@Override
public CurveConstructionConfiguration getCurveConstructionConfiguration(
final String name, final VersionCorrection versionCorrection) {
ArgumentChecker.notNull(name, "name");
ArgumentChecker.notNull(versionCorrection, "version correction");
return _query.get(name, versionCorrection);
}
@Override
public CompiledFunctionDefinition compile(
final FunctionCompilationContext context, final Instant atInstant) {
final MultiCurveCalculationConfig impliedConfiguration =
_multiCurveCalculationConfig.get(_curveCalculationConfig);
if (impliedConfiguration == null) {
throw new OpenGammaRuntimeException(
"Multi-curve calculation called " + _curveCalculationConfig + " was null");
}
ComputationTarget target =
context.getComputationTargetResolver().resolve(impliedConfiguration.getTarget());
if (!(target.getValue() instanceof Currency)) {
throw new OpenGammaRuntimeException(
"Target of curve calculation configuration was not a currency");
}
final Currency impliedCurrency = (Currency) target.getValue();
if (!IMPLIED_DEPOSIT.equals(impliedConfiguration.getCalculationMethod())) {
throw new OpenGammaRuntimeException(
"Curve calculation method was not "
+ IMPLIED_DEPOSIT
+ " for configuration called "
+ _curveCalculationConfig);
}
final String[] impliedCurveNames = impliedConfiguration.getYieldCurveNames();
if (impliedCurveNames.length != 1) {
throw new OpenGammaRuntimeException(
"Can only handle configurations with a single implied curve");
}
final LinkedHashMap<String, String[]> originalConfigurationName =
impliedConfiguration.getExogenousConfigData();
if (originalConfigurationName == null || originalConfigurationName.size() != 1) {
throw new OpenGammaRuntimeException("Need a configuration with one exogenous configuration");
}
final Map.Entry<String, String[]> entry =
Iterables.getOnlyElement(originalConfigurationName.entrySet());
final String[] originalCurveNames = entry.getValue();
if (originalCurveNames.length != 1) {
s_logger.warn("Found more than one exogenous configuration name; using only the first");
}
final MultiCurveCalculationConfig originalConfiguration =
_multiCurveCalculationConfig.get(entry.getKey());
if (originalConfiguration == null) {
throw new OpenGammaRuntimeException(
"Multi-curve calculation called " + entry.getKey() + " was null");
}
target = context.getComputationTargetResolver().resolve(originalConfiguration.getTarget());
if (!(target.getValue() instanceof Currency)) {
throw new OpenGammaRuntimeException(
"Target of curve calculation configuration was not a currency");
}
final Currency originalCurrency = (Currency) target.getValue();
if (!originalCurrency.equals(impliedCurrency)) {
throw new OpenGammaRuntimeException(
"Currency targets for configurations "
+ _curveCalculationConfig
+ " and "
+ entry.getKey()
+ " did not match");
}
final YieldCurveDefinition impliedDefinition =
_yieldCurveDefinition.get(impliedCurveNames[0] + "_" + impliedCurrency.getCode());
if (impliedDefinition == null) {
throw new OpenGammaRuntimeException(
"Could not get implied definition called "
+ impliedCurveNames[0]
+ "_"
+ impliedCurrency.getCode());
}
final Set<FixedIncomeStrip> strips = impliedDefinition.getStrips();
for (final FixedIncomeStrip strip : strips) {
if (strip.getInstrumentType() != StripInstrumentType.CASH) {
throw new OpenGammaRuntimeException(
"Can only handle yield curve definitions with CASH strips");
}
}
final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
return new MyCompiledFunction(
atZDT.with(LocalTime.MIDNIGHT),
atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000),
impliedConfiguration,
impliedDefinition,
originalConfiguration,
originalCurveNames[0]);
};
@Override
public void init(final FunctionCompilationContext context) {
_multiCurveCalculationConfig =
ConfigSourceQuery.init(context, this, MultiCurveCalculationConfig.class);
_yieldCurveDefinition = ConfigSourceQuery.init(context, this, YieldCurveDefinition.class);
}
@Override
public CurveConstructionConfiguration getCurveConstructionConfiguration(final String name) {
ArgumentChecker.notNull(name, "name");
return _query.get(name);
}
public static ConfigDBCurveConstructionConfigurationSource init(
final FunctionCompilationContext context, final FunctionDefinition function) {
return new ConfigDBCurveConstructionConfigurationSource(
ConfigSourceQuery.init(context, function, CurveConstructionConfiguration.class));
}