Package com.opengamma.engine.value

Examples of com.opengamma.engine.value.ValueProperties

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        .or(FinancialSecurityTypes.CREDIT_DEFAULT_SWAP_INDEX_SECURITY);
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    final ValueProperties properties = createValueProperties()
        .withAny(CURVE)
        //        .with(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY, "PX_LAST")
        .with(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY, MarketDataRequirementNames.MARKET_VALUE)
        .withAny(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY)
        .withAny(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY)
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  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    ValueProperties.Builder constraints = null;
    final ValueProperties desiredValueConstraints = desiredValue.getConstraints();
    final Set<String> curveNames = desiredValueConstraints.getValues(CURVE);
    if (curveNames == null || curveNames.size() != 1) {
      return null;
    }
    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();
  }
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      }
      constraints.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE);
    }
    if (constraints == null) {
      // We can satisfy the desired value as-is, just ask for the FX forward curve definition and specification to drive our behavior
      final ValueProperties curveConstraints;
      values = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
      if (values != null) {
        if (values.isEmpty()) {
          curveConstraints = ValueProperties.withAny(ValuePropertyNames.CURVE).get();
        } else {
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    final ConfigDBVolatilitySurfaceDefinitionSource volSurfaceDefinitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
    _definition = volSurfaceDefinitionSource.getDefinition(_definitionName, _instrumentType);
    if (_definition == null) {
      throw new OpenGammaRuntimeException("Couldn't find Volatility Surface Definition for " + _instrumentType + " called " + _definitionName);
    }
    final ValueProperties surfaceProperties = ValueProperties.builder()
        .with(ValuePropertyNames.SURFACE, _definitionName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, _instrumentType)
        .withAny(EquityVarianceSwapStaticReplicationFunction.STRIKE_PARAMETERIZATION_METHOD/*, VarianceSwapStaticReplication.StrikeParameterization.STRIKE.toString()*/).get();
    final ComputationTargetSpecification targetSpec = ComputationTargetSpecification.of(_definition.getTarget().getUniqueId());
    _requirement = new ValueRequirement(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, targetSpec, surfaceProperties);
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    return ComputationTargetType.NULL;
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
    final ValueProperties properties = createValueProperties()
        .withAny(ValuePropertyNames.CURVE)
        .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)
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      constraints.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE);
    }
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    if (constraints == null) {
      // We can satisfy the desired value as-is, just ask for the curve specification to drive our behavior
      final ValueProperties curveConstraints;
      values = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
      if (values != null) {
        if (values.isEmpty()) {
          curveConstraints = ValueProperties.withAny(ValuePropertyNames.CURVE).get();
        } else {
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    final Clock snapshotClock = executionContext.getValuationClock();
    final LocalDate now = ZonedDateTime.now(snapshotClock).toLocalDate();
    final Currency currency = FinancialSecurityUtils.getCurrency(position.getSecurity());
    final String currencyString = currency.getCode();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties constraints = desiredValue.getConstraints();
    final String surfaceName = getPropertyName(constraints.getValues(ValuePropertyNames.SURFACE));
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final Set<String> yieldCurveNames = constraints.getValues(ValuePropertyNames.CURVE);
    final Period samplingPeriod = getSamplingPeriod(constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD));
    final LocalDate startDate = now.minus(samplingPeriod);
    final Schedule scheduleCalculator = getScheduleCalculator(constraints.getValues(ValuePropertyNames.SCHEDULE_CALCULATOR));
    final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(constraints.getValues(ValuePropertyNames.SAMPLING_FUNCTION));
    final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    DoubleTimeSeries<?> result = null;
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    for (final String yieldCurveName : yieldCurveNames) {
      final ValueRequirement ycnsRequirement = getYCNSRequirement(currencyString, curveCalculationConfigName, yieldCurveName, surfaceName, target);
      final DoubleLabelledMatrix1D ycns = (DoubleLabelledMatrix1D) inputs.getValue(ycnsRequirement);
      final HistoricalTimeSeriesBundle ychts = (HistoricalTimeSeriesBundle) inputs.getValue(getYCHTSRequirement(currency, yieldCurveName, samplingPeriod.toString()));
      final DoubleTimeSeries<?> pnLSeries;
      if (curveCalculationConfig.getCalculationMethod().equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
        pnLSeries = getPnLSeries(ycns, ychts, schedule, samplingFunction);
      } else {
        final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, yieldCurveName);
        final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) inputs.getValue(curveSpecRequirement);
        pnLSeries = getPnLSeries(curveSpec, ycns, ychts, schedule, samplingFunction);
      }
      if (result == null) {
        result = pnLSeries;
      } else {
        result = result.add(result);
      }
    }
    if (result == null) {
      throw new OpenGammaRuntimeException("Could not get any values for security " + position.getSecurity());
    }
    result = result.multiply(position.getQuantity().doubleValue());
    final ValueProperties resultProperties = getResultProperties(desiredValue, currencyString);
    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), resultProperties);
    return Sets.newHashSet(new ComputedValue(resultSpec, result));
  }
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  public String getRequirementName() {
    return _requirementName;
  }

  protected ValueProperties getInputConstraint(final ValueRequirement desiredValue) {
    final ValueProperties constraints = desiredValue.getConstraints();
    Set<String> currencies = constraints.getValues(ValuePropertyNames.CURRENCY);
    if ((currencies == null) || currencies.isEmpty()) {
      return ValueProperties.withAny(ValuePropertyNames.CURRENCY).get();
    } else {
      return ValueProperties.with(ValuePropertyNames.CURRENCY, currencies).get();
    }
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  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final Position position = target.getPosition();
    final Currency currency = FinancialSecurityUtils.getCurrency(position.getSecurity());
    final String currencyString = currency.getCode();
    final ValueProperties constraints = desiredValue.getConstraints();
    final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
    if (surfaceNames == null || surfaceNames.size() != 1) {
      return null;
    }
    final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
      return null;
    }
    final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final Set<String> samplingPeriods = constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD);
    if (samplingPeriods == null || samplingPeriods.size() != 1) {
      return null;
    }
    final String samplingPeriod = samplingPeriods.iterator().next();
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
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  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    final Position position = target.getPosition();
    final ValueProperties properties = createValueProperties()
        .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
        .with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(position.getSecurity()).getCode())
        .withAny(ValuePropertyNames.SURFACE)
        .withAny(ValuePropertyNames.CURVE)
        .withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
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