/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.ircurve;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.core.marketdatasnapshot.SnapshotDataBundle;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.marketdata.OverrideOperation;
import com.opengamma.engine.marketdata.OverrideOperationCompiler;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaExecutionContext;
import com.opengamma.id.ExternalIdBundle;
/**
* Function to shift a yield curve's market data, implemented using properties and constraints.
* <p>
* The shift expression is applied to each of the market data value lines.
*/
public class YieldCurveMarketDataShiftFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(YieldCurveMarketDataShiftFunction.class);
/**
* Property to shift a yield curve's market data.
*/
protected static final String SHIFT = "SHIFT";
@Override
public String getShortName() {
return "YieldCurveMarketDataShift";
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.CURRENCY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_MARKET_DATA, target.toSpecification(), ValueProperties.all()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> shift = constraints.getValues(SHIFT);
if ((shift == null) || shift.isEmpty() || constraints.isOptional(SHIFT)) {
return null;
}
final ValueProperties properties = desiredValue.getConstraints().copy().withoutAny(SHIFT).with(SHIFT, "0").withOptional(SHIFT).get();
return Collections.singleton(new ValueRequirement(desiredValue.getValueName(), target.toSpecification(), properties));
}
private ValueProperties.Builder createValueProperties(final ValueSpecification input) {
return input.getProperties().copy().withoutAny(ValuePropertyNames.FUNCTION).with(ValuePropertyNames.FUNCTION, getUniqueId());
}
@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));
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ComputedValue input = inputs.getAllValues().iterator().next();
final ValueSpecification inputSpec = input.getSpecification();
final SnapshotDataBundle marketData = (SnapshotDataBundle) input.getValue();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String shift = desiredValue.getConstraint(SHIFT);
final ValueProperties.Builder properties = createValueProperties(inputSpec).with(SHIFT, shift);
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 {
s_logger.warn("Result of override operation was not numeric");
}
}
return Collections.singleton(new ComputedValue(new ValueSpecification(inputSpec.getValueName(), inputSpec.getTargetSpecification(), properties.get()), marketData));
}
}