/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.curve;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_CONSTRUCTION_CONFIG;
import static com.opengamma.engine.value.ValueRequirementNames.CURRENCY_PAIRS;
import java.util.Collections;
import java.util.HashSet;
import java.util.Iterator;
import java.util.Set;
import org.threeten.bp.Instant;
import org.threeten.bp.LocalTime;
import org.threeten.bp.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import org.threeten.bp.temporal.ChronoUnit;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.curve.ConfigDBCurveConstructionConfigurationSource;
import com.opengamma.financial.analytics.curve.CurveConstructionConfiguration;
import com.opengamma.financial.analytics.curve.CurveConstructionConfigurationSource;
import com.opengamma.financial.analytics.curve.CurveNodeCurrencyVisitor;
import com.opengamma.financial.analytics.curve.CurveUtils;
import com.opengamma.financial.analytics.ircurve.strips.CurveNodeVisitor;
import com.opengamma.financial.convention.ConventionSource;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.id.VersionCorrection;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;
/**
* Function that returns a {@link FXMatrix} for a curve construction configuration.
*/
public class FXMatrixFunction extends AbstractFunction {
/** The configuration name */
private final String _configurationName;
/**
* @param configurationName The configuration name, not null
*/
public FXMatrixFunction(final String configurationName) {
ArgumentChecker.notNull(configurationName, "configuration name");
_configurationName = configurationName;
}
/**
* Gets the curve configuration name.
* @return The curve configuration names
*/
public String getConfigurationName() {
return _configurationName;
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final CurveConstructionConfigurationSource curveConfigurationSource = new ConfigDBCurveConstructionConfigurationSource(configSource);
final Instant versionTime = atZDT.plus(1, ChronoUnit.HOURS).truncatedTo(ChronoUnit.HOURS).toInstant();
//TODO work out a way to use dependency graph to get curve information for this config
final CurveConstructionConfiguration curveConstructionConfiguration = curveConfigurationSource.getCurveConstructionConfiguration(_configurationName,
VersionCorrection.of(versionTime, versionTime));
if (curveConstructionConfiguration == null) {
throw new OpenGammaRuntimeException("Could not get curve construction configuration called " + _configurationName);
}
final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
final CurveNodeVisitor<Set<Currency>> visitor = new CurveNodeCurrencyVisitor(conventionSource);
final Set<Currency> currencies = CurveUtils.getCurrencies(curveConstructionConfiguration, configSource, versionTime, conventionSource, visitor);
final ValueProperties properties = createValueProperties()
.with(CURVE_CONSTRUCTION_CONFIG, _configurationName)
.get();
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.FX_MATRIX, ComputationTargetSpecification.NULL, properties);
return new MyCompiledFunction(atZDT.with(LocalTime.MIDNIGHT), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000),
spec, currencies);
}
/**
* Function that creates an {@link FXMatrix}
*/
protected class MyCompiledFunction extends AbstractInvokingCompiledFunction {
/** The result specification */
private final ValueSpecification _spec;
/** The set of relevant currencies */
private final Set<Currency> _currencies;
/**
* @param earliestInvocation The earliest time that this function is valid, not null
* @param latestInvocation The latest time that this function is valid, not null
* @param spec The result specification for the FX matrix, not null
* @param currencies The currencies contained in the matrix, not null
*/
public MyCompiledFunction(final ZonedDateTime earliestInvocation, final ZonedDateTime latestInvocation, final ValueSpecification spec, final Set<Currency> currencies) {
super(earliestInvocation, latestInvocation);
ArgumentChecker.notNull(spec, "specification");
ArgumentChecker.notNull(currencies, "currencies");
_spec = spec;
_currencies = currencies;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
if (inputs.getAllValues().size() == 0) {
return Collections.singleton(new ComputedValue(_spec, new FXMatrix()));
}
final FXMatrix matrix = new FXMatrix();
final Iterator<Currency> iter = _currencies.iterator();
final Currency initialCurrency = iter.next();
final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
while (iter.hasNext()) {
final Currency otherCurrency = iter.next();
if (pairs.getCurrencyPair(initialCurrency, otherCurrency).getBase().equals(initialCurrency)) {
final double spotRate = (Double) inputs.getValue(new ValueRequirement(ValueRequirementNames.SPOT_RATE,
CurrencyPair.TYPE.specification(CurrencyPair.of(otherCurrency, initialCurrency))));
matrix.addCurrency(otherCurrency, initialCurrency, spotRate);
} else {
final double spotRate = (Double) inputs.getValue(new ValueRequirement(ValueRequirementNames.SPOT_RATE,
CurrencyPair.TYPE.specification(CurrencyPair.of(otherCurrency, initialCurrency))));
matrix.addCurrency(otherCurrency, initialCurrency, 1 / spotRate);
}
}
return Collections.singleton(new ComputedValue(_spec, matrix));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.NULL;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
return Collections.singleton(_spec);
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext compilationContext, final ComputationTarget target, final ValueRequirement desiredValue) {
if (_currencies == null || _currencies.isEmpty() || _currencies.size() == 1) {
return Collections.emptySet();
}
final Set<ValueRequirement> requirements = new HashSet<>();
final Iterator<Currency> iter = _currencies.iterator();
final Currency initialCurrency = iter.next();
while (iter.hasNext()) {
requirements.add(new ValueRequirement(ValueRequirementNames.SPOT_RATE, CurrencyPair.TYPE.specification(CurrencyPair.of(iter.next(), initialCurrency))));
}
requirements.add(new ValueRequirement(CURRENCY_PAIRS, ComputationTargetSpecification.NULL, ValueProperties.none()));
return requirements;
}
};
}