@Override public Set<ComputedValue> execute( final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { final Object positionOrNode = getTarget(target); final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext); final ConventionBundle bundle = conventionSource.getConventionBundle( ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM")); final Clock snapshotClock = executionContext.getValuationClock(); final LocalDate now = snapshotClock.zonedDateTime().toLocalDate(); final ValueRequirement desiredValue = desiredValues.iterator().next(); final ValueProperties constraints = desiredValue.getConstraints(); final Period samplingPeriod = getSamplingPeriod(constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD)); final LocalDate startDate = now.minus(samplingPeriod); final HistoricalTimeSeries riskFreeRateTSObject = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES); final Object assetPnLObject = inputs.getValue( new ValueRequirement( ValueRequirementNames.PNL_SERIES, positionOrNode)); // TODO replace with return series when portfolio weights are in if (assetPnLObject == null) { throw new OpenGammaRuntimeException("Asset P&L was null"); } final Object assetFairValueObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, positionOrNode)); if (assetFairValueObject == null) { throw new OpenGammaRuntimeException("Asset fair value was null"); } final Object betaObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.CAPM_BETA, positionOrNode)); if (betaObject == null) { throw new OpenGammaRuntimeException("Beta was null"); } final double beta = (Double) betaObject; final double fairValue = (Double) assetFairValueObject; DoubleTimeSeries<?> assetReturnTS = ((DoubleTimeSeries<?>) assetPnLObject).divide(fairValue); DoubleTimeSeries<?> riskFreeReturnTS = riskFreeRateTSObject.getTimeSeries().divide(100 * DAYS_PER_YEAR); DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(riskFreeReturnTS, assetReturnTS); riskFreeReturnTS = series[0]; assetReturnTS = series[1]; final TreynorRatioCalculator calculator = getCalculator(constraints.getValues(ValuePropertyNames.EXCESS_RETURN_CALCULATOR)); final double ratio = calculator.evaluate(assetReturnTS, riskFreeReturnTS, beta); final ValueProperties resultProperties = getResultProperties(desiredValues.iterator().next()); return Sets.newHashSet( new ComputedValue( new ValueSpecification( new ValueRequirement( ValueRequirementNames.TREYNOR_RATIO, positionOrNode, resultProperties), getUniqueId()), ratio)); }