@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final Set<String> curveCalculationConfigNames =
constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
return null;
}
final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource =
new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig =
curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
s_logger.error(
"Could not find curve calculation configuration named " + curveCalculationConfigName);
return null;
}
final Currency currency = FinancialSecurityUtils.getCurrency(target.getSecurity());
if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
s_logger.error(
"Security currency and curve calculation config id were not equal; have {} and {}",
currency,
curveCalculationConfig.getTarget());
return null;
}
final String surfaceName = surfaceNames.iterator().next();
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.addAll(
YieldCurveFunctionUtils.getCurveRequirements(
curveCalculationConfig, curveCalculationConfigSource));
requirements.add(getVolatilityRequirement(surfaceName, currency));
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
try {
final Set<ValueRequirement> timeSeriesRequirements =
_definitionConverter.getConversionTimeSeriesRequirements(
security, security.accept(_visitor));
if (timeSeriesRequirements == null) {
return null;
}
requirements.addAll(timeSeriesRequirements);
return requirements;
} catch (final Exception e) {
s_logger.error(e.getMessage());
return null;
}
}
static Set<ValueRequirement> getDerivativeTimeSeriesRequirements(
final FinancialSecurity security,
final InstrumentDefinition<?> definition,
final FixedIncomeConverterDataProvider definitionConverter) {
return definitionConverter.getConversionTimeSeriesRequirements(security, definition);
}