/**
* 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.threeten.bp.LocalDate;
import org.threeten.bp.Period;
import com.google.common.collect.ImmutableSet;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesAdjustment;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.cache.MissingInput;
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.Builder;
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.util.tuple.Pair;
/**
* Function to source the latest time series data point from a {@link HistoricalTimeSeriesSource} attached to the execution context.
*/
public class HistoricalTimeSeriesLatestValueFunction extends AbstractFunction.NonCompiledInvoker {
@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 Pair<LocalDate, Double> latestDataPoint = timeSeriesSource.getLatestDataPoint(target.getUniqueId());
final String ageLimitValue = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY);
final Period ageLimit = HistoricalTimeSeriesFunctionUtils.UNLIMITED_AGE_LIMIT_VALUE.equals(ageLimitValue) ? null : Period.parse(ageLimitValue);
final Object value;
if (checkMissing(executionContext, latestDataPoint, ageLimit)) {
value = MissingInput.MISSING_MARKET_DATA;
} else {
final String adjusterString = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY);
final HistoricalTimeSeriesAdjustment htsa = HistoricalTimeSeriesAdjustment.parse(adjusterString);
value = htsa.adjust(latestDataPoint.getSecond());
}
return Collections.singleton(new ComputedValue(new ValueSpecification(desiredValue.getValueName(), target.toSpecification(), desiredValue.getConstraints()), value));
}
// TODO: reverse logic here to be checkAvailable()
private boolean checkMissing(final FunctionExecutionContext executionContext, final Pair<LocalDate, Double> latestDataPoint, final Period ageLimit) {
if (latestDataPoint == null) {
return true;
}
if (ageLimit != null) {
LocalDate now = LocalDate.now(executionContext.getValuationClock());
Period difference = ageLimit.minus(Period.between(latestDataPoint.getFirst(), now));
if (difference.isNegative()) {
return true;
}
}
return false;
}
@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_LATEST, target.toSpecification(), createValueProperties()
.withAny(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY)
.withAny(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY).get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> adjustValues = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY);
final Set<String> ageLimitValues = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY);
if (adjustValues != null && adjustValues.size() == 1 && ageLimitValues != null && ageLimitValues.size() == 1) {
return ImmutableSet.of();
}
final Builder constraints = desiredValue.getConstraints().copy();
if (adjustValues == null || adjustValues.isEmpty()) {
constraints.withoutAny(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY, "");
} else {
constraints.withoutAny(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY, adjustValues.iterator().next());
}
if (ageLimitValues == null || ageLimitValues.isEmpty()) {
constraints.withoutAny(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY, HistoricalTimeSeriesFunctionUtils.UNLIMITED_AGE_LIMIT_VALUE);
} else {
constraints.withoutAny(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY)
.with(HistoricalTimeSeriesFunctionUtils.AGE_LIMIT_PROPERTY, ageLimitValues.iterator().next());
}
return ImmutableSet.of(new ValueRequirement(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST, 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();
}
}
}