/**
* 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.Set;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.timeseries.util.TimeSeriesWeightedVolatilityOperator;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.timeseries.date.localdate.ImmutableLocalDateDoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
/**
*
*/
public class VolatilityWeightedFXForwardCurveNodeReturnSeriesFunction extends FXForwardCurveNodeReturnSeriesFunction {
@Override
protected ValueProperties getResultProperties(ComputationTarget target) {
return VolatilityWeightingFunctionUtils.addVolatilityWeightingProperties(super.getResultProperties(target));
}
@Override
protected String getFCHTSStart(ValueProperties constraints) {
Set<String> startDates = constraints.getValues(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY);
if (startDates == null || startDates.size() != 1) {
return null;
}
String startDate = Iterables.getOnlyElement(startDates);
Set<String> volWeightingStartDates = constraints.getValues(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_START_DATE_PROPERTY);
if (volWeightingStartDates == null || volWeightingStartDates.size() != 1) {
// NOTE jonathan 2013-04-29 -- should start a day earlier so the result after weighting starts at the startDate,
// but need to know previous date with data
return startDate;
} else {
return Iterables.getOnlyElement(volWeightingStartDates);
}
}
@Override
protected LocalDateDoubleTimeSeries getReturnSeries(LocalDateDoubleTimeSeries ts, ValueRequirement desiredValue) {
LocalDateDoubleTimeSeries differenceSeries = super.getReturnSeries(ts, desiredValue);
double lambda = Double.parseDouble(desiredValue.getConstraint(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
TimeSeriesWeightedVolatilityOperator weightedVol = new TimeSeriesWeightedVolatilityOperator(lambda);
LocalDateDoubleTimeSeries weightedVolSeries = (LocalDateDoubleTimeSeries) weightedVol.evaluate(ts);
int n = weightedVolSeries.size();
double endDateWeightedVol = weightedVolSeries.getLatestValueFast();
double[] volWeightedDifferences = new double[n];
for (int i = 0; i < n; i++) {
System.out.println(differenceSeries.getTimeAtIndex(i) + "," + differenceSeries.getValueAtIndexFast(i) + "," + weightedVolSeries.getValueAtIndexFast(i));
volWeightedDifferences[i] = differenceSeries.getValueAtIndexFast(i) * endDateWeightedVol / weightedVolSeries.getValueAtIndexFast(i);
}
LocalDateDoubleTimeSeries volWeightedDifferenceSeries = ImmutableLocalDateDoubleTimeSeries.of(weightedVolSeries.timesArrayFast(), volWeightedDifferences);
return volWeightedDifferenceSeries;
}
}