/**
* 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.TimeSeriesRelativeWeightedDifferenceOperator;
import com.opengamma.analytics.financial.timeseries.util.TimeSeriesWeightedVolatilityOperator;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
/**
*
*/
public class VolatilityWeightedFXReturnSeriesFunction extends FXReturnSeriesFunction {
private static final TimeSeriesRelativeWeightedDifferenceOperator RELATIVE_WEIGHTED_DIFFERENCE = new TimeSeriesRelativeWeightedDifferenceOperator();
@Override
protected ValueProperties getResultProperties() {
final ValueProperties properties = super.getResultProperties().copy()
.withoutAny(ValuePropertyNames.RETURN_CALCULATOR)
.with(ValuePropertyNames.RETURN_CALCULATOR, RELATIVE_RETURNS)
.get();
return VolatilityWeightingFunctionUtils.addVolatilityWeightingProperties(properties);
}
@Override
protected String getSpotSeriesStart(final ValueProperties constraints) {
final Set<String> lambdas = constraints.getValues(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY);
if (lambdas == null || lambdas.size() != 1) {
return null;
}
final Set<String> startDates = constraints.getValues(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY);
if (startDates == null || startDates.size() != 1) {
return null;
}
final String startDate = Iterables.getOnlyElement(startDates);
final 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;
}
return Iterables.getOnlyElement(volWeightingStartDates);
}
@Override
protected LocalDateDoubleTimeSeries getReturnSeries(final LocalDateDoubleTimeSeries spotSeries, final ValueRequirement desiredValue) {
final double lambda = Double.parseDouble(desiredValue.getConstraint(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
final TimeSeriesWeightedVolatilityOperator weightedVolOp = new TimeSeriesWeightedVolatilityOperator(lambda);
final LocalDateDoubleTimeSeries weightedVolSeries = (LocalDateDoubleTimeSeries) weightedVolOp.evaluate(spotSeries);
return (LocalDateDoubleTimeSeries) RELATIVE_WEIGHTED_DIFFERENCE.evaluate(spotSeries, weightedVolSeries);
}
}