProperties = createValueProperties().get();
    ValueSpecification spec = new ValueSpecification(ValueRequirementNames.TARGET, target.toSpecification(), outputProperties);
    return ImmutableSet.of(spec);
    //ValueSpecification inputSpec = Iterables.getOnlyElement(inputs.keySet());
    //return ImmutableSet.of(getOutputSpec(inputSpec));
  }
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    //ValueSpecification inputSpec = Iterables.getOnlyElement(inputs.keySet());
    //return ImmutableSet.of(getOutputSpec(inputSpec));
  }

  protected ValueSpecification getOutputSpec(ValueSpecification inputSpec) {
    ValueProperties outputProperties = inputSpec.getProperties().copy()
        .withoutAny(ValuePropertyNames.FUNCTION)
        .with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
    return new ValueSpecification(ValueRequirementNames.TARGET, inputSpec.getTargetSpecification(), outputProperties);
  }
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    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration defaultCalculationConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    final Set<Currency> ccysAdded = new HashSet<>();
    for (final UnorderedCurrencyPair pair : ExampleVanillaFxOptionPortfolioLoader.CCYS) {
      final ComputationTargetSpecification target = ComputationTargetSpecification.of(pair.getUniqueId());
      final ValueProperties properties = ValueProperties.builder()
          .with(SURFACE, "DEFAULT")
          .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)
          .get();
      defaultCalculationConfig.addSpecificRequirement(new ValueRequirement(VOLATILITY_SURFACE_DATA, target, properties));
      defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VEGA_QUOTE_MATRIX, properties);
      defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VEGA_MATRIX, properties);
      if (!ccysAdded.contains(pair.getFirstCurrency())) {
        final String ccy = pair.getFirstCurrency().getCode();
        final String discountingCurve = CURVES_FOR_CURRENCY.get(pair.getFirstCurrency()).getFirst();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, discountingCurve)
            .with(CURVE_CURRENCY, ccy)
            .get();
        defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, curveProperties);
        ccysAdded.add(pair.getFirstCurrency());
      }
      if (!ccysAdded.contains(pair.getSecondCurrency())) {
        final String ccy = pair.getSecondCurrency().getCode();
        final String discountingCurve = CURVES_FOR_CURRENCY.get(pair.getSecondCurrency()).getFirst();
        final ValueProperties curveProperties = ValueProperties.builder()
            .with(CURVE, discountingCurve)
            .with(CURVE_CURRENCY, ccy)
            .get();
        defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, curveProperties);
        ccysAdded.add(pair.getSecondCurrency());
      }
    }
    final ValueProperties currencyProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, "USD")
        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, FX_CURRENCY_EXPOSURE, ValueProperties.builder().get());
    viewDefinition.addViewCalculationConfiguration(defaultCalculationConfig);
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    viewDefinition.setMaxDeltaCalculationPeriod(500L);
    viewDefinition.setMaxFullCalculationPeriod(500L);
    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration defaultCalculationConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    final ValueProperties currencyProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, "USD")
        .get();
    final ValueProperties currencyPropertyWithScale = ValueProperties.builder()
        .with(ValuePropertyNames.CURRENCY, "USD")
        .with(ValuePropertyNames.SCALE, "1")
        .get();
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, PRESENT_VALUE, currencyProperty);
    defaultCalculationConfig.addPortfolioRequirement(FXOptionSecurity.SECURITY_TYPE, VALUE_DELTA, currencyProperty);
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    viewDefinition.setMinDeltaCalculationPeriod(500L);
    viewDefinition.setMinFullCalculationPeriod(500L);
    final ViewCalculationConfiguration defaultCalculationConfig = new ViewCalculationConfiguration(viewDefinition, DEFAULT_CALC_CONFIG);
    for (final Currency currency : ExampleSwaptionPortfolioLoader.CCYS) {
      final ComputationTargetSpecification target = ComputationTargetSpecification.of(currency.getUniqueId());
      ValueProperties properties = ValueProperties.builder()
          .with(SURFACE, "DEFAULT")
          .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.SWAPTION_ATM)
          .get();
      defaultCalculationConfig.addSpecificRequirement(new ValueRequirement(VOLATILITY_SURFACE_DATA, target, properties));
      properties = ValueProperties.builder()
          .with(ValuePropertyNames.CURVE, CURVES_FOR_CURRENCY.get(currency).getFirst())
          .with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .get();
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, properties);
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PV01, properties);
      properties = ValueProperties.builder()
          .with(ValuePropertyNames.CURVE, CURVES_FOR_CURRENCY.get(currency).getSecond())
          .with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
          .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
          .get();
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, YIELD_CURVE_NODE_SENSITIVITIES, properties);
      defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PV01, properties);
    }
    final ValueProperties calculationMethodProperty = ValueProperties.builder()
        .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
        .get();
    defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, PRESENT_VALUE, calculationMethodProperty);
    defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, VALUE_VEGA, calculationMethodProperty);
    defaultCalculationConfig.addPortfolioRequirement(SwaptionSecurity.SECURITY_TYPE, SECURITY_IMPLIED_VOLATILITY, ValueProperties.builder().get());
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  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
    // Result properties are anything that was common to the input specifications
    ValueProperties common = null;
    for (final ValueSpecification input : inputs.keySet()) {
      common = SumUtils.addProperties(common, input.getProperties());
    }
    if (common == null) {
      // Can't have been any inputs ... ?
      return null;
    }
    common = common.copy().withoutAny(ValuePropertyNames.FUNCTION).with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
    return Collections.singleton(new ValueSpecification(_requirementName, target.toSpecification(), common));
  }
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    }
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    ValueProperties constraints = desiredValue.getConstraints();
    String startDateConstraint = anyConstraintOrNull(constraints, HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY);
    String includeStartConstraintString = anyConstraintOrNull(constraints, HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY);
    boolean includeStartConstraint = true;
    String endDateConstraint = anyConstraintOrNull(constraints, HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY);
    String includeEndConstraintString = anyConstraintOrNull(constraints, HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY);
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          // pricing currency changes over time for example; which do we use for the time series. This isn't always the case, but we'll
          // ignore the forms where we should know the outcomes to avoid complicating matters. A higher priority function should be
          // used to enforce any necessary constraints based on the target's properties.
          final ValueProperties.Builder properties = createValueProperties(historicalTarget);
          properties.with(VALUE_PROPERTY, nestedRequirement.getValueName());
          final ValueProperties nestedConstraints = nestedRequirement.getConstraints();
          if (nestedConstraints.getProperties() != null) {
            for (final String propertyName : nestedConstraints.getProperties()) {
              final Set<String> propertyValues = nestedConstraints.getValues(propertyName);
              final String passthroughName = PASSTHROUGH_PREFIX + propertyName;
              if (propertyValues == null) {
                properties.withAny(passthroughName);
              } else {
                properties.with(passthroughName, propertyValues);
              }
              if (nestedConstraints.isOptional(propertyName)) {
                properties.withOptional(passthroughName);
              }
            }
          }
          results.add(new ValueSpecification(ValueRequirementNames.HISTORICAL_TIME_SERIES, targetSpec, properties.get()));
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