/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.marketdata;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.math.curve.CurveShiftFunctionFactory;
import com.opengamma.analytics.math.curve.DoublesCurve;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.security.Security;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.financial.expression.UserExpressionParser;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.id.UniqueId;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.StandardCurrencyPairs;
import com.opengamma.util.tuple.Pair;
/**
* Static functions for the EL compiler.
*/
public final class MarketDataELFunctions {
private MarketDataELFunctions() {
}
public static Security getSecurity(final Object id) {
return UserExpressionParser.resolve(ComputationTargetType.SECURITY, id);
}
public static Object pointShiftCurve(final Object curve, final double x, final double shift) {
if (curve instanceof YieldCurve) {
final DoublesCurve shifted = CurveShiftFunctionFactory.getShiftedCurve(((YieldCurve) curve).getCurve(), x, shift);
return YieldCurve.from(shifted);
} else {
throw new UnsupportedOperationException("Invalid curve - " + curve);
}
}
public static Object parallelShiftCurve(final Object curve, final double shift) {
if (curve instanceof YieldCurve) {
final DoublesCurve shifted = CurveShiftFunctionFactory.getShiftedCurve(((YieldCurve) curve).getCurve(), shift);
return YieldCurve.from(shifted);
} else {
throw new UnsupportedOperationException("Invalid curve - " + curve);
}
}
public static double getFXMultiplier(final Object id, final double multiplier) {
if (id instanceof ExternalId) {
return getFXMultiplierFromExternalId((ExternalId) id, multiplier);
} else if (id instanceof ExternalIdBundle) {
final ExternalIdBundle bundle = (ExternalIdBundle) id;
if (bundle.getExternalId(ExternalSchemes.BLOOMBERG_TICKER) != null) {
return getFXMultiplierFromExternalId(bundle.getExternalId(ExternalSchemes.BLOOMBERG_TICKER), multiplier);
} else if (bundle.getExternalId(ExternalSchemes.BLOOMBERG_TICKER_WEAK) != null) {
return getFXMultiplierFromExternalId(bundle.getExternalId(ExternalSchemes.BLOOMBERG_TICKER_WEAK), multiplier);
}
} else if (id instanceof UniqueId) {
final UniqueId uid = (UniqueId) id;
return getFXMultiplierFromExternalId(ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, uid.getValue()), multiplier);
}
throw new OpenGammaRuntimeException("id was not FX rate, which shouldn't happen");
}
private static double getFXMultiplierFromExternalId(final ExternalId id, final double multiplier) {
final Pair<Currency, Currency> pair = getFXPairFromBloombergTicker(id);
if (StandardCurrencyPairs.isStandardPair(pair.getFirst(), pair.getSecond())) {
return multiplier;
} else {
return 1 / multiplier;
}
}
private static Pair<Currency, Currency> getFXPairFromBloombergTicker(final ExternalId id) {
if (id.getScheme().equals(ExternalSchemes.BLOOMBERG_TICKER) || id.getScheme().equals(ExternalSchemes.BLOOMBERG_TICKER_WEAK)) {
final String ticker = id.getValue();
final String[] split = ticker.split(" ");
if (split.length != 2) {
throw new OpenGammaRuntimeException("ticker contained more than one space:" + ticker);
}
if (!split[1].equals("Curncy")) {
throw new OpenGammaRuntimeException("ticker did not end with Curncy:" + ticker);
}
final String ccyPart = split[0];
switch (ccyPart.length()) {
case 3:
{
final Currency ccy = Currency.of(ccyPart);
if (StandardCurrencyPairs.isSingleCurrencyNumerator(ccy)) {
return Pair.of(ccy, Currency.USD);
} else {
return Pair.of(Currency.USD, ccy);
}
}
case 6:
{
final Currency numerator = Currency.of(ccyPart.substring(0, 3));
final Currency denominator = Currency.of(ccyPart.substring(3));
return Pair.of(numerator, denominator);
}
default:
throw new OpenGammaRuntimeException("currency part of ticker did not have 3 or 6 characters" + ticker);
}
} else {
throw new OpenGammaRuntimeException("id was not bloomberg ticker or bloomberg weak ticker" + id);
}
}
public static boolean isFXRate(final Object id) {
if (id instanceof ExternalId) {
return isFXRateFromBloombergTicker((ExternalId) id);
} else if (id instanceof ExternalIdBundle) {
final ExternalIdBundle bundle = (ExternalIdBundle) id;
if (bundle.getExternalId(ExternalSchemes.BLOOMBERG_TICKER) != null) {
return isFXRateFromBloombergTicker(bundle.getExternalId(ExternalSchemes.BLOOMBERG_TICKER));
} else if (bundle.getExternalId(ExternalSchemes.BLOOMBERG_TICKER_WEAK) != null) {
return isFXRateFromBloombergTicker(bundle.getExternalId(ExternalSchemes.BLOOMBERG_TICKER_WEAK));
}
} else if (id instanceof UniqueId) {
final UniqueId uid = (UniqueId) id;
return isFXRateFromBloombergTicker(ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER, uid.getValue()));
}
return false;
}
private static boolean isFXRateFromBloombergTicker(final ExternalId id) {
if (id.getScheme().equals(ExternalSchemes.BLOOMBERG_TICKER) || id.getScheme().equals(ExternalSchemes.BLOOMBERG_TICKER_WEAK)) {
final String ticker = id.getValue();
final String[] split = ticker.split(" ");
if (split.length != 2) {
return false;
}
if (!split[1].equals("Curncy")) {
return false;
}
final String ccyPart = split[0];
switch (ccyPart.length()) {
case 3:
return true;
case 6:
return true;
default:
return false;
}
} else {
return false;
}
}
}