/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.timeseries;
import java.util.Collections;
import java.util.HashSet;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.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.OpenGammaCompilationContext;
import com.opengamma.financial.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.curve.ConfigDBCurveConstructionConfigurationSource;
import com.opengamma.financial.analytics.curve.CurveConstructionConfiguration;
import com.opengamma.financial.analytics.curve.CurveGroupConfiguration;
import com.opengamma.financial.analytics.curve.CurveSpecification;
import com.opengamma.financial.analytics.curve.CurveTypeConfiguration;
import com.opengamma.financial.analytics.ircurve.strips.CurveNodeWithIdentifier;
import com.opengamma.financial.analytics.ircurve.strips.PointsCurveNodeWithIdentifier;
import com.opengamma.financial.analytics.ircurve.strips.ZeroCouponInflationNode;
import com.opengamma.financial.convention.Convention;
import com.opengamma.financial.convention.ConventionSource;
import com.opengamma.financial.convention.InflationLegConvention;
import com.opengamma.financial.convention.PriceIndexConvention;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.util.async.AsynchronousExecution;
/**
* Function to source time series data for each of the instruments in a {@link CurveSpecification}
* from a {@link HistoricalTimeSeriesSource} attached to the execution context. These time series
* are used to convert {@link InstrumentDefinition}s into the {@link InstrumentDerivative}s used
* in pricing and curve construction.
*/
public class CurveConfigurationHistoricalTimeSeriesFunction extends AbstractFunction.NonCompiledInvoker {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(CurveConfigurationHistoricalTimeSeriesFunction.class);
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final HistoricalTimeSeriesBundle bundle = new HistoricalTimeSeriesBundle();
final CurveConstructionConfiguration constructionConfig = (CurveConstructionConfiguration) inputs.getValue(ValueRequirementNames.CURVE_CONSTRUCTION_CONFIG);
final List<CurveGroupConfiguration> groups = constructionConfig.getCurveGroups();
final ComputationTargetSpecification targetSpec = target.toSpecification();
for (final CurveGroupConfiguration group : groups) {
//TODO do we want to put information in about whether or not to use fixing time series?
//TODO do we want to exclude node types that definitely don't need fixing data?
for (final Map.Entry<String, List<CurveTypeConfiguration>> entry : group.getTypesForCurves().entrySet()) {
final String curveName = entry.getKey();
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName)
.get();
final ValueRequirement bundleRequirement = new ValueRequirement(ValueRequirementNames.CURVE_HISTORICAL_TIME_SERIES, targetSpec, properties);
final ValueRequirement specRequirement = new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, targetSpec, properties);
final HistoricalTimeSeriesBundle bundleForCurve = (HistoricalTimeSeriesBundle) inputs.getValue(bundleRequirement);
final CurveSpecification curveSpec = (CurveSpecification) inputs.getValue(specRequirement);
for (final CurveNodeWithIdentifier node : curveSpec.getNodes()) {
String dataField = node.getDataField();
ExternalIdBundle ids = ExternalIdBundle.of(node.getIdentifier());
HistoricalTimeSeries ts = bundleForCurve.get(dataField, ids);
if (ts != null) {
bundle.add(dataField, ids, bundleForCurve.get(dataField, ids));
} else {
s_logger.info("Could not get historical time series for {}", ids);
}
if (node instanceof PointsCurveNodeWithIdentifier) {
final PointsCurveNodeWithIdentifier pointsNode = (PointsCurveNodeWithIdentifier) node;
dataField = pointsNode.getUnderlyingDataField();
ids = ExternalIdBundle.of(pointsNode.getUnderlyingIdentifier());
ts = bundleForCurve.get(dataField, ids);
if (ts != null) {
bundle.add(dataField, ids, bundleForCurve.get(dataField, ids));
} else {
s_logger.info("Could not get historical time series for {}", ids);
}
}
if (node.getCurveNode() instanceof ZeroCouponInflationNode) {
final ZeroCouponInflationNode inflationNode = (ZeroCouponInflationNode) node.getCurveNode();
final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(executionContext);
Convention convention = conventionSource.getConvention(inflationNode.getInflationLegConvention());
if (convention == null) {
throw new OpenGammaRuntimeException("Convention with id " + inflationNode.getInflationLegConvention() + " was null");
}
if (!(convention instanceof InflationLegConvention)) {
throw new OpenGammaRuntimeException("Cannot handle convention type " + convention.getClass());
}
final InflationLegConvention inflationLegConvention = (InflationLegConvention) convention;
convention = conventionSource.getConvention(inflationLegConvention.getPriceIndexConvention());
if (convention == null) {
throw new OpenGammaRuntimeException("Convention with id " + inflationLegConvention.getPriceIndexConvention() + " was null");
}
if (!(convention instanceof PriceIndexConvention)) {
throw new OpenGammaRuntimeException("Cannot handle convention type " + convention.getClass());
}
ids = ExternalIdBundle.of(((PriceIndexConvention) convention).getPriceIndexId());
final HistoricalTimeSeries priceIndexSeries = bundleForCurve.get(dataField, ids);
if (priceIndexSeries != null) {
if (priceIndexSeries.getTimeSeries().isEmpty()) {
s_logger.info("Could for get historical time series for {}", ids);
} else {
bundle.add(dataField, ids, bundleForCurve.get(dataField, ids));
}
} else {
s_logger.info("Couldn't get time series for {}", ids);
}
}
}
}
}
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES, targetSpec,
desiredValue.getConstraints().copy().get());
return Collections.singleton(new ComputedValue(spec, bundle));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.NULL;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = createValueProperties()
.withAny(ValuePropertyNames.CURVE_CONSTRUCTION_CONFIG)
.get();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES, target.toSpecification(),
properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> curveConstructionConfigs = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE_CONSTRUCTION_CONFIG);
if (curveConstructionConfigs == null || curveConstructionConfigs.size() != 1) {
return null;
}
final String curveConstructionConfig = Iterables.getOnlyElement(curveConstructionConfigs);
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final CurveConstructionConfiguration constructionConfig = new ConfigDBCurveConstructionConfigurationSource(configSource).getCurveConstructionConfiguration(curveConstructionConfig);
final Set<ValueRequirement> requirements = new HashSet<>();
final List<CurveGroupConfiguration> groups = constructionConfig.getCurveGroups();
final ComputationTargetSpecification targetSpec = target.toSpecification();
for (final CurveGroupConfiguration group : groups) {
//TODO do we want to put information in about whether or not to use fixing time series?
//TODO do we want to exclude node types that definitely don't need fixing data?
for (final Map.Entry<String, List<CurveTypeConfiguration>> entry : group.getTypesForCurves().entrySet()) {
final String curveName = entry.getKey();
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName)
.get();
requirements.add(new ValueRequirement(ValueRequirementNames.CURVE_HISTORICAL_TIME_SERIES, targetSpec, properties));
requirements.add(new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, targetSpec, properties));
}
}
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE_CONSTRUCTION_CONFIG, curveConstructionConfig)
.get();
requirements.add(new ValueRequirement(ValueRequirementNames.CURVE_CONSTRUCTION_CONFIG, targetSpec, properties));
return requirements;
}
}