com.opengamma.financial.analytics.model.forex.forward.FXForwardPointsMethodYCNSFunction.java Source code

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

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/**
 * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.forex.forward;

import java.util.Set;

import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.forex.method.ForexForwardPointsMethod;
import com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.math.curve.DoublesCurve;
import com.opengamma.engine.ComputationTarget;
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.ValueProperties.Builder;
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.analytics.fxforwardcurve.FXForwardCurveDefinition;
import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationWithSecurities;
import com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.security.FinancialSecurity;

/**
 * 
 */
public class FXForwardPointsMethodYCNSFunction extends FXForwardPointsMethodFunction {
    private static final ForexForwardPointsMethod CALCULATOR = ForexForwardPointsMethod.getInstance();

    public FXForwardPointsMethodYCNSFunction() {
        super(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES);
    }

    @Override
    protected Set<ComputedValue> getResult(final Forex fxForward, final YieldCurveBundle data,
            final DoublesCurve forwardPoints, final ComputationTarget target,
            final Set<ValueRequirement> desiredValues, final FunctionInputs inputs,
            final FunctionExecutionContext executionContext,
            final FXForwardCurveDefinition fxForwardCurveDefinition) {
        final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) inputs
                .getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
        final MultipleCurrencyInterestRateCurveSensitivity sensitivities = CALCULATOR
                .presentValueCurveSensitivity(fxForward, data, forwardPoints);
        final String currency = ((FinancialSecurity) target.getSecurity())
                .accept(ForexVisitors.getReceiveCurrencyVisitor()).getCode();
        final ValueProperties properties = getResultProperties(Iterables.getOnlyElement(desiredValues), currency)
                .get();
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
                target.toSpecification(), properties);
        final String curveName = Iterables.getOnlyElement(properties.getValues(ValuePropertyNames.CURVE));
        return null;
        //return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(curveName, data, properties, curveSpec, spec);
    }

    @Override
    protected ValueProperties.Builder getResultProperties(final ComputationTarget target) {
        return createValueProperties()
                .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS)
                .withAny(ValuePropertyNames.PAY_CURVE).withAny(ValuePropertyNames.RECEIVE_CURVE)
                .withAny(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG)
                .withAny(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG)
                .withAny(ValuePropertyNames.FORWARD_CURVE_NAME).withAny(ValuePropertyNames.CURRENCY);
    }

    @Override
    protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final String payCurveName,
            final String receiveCurveName, final String payCurveCalculationConfig,
            final String receiveCurveCalculationConfig, final String forwardCurveName) {
        return createValueProperties()
                .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS)
                .with(ValuePropertyNames.PAY_CURVE, payCurveName)
                .with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveName)
                .with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, payCurveCalculationConfig)
                .with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, receiveCurveCalculationConfig)
                .with(ValuePropertyNames.FORWARD_CURVE_NAME, forwardCurveName)
                .with(ValuePropertyNames.CURRENCY, ((FinancialSecurity) target.getSecurity())
                        .accept(ForexVisitors.getReceiveCurrencyVisitor()).getCode());
    }

    protected ValueProperties.Builder getResultProperties(final ValueRequirement desiredValue,
            final String currency) {
        final String payCurveName = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE);
        final String receiveCurveName = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE);
        final String payCurveCalculationConfig = desiredValue
                .getConstraint(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
        final String receiveCurveCalculationConfig = desiredValue
                .getConstraint(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
        final String forwardCurveName = desiredValue.getConstraint(ValuePropertyNames.FORWARD_CURVE_NAME);
        return createValueProperties()
                .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS)
                .with(ValuePropertyNames.PAY_CURVE, payCurveName)
                .with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveName)
                .with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, payCurveCalculationConfig)
                .with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, receiveCurveCalculationConfig)
                .with(ValuePropertyNames.FORWARD_CURVE_NAME, forwardCurveName)
                .with(ValuePropertyNames.CURRENCY, currency);
    }

    @Override
    protected Builder getResultProperties(final ValueRequirement desiredValue, final ComputationTarget target) {
        throw new UnsupportedOperationException();
    }
}