@Override
protected void buildMessage(
final FudgeSerializer serializer,
final MutableFudgeMsg message,
final CurrencyLabelledMatrix1D object) {
final MutableFudgeMsg msg = serializer.newMessage();
final Currency[] keys = object.getKeys();
final Object[] labels = object.getLabels();
final double[] values = object.getValues();
for (int i = 0; i < object.size(); i++) {
msg.add(LABEL_TYPE_ORDINAL, labels[i].getClass().getName());
msg.add(KEY_ORDINAL, keys[i]);
serializer.addToMessage(msg, null, LABEL_ORDINAL, labels[i]);
msg.add(VALUE_ORDINAL, values[i]);
}
message.add(MATRIX_FIELD_NAME, msg);
}
@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);
}