gistfile1.txt

/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.algoTree.Functions;

import java.util.Collections;
import java.util.HashMap;
import java.util.Set;

import javax.time.calendar.Period;

import org.apache.commons.lang.Validate;

import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetType;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.timeseries.DateConstraint;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;

/**
 *
 */
public class AlgotreeHistoricalValueFunction extends AbstractFunction.NonCompiledInvoker {

  private static HashMap<String, String> s_marketDataRequirementNamesMap;

  static {
    s_marketDataRequirementNamesMap = new HashMap<String, String>();
    s_marketDataRequirementNamesMap.put(ValueRequirementNames.DAILY_VOLUME, "volume");
    s_marketDataRequirementNamesMap.put(ValueRequirementNames.DAILY_APPLIED_BETA, "APPLIED_BETA");
    s_marketDataRequirementNamesMap.put(ValueRequirementNames.DAILY_MARKET_CAP, "CUR_MKT_CAP");
    s_marketDataRequirementNamesMap.put(ValueRequirementNames.DAILY_PRICE, "close");
  }

  private final String _requirementName;

  public AlgotreeHistoricalValueFunction(final String requirementName) {
    Validate.notNull(requirementName, "Requirement name");
    System.out.println("Creating AlgotreeHistoricalValueFunction function");
    _requirementName = requirementName;
  }

  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    return true;
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
//    final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
//    final String fieldName = s_marketDataRequirementNamesMap.get(_requirementName);
//    final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(target.getSecurity().getExternalIdBundle(), null, null, null, fieldName, null);
//    if (timeSeries == null) {
//      return null;
//    }
//    ValueRequirement result = HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, fieldName,
//            DateConstraint.VALUATION_TIME.minus(Period.ofDays(20)), true, DateConstraint.VALUATION_TIME.yesterday(), true);
//    return Collections.singleton(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, fieldName,
//        DateConstraint.VALUATION_TIME.minus(Period.ofDays(7)), true, DateConstraint.VALUATION_TIME.yesterday() , true));
    return null;
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    return Collections.singleton(new ValueSpecification(_requirementName, target.toSpecification(), createValueProperties().get()));
  }

  @Override
  public String getShortName() {
	  System.out.println("Registering " + _requirementName);
    return _requirementName;
  }

  @Override
  public ComputationTargetType getTargetType() {
    return ComputationTargetType.SECURITY;
  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
	  System.out.println("Executing function");
	final HistoricalTimeSeries hts = (HistoricalTimeSeries) inputs.getComputedValue("Historical Time Series").getValue();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    return Collections.singleton(new ComputedValue(new ValueSpecification(desiredValue.getValueName(), desiredValue.getTargetSpecification(), desiredValue.getConstraints()), hts.getTimeSeries()
        .getLatestValue()));
  }

}