com.opengamma.financial.analytics.model.forex.option.FXOptionSpotRateFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.forex.option.FXOptionSpotRateFunction.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.option;

import java.util.Collections;
import java.util.Set;

import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.engine.ComputationTarget;
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.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.forex.ConventionBasedFXRateFunction;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.UnorderedCurrencyPair;

/**
 *
 */
public class FXOptionSpotRateFunction extends AbstractFunction.NonCompiledInvoker {
    /** Property indicating the data type required */
    public static final String PROPERTY_DATA_TYPE = "DataType";
    /** Live FX spot rates for a security */
    public static final String LIVE = "Live";
    /** Last close FX spot rates for a security */
    public static final String LAST_CLOSE = "LastClose";

    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
            final ComputationTarget target, final Set<ValueRequirement> desiredValues)
            throws AsynchronousExecution {
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final String dataType = desiredValue.getConstraint(PROPERTY_DATA_TYPE);
        final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
        final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
        final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
        final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(putCurrency, callCurrency);
        if (dataType.equals(LIVE)) {
            final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
            if (spotObject == null) {
                throw new OpenGammaRuntimeException("Could not get live market data for " + currencyPair);
            }
            final double spot = (Double) spotObject;
            return Collections.singleton(new ComputedValue(
                    new ValueSpecification(ValueRequirementNames.SPOT_RATE_FOR_SECURITY, target.toSpecification(),
                            createValueProperties().with(PROPERTY_DATA_TYPE, LIVE).get()),
                    spot));
        } else if (dataType.equals(LAST_CLOSE)) {
            final Object spotObject = inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES_LATEST);
            if (spotObject == null) {
                throw new OpenGammaRuntimeException("Could not get last close market data for " + currencyPair);
            }
            final double spot = (Double) spotObject;
            return Collections.singleton(new ComputedValue(
                    new ValueSpecification(ValueRequirementNames.SPOT_RATE_FOR_SECURITY, target.toSpecification(),
                            createValueProperties().with(PROPERTY_DATA_TYPE, LAST_CLOSE).get()),
                    spot));
        }
        throw new OpenGammaRuntimeException("Did not recognise property type " + dataType);
    }

    @Override
    public ComputationTargetType getTargetType() {
        return FinancialSecurityTypes.FX_OPTION_SECURITY.or(FinancialSecurityTypes.FX_DIGITAL_OPTION_SECURITY)
                .or(FinancialSecurityTypes.FX_BARRIER_OPTION_SECURITY);
    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context,
            final ComputationTarget target) {
        return Collections.singleton(
                new ValueSpecification(ValueRequirementNames.SPOT_RATE_FOR_SECURITY, target.toSpecification(),
                        createValueProperties().with(PROPERTY_DATA_TYPE, LIVE, LAST_CLOSE).get()));
    }

    @Override
    public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context,
            final ComputationTarget target, final ValueRequirement desiredValue) {
        final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
        final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
        final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
        final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(putCurrency, callCurrency);
        final Set<String> dataTypes = desiredValue.getConstraints().getValues(PROPERTY_DATA_TYPE);
        if ((dataTypes == null) || dataTypes.isEmpty() || dataTypes.contains(LIVE)) {
            // Live
            return Collections.singleton(ConventionBasedFXRateFunction.getSpotRateRequirement(currencyPair));
        }
        // Last close
        return Collections.singleton(ConventionBasedFXRateFunction.getLatestHistoricalRequirement(currencyPair));
    }

}