com.opengamma.financial.analytics.timeseries.VolatilityWeightedFXReturnSeriesFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.timeseries.VolatilityWeightedFXReturnSeriesFunction.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.timeseries;

import java.util.Set;

import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.timeseries.util.TimeSeriesRelativeWeightedDifferenceOperator;
import com.opengamma.analytics.financial.timeseries.util.TimeSeriesWeightedVolatilityOperator;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;

/**
 *
 */
public class VolatilityWeightedFXReturnSeriesFunction extends FXReturnSeriesFunction {

    private static final TimeSeriesRelativeWeightedDifferenceOperator RELATIVE_WEIGHTED_DIFFERENCE = new TimeSeriesRelativeWeightedDifferenceOperator();

    @Override
    protected ValueProperties getResultProperties() {
        final ValueProperties properties = super.getResultProperties().copy()
                .withoutAny(ValuePropertyNames.RETURN_CALCULATOR)
                .with(ValuePropertyNames.RETURN_CALCULATOR, RELATIVE_RETURNS).get();
        return VolatilityWeightingFunctionUtils.addVolatilityWeightingProperties(properties);
    }

    @Override
    protected String getSpotSeriesStart(final ValueProperties constraints) {
        final Set<String> lambdas = constraints
                .getValues(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY);
        if (lambdas == null || lambdas.size() != 1) {
            return null;
        }
        final Set<String> startDates = constraints.getValues(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY);
        if (startDates == null || startDates.size() != 1) {
            return null;
        }
        final String startDate = Iterables.getOnlyElement(startDates);
        final Set<String> volWeightingStartDates = constraints
                .getValues(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_START_DATE_PROPERTY);
        if (volWeightingStartDates == null || volWeightingStartDates.size() != 1) {
            // NOTE jonathan 2013-04-29 -- should start a day earlier so the result after weighting starts at the startDate,
            // but need to know previous date with data
            return startDate;
        }
        return Iterables.getOnlyElement(volWeightingStartDates);
    }

    @Override
    protected LocalDateDoubleTimeSeries getReturnSeries(final LocalDateDoubleTimeSeries spotSeries,
            final ValueRequirement desiredValue) {
        final double lambda = Double.parseDouble(
                desiredValue.getConstraint(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
        final TimeSeriesWeightedVolatilityOperator weightedVolOp = new TimeSeriesWeightedVolatilityOperator(lambda);
        final LocalDateDoubleTimeSeries weightedVolSeries = (LocalDateDoubleTimeSeries) weightedVolOp
                .evaluate(spotSeries);
        return (LocalDateDoubleTimeSeries) RELATIVE_WEIGHTED_DIFFERENCE.evaluate(spotSeries, weightedVolSeries);
    }

}