Package com.opengamma.engine.value

Examples of com.opengamma.engine.value.ValueProperties

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  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
    final ValueSpecification input = inputs.keySet().iterator().next();
    final ValueProperties properties = createValueProperties(input).withAny(SHIFT).get();
    return Collections.singleton(new ValueSpecification(input.getValueName(), input.getTargetSpecification(), properties));
  }
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  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    final Set<String> buy = context.getViewCalculationConfiguration().getDefaultProperties().getValues(PROPERTY_BUY);
    final String buyProperty = ((buy == null) || !buy.contains(NEGATIVE)) ? POSITIVE : NEGATIVE;
    final ValueProperties properties = createValueProperties().with(PROPERTY_BUY, buyProperty).get();
    return Collections.singleton(new ValueSpecification(ValueRequirementNames.NOTIONAL, target.toSpecification(), properties));
  }
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    return Collections.singleton(new ValueSpecification(ValueRequirementNames.NOTIONAL, target.toSpecification(), properties));
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final ValueProperties properties = ValueProperties.builder()
        .with(CurrencyPairsFunction.CURRENCY_PAIRS_NAME, CurrencyPairs.DEFAULT_CURRENCY_PAIRS)
        .get();
    return Collections.singleton(new ValueRequirement(CURRENCY_PAIRS, ComputationTargetSpecification.NULL, properties));
  }
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  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final Security security = target.getPositionOrTrade().getSecurity();
    final ValueProperties constraints = desiredValue.getConstraints().withoutAny(ValuePropertyNames.FUNCTION);
    final ValueRequirement requirement = new ValueRequirement(_requirementName, ComputationTargetType.SECURITY, security.getUniqueId(), constraints);
    return Collections.singleton(requirement);
  }
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    }
    final VolatilitySurfaceData<Double, Double> stdVolSurface = new VolatilitySurfaceData<Double, Double>(rawSurface.getDefinitionName(), rawSurface.getSpecificationName(), rawSurface.getTarget(),
        tList.toArray(new Double[0]), kList.toArray(new Double[0]), volValues);

    // 4. Return
    final ValueProperties stdVolProperties = createValueProperties()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.COMMODITY_FUTURE_OPTION)
        .get();
    final ValueSpecification stdVolSpec = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), stdVolProperties);
    return Collections.singleton(new ComputedValue(stdVolSpec, stdVolSurface));
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      s_logger.error("Could not get volatility surface specification with name " + fullName);
      return null;
    }

    // Add forward curve so we can discount strikes > forward
    final ValueProperties forwardProperties = ValueProperties.builder()
        .with(ValuePropertyNames.CURVE, givenName).get();
    final ValueRequirement forwardRequirement = new ValueRequirement(ValueRequirementNames.FORWARD_CURVE, target.toSpecification(), forwardProperties);

    // 3. Build the ValueRequirements' constraints
    final ValueProperties constraints = ValueProperties.builder()
        .with(ValuePropertyNames.SURFACE, givenName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.COMMODITY_FUTURE_OPTION)
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, specification.getSurfaceQuoteType())
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, specification.getQuoteUnits())
        .get();
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      throw new OpenGammaRuntimeException("Could not get surface quote units");
    }

    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final ValueProperties surfaceProperties = ValueProperties.builder()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION)
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, surfaceQuoteType)
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, surfaceQuoteUnits).get();
    final Object volatilityDataObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.VOLATILITY_SURFACE_DATA, target.toSpecification(), surfaceProperties));
    if (volatilityDataObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface data");
    }
    @SuppressWarnings("unchecked")
    final VolatilitySurfaceData<Number, Double> surfaceData = (VolatilitySurfaceData<Number, Double>) volatilityDataObject;
    final ValueProperties properties = createValueProperties()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION).get();
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), properties);
    if (surfaceQuoteUnits.equals(SurfaceAndCubePropertyNames.VOLATILITY_QUOTE)) {
      return Collections.singleton(new ComputedValue(spec, getSurfaceFromVolatilityQuote(surfaceData, now, calendar)));
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    if (specification == null) {
      s_logger.error("Could not get volatility surface specification named {}", fullSpecificationName);
      return null;
    }
    final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
    final ValueProperties surfaceProperties = ValueProperties.builder()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION)
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, specification.getSurfaceQuoteType())
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, specification.getQuoteUnits()).get();
    requirements.add(new ValueRequirement(ValueRequirementNames.VOLATILITY_SURFACE_DATA, target.toSpecification(), surfaceProperties));
    if (specification.getQuoteUnits().equals(SurfaceAndCubePropertyNames.PRICE_QUOTE)) { // Term structure of futures prices is also required
      final Set<String> curveNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
      final String curveName;
      if (curveNames == null || curveNames.size() != 1) {
        curveName = surfaceName;
      } else {
        curveName = curveNames.iterator().next();
      }
      final ValueProperties curveProperties = ValueProperties.builder()
          .with(ValuePropertyNames.CURVE, curveName)
          .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_PRICE).get();
      final ValueRequirement curveRequirement = new ValueRequirement(ValueRequirementNames.FUTURE_PRICE_CURVE_DATA, target.toSpecification(), curveProperties);
      requirements.add(curveRequirement);
    }
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    }
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final ValueProperties constraints = desiredValue.getConstraints();
    final String lookbackPeriodString = anyConstraintOrNull(constraints, ValuePropertyNames.SAMPLING_PERIOD);
    final DateConstraint startDate;
    if (lookbackPeriodString == null) {
      if (!OpenGammaCompilationContext.isPermissive(context)) {
        return null;
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    // NOTE jonathan 2013-04-23 -- should be ComputationTargetType.NULL
    return ComputationTargetType.UNORDERED_CURRENCY_PAIR;
  }

  protected ValueProperties getResultProperties(final ComputationTarget target) {
    final ValueProperties properties = createValueProperties()
        .withAny(ValuePropertyNames.CURVE)
        .withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
        .withAny(ValuePropertyNames.SAMPLING_FUNCTION)
        .withAny(ValuePropertyNames.SCHEDULE_CALCULATOR)
        .withAny(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY)
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