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

Introduction

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

Source

/**
 * 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.HashSet;
import java.util.Set;

import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.timeseries.DateConstraint;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.currency.ConfigDBCurrencyPairsSource;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.money.Currency;

/**
 *
 */
public class BloombergSecurityFXHistoricalTimeSeriesFunction
        extends AbstractSecurityFXHistoricalTimeSeriesFunction {

    @Override
    public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context,
            final ComputationTarget target, final ValueRequirement desiredValue) {
        final ValueProperties constraints = desiredValue.getConstraints();
        final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
        final Collection<Currency> securityCurrencies = FinancialSecurityUtils.getCurrencies(security,
                getSecuritySource());
        final Set<String> resultCurrencies = constraints.getValues(ValuePropertyNames.CURRENCY);
        if (resultCurrencies != null && resultCurrencies.size() == 1) {
            final Currency desiredCurrency = Currency.of(Iterables.getOnlyElement(resultCurrencies));
            if (securityCurrencies.size() == 1) {
                final Currency securityCurrency = Iterables.getOnlyElement(securityCurrencies);
                ValueRequirement htsRequirement = getHTSRequirement(context, desiredCurrency, securityCurrency);
                return htsRequirement != null ? ImmutableSet.of(htsRequirement) : null;
            }
            final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
            for (final Currency securityCurrency : securityCurrencies) {
                ValueRequirement htsRequirement = getHTSRequirement(context, desiredCurrency, securityCurrency);
                if (htsRequirement != null) {
                    requirements.add(htsRequirement);
                }
            }
            return !requirements.isEmpty() ? requirements : null;
        }
        return null;
    }

    private ValueRequirement getHTSRequirement(final FunctionCompilationContext context,
            final Currency desiredCurrency, final Currency securityCurrency) {
        if (desiredCurrency.equals(securityCurrency)) {
            return null;
        }
        final HistoricalTimeSeriesResolver htsResolver = OpenGammaCompilationContext
                .getHistoricalTimeSeriesResolver(context);
        final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
        final ConfigDBCurrencyPairsSource currencyPairsSource = new ConfigDBCurrencyPairsSource(configSource);
        final CurrencyPairs baseQuotePairs = currencyPairsSource
                .getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
        final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(desiredCurrency, securityCurrency);
        if (baseQuotePair == null) {
            throw new OpenGammaRuntimeException("Could not get base/quote pair for currency pair ("
                    + desiredCurrency + ", " + securityCurrency + ")");
        }
        final ExternalId externalId = getBBGId(baseQuotePair);
        final HistoricalTimeSeriesResolutionResult resolutionResult = htsResolver.resolve(
                ExternalIdBundle.of(externalId), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
        if (resolutionResult == null) {
            return null;
        }
        return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(resolutionResult,
                MarketDataRequirementNames.MARKET_VALUE, DateConstraint.EARLIEST_START, true,
                DateConstraint.VALUATION_TIME, true);
    }

    private ExternalId getBBGId(final CurrencyPair baseQuotePair) {
        return ExternalSchemes.bloombergTickerSecurityId(
                baseQuotePair.getBase().getCode() + baseQuotePair.getCounter().getCode() + " Curncy");
    }
}