/**
* Copyright (C) 2012 - 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.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Instant;
import org.threeten.bp.LocalDate;
import org.threeten.bp.OffsetDateTime;
import org.threeten.bp.ZoneOffset;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesAdjustment;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.cache.MissingInput;
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.OpenGammaExecutionContext;
/**
* Function to source time series data from a {@link HistoricalTimeSeriesSource} attached to the execution context.
*/
public class HistoricalTimeSeriesFunction extends AbstractFunction {
private static final Logger s_logger = LoggerFactory.getLogger(HistoricalTimeSeriesFunction.class);
protected static HistoricalTimeSeries executeImpl(final FunctionExecutionContext executionContext, final HistoricalTimeSeriesSource timeSeriesSource,
final ComputationTargetSpecification targetSpec, final ValueRequirement desiredValue) {
final LocalDate startDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY));
final boolean includeStart = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY));
LocalDate endDate = DateConstraint.evaluate(executionContext, desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY));
final boolean includeEnd = HistoricalTimeSeriesFunctionUtils.parseBoolean(desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY));
HistoricalTimeSeries hts = timeSeriesSource.getHistoricalTimeSeries(targetSpec.getUniqueId(), startDate, includeStart, endDate, includeEnd);
final String adjusterString = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY);
hts = HistoricalTimeSeriesAdjustment.parse(adjusterString).adjust(hts);
return hts;
}
private class Compiled extends AbstractFunction.AbstractInvokingCompiledFunction {
public Compiled(final Instant firstValidity, final Instant lastValidity) {
super(firstValidity, lastValidity);
}
// CompiledFunctionDefinition
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.PRIMITIVE; // UID of the time series
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(ValueRequirementNames.HISTORICAL_TIME_SERIES, target.toSpecification(), createValueProperties()
.withAny(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY)
.withAny(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY)
.withAny(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE, HistoricalTimeSeriesFunctionUtils.NO_VALUE)
.withAny(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE, HistoricalTimeSeriesFunctionUtils.NO_VALUE).get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
ValueProperties.Builder constraints = null;
Set<String> values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY);
if ((values == null) || values.isEmpty()) {
constraints = desiredValue.getConstraints().copy().withoutAny(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY).with(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY, "");
} else if (values.size() > 1) {
constraints = desiredValue.getConstraints().copy().withoutAny(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY, values.iterator().next());
}
values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY);
if ((values == null) || values.isEmpty()) {
if (constraints == null) {
constraints = desiredValue.getConstraints().copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY, "");
}
values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY);
if ((values == null) || (values.size() != 1)) {
if (constraints == null) {
constraints = desiredValue.getConstraints().copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_START_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE);
}
values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY);
if ((values == null) || values.isEmpty()) {
if (constraints == null) {
constraints = desiredValue.getConstraints().copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.END_DATE_PROPERTY, "");
}
values = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY);
if ((values == null) || (values.size() != 1)) {
if (constraints == null) {
constraints = desiredValue.getConstraints().copy();
}
constraints.with(HistoricalTimeSeriesFunctionUtils.INCLUDE_END_PROPERTY, HistoricalTimeSeriesFunctionUtils.YES_VALUE);
}
if (constraints == null) {
// We can satisfy the desired value as-is
return Collections.emptySet();
} else {
// We need to substitute ourselves with the adjusted constraints
return Collections.singleton(new ValueRequirement(ValueRequirementNames.HISTORICAL_TIME_SERIES, target.toSpecification(), constraints.get()));
}
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
if (inputs.isEmpty()) {
// Use full results - graph builder will compose correctly against the desired value
return getResults(context, target);
} else {
// Use the substituted result
return inputs.keySet();
}
}
// FunctionInvoker
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ComputationTargetSpecification targetSpec = target.toSpecification();
Object value = executeImpl(executionContext, timeSeriesSource, targetSpec, desiredValue);
if (value == null) {
s_logger.error("Couldn't get time series {}", desiredValue);
value = MissingInput.MISSING_MARKET_DATA;
}
return Collections.singleton(new ComputedValue(new ValueSpecification(desiredValue.getValueName(), targetSpec, desiredValue.getConstraints()), value));
}
}
// FunctionDefinition
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
final OffsetDateTime odt = atInstant.atOffset(ZoneOffset.UTC);
final OffsetDateTime start = odt.withHour(0).withMinute(0).withSecond(0).withNano(0); // Start of the UTC day
final OffsetDateTime end = start.plusDays(1).minusNanos(1); // End of the UTC day
return new Compiled(start.toInstant(), end.toInstant());
}
}