@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
double parentValue = 0;
double targetValue = 0;
final UniqueId targetIdentifier = target.getUniqueId();
for (final ComputedValue c : inputs.getAllValues()) {
if (targetIdentifier.equals(c.getSpecification().getTargetSpecification().getUniqueId())) {
targetValue = (Double) c.getValue();
} else {
parentValue = (Double) c.getValue();
}
}
final ValueRequirement desiredValue = desiredValues.iterator().next();
return Collections.singleton(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.WEIGHT,
target.toSpecification(),
desiredValue.getConstraints()),
targetValue / parentValue));
}
private SnapshotDataBundle buildMarketDataMap(final FunctionInputs inputs) {
final Map<Identifier, Double> marketDataMap = new HashMap<Identifier, Double>();
for (final ComputedValue value : inputs.getAllValues()) {
final ComputationTargetSpecification targetSpecification =
value.getSpecification().getTargetSpecification();
if (value.getValue() instanceof Double) {
marketDataMap.put(targetSpecification.getIdentifier(), (Double) value.getValue());
}
}
SnapshotDataBundle snapshotDataBundle = new SnapshotDataBundle();
snapshotDataBundle.setDataPoints(marketDataMap);
return snapshotDataBundle;
}
@Override
public Object getValue(final ValueRequirement requirement) {
final ComputedValue cv = getComputedValue(requirement);
if (cv != null) {
return cv.getValue();
}
return null;
}
/**
* @param target The target whose result is required
* @param resultModel The model containing the results
* @param resultTimestamp The timestamp of the results
* @return {@code {"rowId": rowId, "0": col0Val, "1": col1Val, ...}} cell values: {@code {"v":
* value, "h": [historyVal1, historyVal2, ...]}}
*/
public Map<String, Object> getTargetResult(
ComputationTargetSpecification target,
ViewTargetResultModel resultModel,
Long resultTimestamp) {
Integer rowId = getGridStructure().getRowId(target);
if (rowId == null) {
// Result not in the grid
return Collections.emptyMap();
}
Map<String, Object> valuesToSend = createTargetResult(rowId);
// insert nulls into the results for cells which are unsatisfied in the dependency graph
for (Integer unsatisfiedColId : getGridStructure().getUnsatisfiedCells(rowId)) {
valuesToSend.put(Integer.toString(unsatisfiedColId), null);
}
// Whether or not the row is in the viewport, we may have to store history
if (resultModel != null) {
for (String calcConfigName : resultModel.getCalculationConfigurationNames()) {
for (ComputedValue value : resultModel.getAllValues(calcConfigName)) {
ValueSpecification specification = value.getSpecification();
Collection<WebViewGridColumn> columns =
getGridStructure().getColumns(calcConfigName, specification);
if (columns == null) {
// Expect a column for every value
s_logger.warn(
"Could not find column for calculation configuration {} with value specification {}",
calcConfigName,
specification);
continue;
}
Object originalValue = value.getValue();
for (WebViewGridColumn column : columns) {
int colId = column.getId();
WebGridCell cell = WebGridCell.of(rowId, colId);
ResultConverter<Object> converter;
if (originalValue == null) {
converter = null;
} else {
converter =
getConverter(
column, value.getSpecification().getValueName(), originalValue.getClass());
}
Map<String, Object> cellData =
getCellValue(cell, specification, originalValue, resultTimestamp, converter);
if (cellData != null) {
valuesToSend.put(Integer.toString(colId), cellData);
}
}
}
}
}
return valuesToSend;
}
@Override
protected String[][] getRawDataRows(ViewComputationResultModel result) {
String[][] rows = new String[getGridStructure().getTargets().size()][];
int columnCount = getGridStructure().getColumns().size() + getAdditionalCsvColumnCount();
int offset = getCsvDataColumnOffset();
for (ComputationTargetSpecification target : result.getAllTargets()) {
Integer rowId = getGridStructure().getRowId(target);
if (rowId == null) {
continue;
}
ViewTargetResultModel resultModel = result.getTargetResult(target);
String[] values = new String[columnCount];
supplementCsvRowData(rowId, target, values);
rows[rowId] = values;
for (String calcConfigName : resultModel.getCalculationConfigurationNames()) {
for (ComputedValue value : resultModel.getAllValues(calcConfigName)) {
Object originalValue = value.getValue();
if (originalValue == null) {
continue;
}
ValueSpecification specification = value.getSpecification();
Collection<WebViewGridColumn> columns =
getGridStructure().getColumns(calcConfigName, specification);
if (columns == null) {
// Expect a column for every value
s_logger.warn(
"Could not find column for calculation configuration {} with value specification {}",
calcConfigName,
specification);
continue;
}
for (WebViewGridColumn column : columns) {
int colId = column.getId();
ResultConverter<Object> converter =
getConverter(
column, value.getSpecification().getValueName(), originalValue.getClass());
values[offset + colId] =
converter.convertToText(
getConverterCache(), value.getSpecification(), originalValue);
}
}
}
}
return rows;
}
private void addValue(final ComputedValue value) {
ArgumentChecker.notNull(value, "Computed Value");
if (value.getValue() instanceof ComputedValue) {
throw new IllegalArgumentException("Double-nested value");
}
_values.add(value);
_valuesByRequirementName.put(value.getSpecification().getValueName(), value);
final Pair<String, Object> key =
Pair.of(
value.getSpecification().getValueName(),
targetSpecKey(value.getSpecification().getTargetSpecification()));
final ComputedValue[] prev = _valuesByRequirement.get(key);
if (prev == null) {
_valuesByRequirement.put(key, new ComputedValue[] {value});
} else {
final ComputedValue[] values = new ComputedValue[prev.length + 1];
System.arraycopy(prev, 0, values, 0, prev.length);
values[prev.length] = value;
_valuesByRequirement.put(key, values);
}
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final ComputedValue input = inputs.getAllValues().iterator().next();
final Object value = input.getValue();
final ValueSpecification specification =
new ValueSpecification(
_requirementName,
target.toSpecification(),
getResultProperties(input.getSpecification()));
ComputedValue scaledValue = null;
if (value instanceof Double) {
Double doubleValue = (Double) value;
final double quantity = target.getPosition().getQuantity().doubleValue();
doubleValue *= quantity;
scaledValue = new ComputedValue(specification, doubleValue);
} else if (value instanceof YieldCurveNodeSensitivityDataBundle) {
final YieldCurveNodeSensitivityDataBundle nodeSensitivities =
(YieldCurveNodeSensitivityDataBundle) value;
final double quantity = target.getPosition().getQuantity().doubleValue();
final Currency ccy = nodeSensitivities.getCurrency();
final String name = nodeSensitivities.getYieldCurveName();
final DoubleLabelledMatrix1D m = nodeSensitivities.getLabelledMatrix();
final double[] scaled = getScaledMatrix(m.getValues(), quantity);
scaledValue =
new ComputedValue(
specification,
new YieldCurveNodeSensitivityDataBundle(
ccy, new DoubleLabelledMatrix1D(m.getKeys(), m.getLabels(), scaled), name));
} else if (value instanceof DoubleLabelledMatrix1D) {
final DoubleLabelledMatrix1D m = (DoubleLabelledMatrix1D) value;
final double quantity = target.getPosition().getQuantity().doubleValue();
final double[] scaled = getScaledMatrix(m.getValues(), quantity);
scaledValue =
new ComputedValue(
specification, new DoubleLabelledMatrix1D(m.getKeys(), m.getLabels(), scaled));
} else if (value instanceof LocalDateLabelledMatrix1D) {
final LocalDateLabelledMatrix1D m = (LocalDateLabelledMatrix1D) value;
final double quantity = target.getPosition().getQuantity().doubleValue();
final double[] scaled = getScaledMatrix(m.getValues(), quantity);
scaledValue =
new ComputedValue(
specification, new LocalDateLabelledMatrix1D(m.getKeys(), m.getLabels(), scaled));
} else if (value instanceof ZonedDateTimeLabelledMatrix1D) {
final ZonedDateTimeLabelledMatrix1D m = (ZonedDateTimeLabelledMatrix1D) value;
final double quantity = target.getPosition().getQuantity().doubleValue();
final double[] scaled = getScaledMatrix(m.getValues(), quantity);
scaledValue =
new ComputedValue(
specification, new ZonedDateTimeLabelledMatrix1D(m.getKeys(), m.getLabels(), scaled));
} else if (value instanceof CurrencyLabelledMatrix1D) {
final CurrencyLabelledMatrix1D m = (CurrencyLabelledMatrix1D) value;
final double quantity = target.getPosition().getQuantity().doubleValue();
final double[] scaled = getScaledMatrix(m.getValues(), quantity);
scaledValue =
new ComputedValue(
specification, new CurrencyLabelledMatrix1D(m.getKeys(), m.getLabels(), scaled));
} else if (value instanceof StringLabelledMatrix1D) {
final StringLabelledMatrix1D m = (StringLabelledMatrix1D) value;
final double quantity = target.getPosition().getQuantity().doubleValue();
final double[] scaled = getScaledMatrix(m.getValues(), quantity);
scaledValue =
new ComputedValue(specification, new StringLabelledMatrix1D(m.getKeys(), scaled));
} else if (_requirementName.equals(
ValueRequirementNames
.PRESENT_VALUE_CURVE_SENSITIVITY)) { // TODO this should probably not be done like this
@SuppressWarnings("unchecked")
final Map<String, List<DoublesPair>> map = (Map<String, List<DoublesPair>>) value;
final Map<String, List<DoublesPair>> scaled = new HashMap<String, List<DoublesPair>>();
for (final Map.Entry<String, List<DoublesPair>> entry : map.entrySet()) {
final List<DoublesPair> scaledList = new ArrayList<DoublesPair>();
for (final DoublesPair pair : entry.getValue()) {
scaledList.add(
DoublesPair.of(
pair.first, pair.second * target.getPosition().getQuantity().doubleValue()));
}
scaled.put(entry.getKey(), scaledList);
}
scaledValue = new ComputedValue(specification, scaled);
} else if (value instanceof DoubleLabelledMatrix2D) {
final DoubleLabelledMatrix2D matrix = (DoubleLabelledMatrix2D) value;
final Double[] xKeys = matrix.getXKeys();
final Object[] xLabels = matrix.getXLabels();
final Double[] yKeys = matrix.getYKeys();
final Object[] yLabels = matrix.getYLabels();
final double[][] values = matrix.getValues();
final int n = values.length;
final int m = values[0].length;
final double[][] scaledValues = new double[n][m];
final double scale = target.getPosition().getQuantity().doubleValue();
for (int i = 0; i < n; i++) {
for (int j = 0; j < m; j++) {
scaledValues[i][j] = values[i][j] * scale;
}
}
scaledValue =
new ComputedValue(
specification,
new DoubleLabelledMatrix2D(xKeys, xLabels, yKeys, yLabels, scaledValues));
} else if (value instanceof DoubleLabelledMatrix3D) {
final DoubleLabelledMatrix3D matrix = (DoubleLabelledMatrix3D) value;
final Double[] xKeys = matrix.getXKeys();
final Object[] xLabels = matrix.getXLabels();
final Double[] yKeys = matrix.getYKeys();
final Object[] yLabels = matrix.getYLabels();
final Double[] zKeys = matrix.getZKeys();
final Object[] zLabels = matrix.getZLabels();
final double[][][] values = matrix.getValues();
final int n = values.length;
final int m = values[0].length;
final int l = values[0][0].length;
final double[][][] scaledValues = new double[n][m][l];
final double scale = target.getPosition().getQuantity().doubleValue();
for (int i = 0; i < n; i++) {
for (int j = 0; j < m; j++) {
for (int k = 0; k < l; k++) {
scaledValues[i][j][k] = values[i][j][k] * scale;
}
}
}
scaledValue =
new ComputedValue(
specification,
new DoubleLabelledMatrix3D(
xKeys, xLabels, yKeys, yLabels, zKeys, zLabels, scaledValues));
} else {
// REVIEW emcleod 27-1-2011 aaaaaaaaaarrrrrrrrgggggghhhhhhhhh Why is nothing done here?
scaledValue = new ComputedValue(specification, value);
}
return Collections.singleton(scaledValue);
}
private DoubleMatrix1D getSensitivities(
final SecuritySource secSource,
final FunctionInputs inputs,
final RawSecurity rawSecurity,
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec,
final YieldAndDiscountCurve curve) {
final Collection<FactorExposureData> decodedSensitivities =
RawSecurityUtils.decodeFactorExposureData(secSource, rawSecurity);
final double[] entries = new double[curveSpec.getStrips().size()];
int i = 0;
for (final FixedIncomeStripWithSecurity strip : curveSpec.getStrips()) {
final FactorExposureData swapExternalSensitivitiesData =
searchForSwapTenorMatch(decodedSensitivities, strip);
if (swapExternalSensitivitiesData != null) {
final ComputedValue computedValue =
inputs.getComputedValue(
getSensitivityRequirement(swapExternalSensitivitiesData.getExposureExternalId()));
if (computedValue != null) {
final ManageableHistoricalTimeSeries mhts =
(ManageableHistoricalTimeSeries) computedValue.getValue();
final Double value = mhts.getTimeSeries().getLatestValue();
entries[i] =
-value; // * (qty.doubleValue() ); // we invert here because OpenGamma uses -1bp shift
// rather than +1. DV01 function will invert back.
} else {
s_logger.warn(
"Value was null when getting required input data "
+ swapExternalSensitivitiesData.getExposureExternalId());
entries[i] = 0d;
}
} else {
entries[i] = 0d;
}
i++;
}
// Quick hack to map in bond data.
i = 0;
for (final FixedIncomeStripWithSecurity strip : curveSpec.getStrips()) {
final FactorExposureData bondExternalSensitivitiesData =
searchForBondTenorMatch(decodedSensitivities, strip);
if (bondExternalSensitivitiesData != null) {
final ComputedValue computedValue =
inputs.getComputedValue(
getSensitivityRequirement(bondExternalSensitivitiesData.getExposureExternalId()));
if (computedValue != null) {
final ManageableHistoricalTimeSeries mhts =
(ManageableHistoricalTimeSeries) computedValue.getValue();
final Double value = mhts.getTimeSeries().getLatestValue();
entries[i] -=
value; // * (qty.doubleValue() ); // we invert here because OpenGamma uses -1bp shift
// rather than +1. DV01 function will invert back.
} else {
s_logger.warn(
"Value was null when getting required input data "
+ bondExternalSensitivitiesData.getExposureExternalId());
}
}
i++;
}
return new DoubleMatrix1D(entries);
}
@Override
public Object getValue(final String requirementName) {
final ComputedValue computedValue = getComputedValue(requirementName);
return computedValue != null ? computedValue.getValue() : null;
}