com.opengamma.financial.analytics.model.forex.AbstractSecurityFXHistoricalTimeSeriesFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.forex.AbstractSecurityFXHistoricalTimeSeriesFunction.java

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/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.forex;

import java.util.Collection;
import java.util.HashMap;
import java.util.Iterator;
import java.util.Map;
import java.util.Set;

import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetType;
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.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.UnorderedCurrencyPair;

/**
 *
 */
public abstract class AbstractSecurityFXHistoricalTimeSeriesFunction extends AbstractFunction.NonCompiledInvoker {
    private SecuritySource _securitySource;

    @Override
    public void init(final FunctionCompilationContext context) {
        _securitySource = context.getSecuritySource();
    }

    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
            final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final String desiredCurrency = desiredValue.getConstraint(ValuePropertyNames.CURRENCY);
        final Collection<Currency> currencies = FinancialSecurityUtils.getCurrencies(target.getSecurity(),
                _securitySource);
        if (currencies.size() != inputs.getAllValues().size()) {
            if (!currencies.contains(Currency.of(desiredCurrency))) {
                throw new OpenGammaRuntimeException("Do not have one FX series for each requested");
            }
        }
        final Map<UnorderedCurrencyPair, HistoricalTimeSeries> fxSeries = new HashMap<UnorderedCurrencyPair, HistoricalTimeSeries>();
        final Iterator<Currency> currencyIterator = currencies.iterator();
        for (final ComputedValue input : inputs.getAllValues()) {
            final Currency currency = currencyIterator.next();
            if (currency.getCode().equals(desiredCurrency)) {
                currencyIterator.next();
            } else {
                fxSeries.put(UnorderedCurrencyPair.of(currency, Currency.of(desiredCurrency)),
                        (HistoricalTimeSeries) input.getValue());
            }
        }
        final ValueProperties properties = createValueProperties()
                .with(ValuePropertyNames.CURRENCY, desiredCurrency).get();
        final ValueSpecification outputSpec = new ValueSpecification(
                ValueRequirementNames.HISTORICAL_FX_TIME_SERIES, target.toSpecification(), properties);
        return ImmutableSet.of(new ComputedValue(outputSpec, fxSeries));
    }

    @Override
    public ComputationTargetType getTargetType() {
        return ComputationTargetType.SECURITY;
    }

    @Override
    public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
        if (target.getUniqueId() == null) {
            return false;
        }
        if (!(target.getSecurity() instanceof FinancialSecurity)) {
            return false;
        }
        return true;
    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context,
            final ComputationTarget target) {
        final ValueProperties properties = createValueProperties().withAny(ValuePropertyNames.CURRENCY).get();
        return ImmutableSet.of(new ValueSpecification(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES,
                target.toSpecification(), properties));
    }

    protected SecuritySource getSecuritySource() {
        return _securitySource;
    }

}