}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Trade trade = target.getTrade();
final FinancialSecurity security = (FinancialSecurity) trade.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final LocalDate localNow = now.toLocalDate();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final InstrumentDefinition<?> definition = security.accept(getVisitor());
if (definition == null) {
throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
}
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final int length = curveNames.length;
final String[] fullCurveNames = new String[length];
for (int i = 0; i < length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
final InstrumentDerivative derivative = InterestRateInstrumentFunction.getDerivative(security, now, timeSeries, fullCurveNames, definition, getConverter());
final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final YieldCurveBundle fixedCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
final ValueProperties properties = createValueProperties(target, curveName, curveCalculationConfigName).get();
final ValueSpecification resultSpec = new ValueSpecification(getValueRequirement(), target.toSpecification(), properties);
final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
if (jacobianObject == null) {
throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
}
final double[][] array = FunctionUtils.decodeJacobian(jacobianObject);
final DoubleMatrix2D jacobian = new DoubleMatrix2D(array);
final DoubleMatrix1D sensitivities;
if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
final Object couponSensitivitiesObject = inputs.getValue(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
if (couponSensitivitiesObject == null) {
throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
}
final DoubleMatrix1D couponSensitivity = new DoubleMatrix1D(FunctionUtils.decodeCouponSensitivities(couponSensitivitiesObject));
sensitivities = CALCULATOR.calculateFromPresentValue(derivative, fixedCurves, curves, couponSensitivity, jacobian, NSC);
} else {
sensitivities = CALCULATOR.calculateFromParRate(derivative, fixedCurves, curves, jacobian, NSC);
}
final double quantity = trade.getQuantity().doubleValue();
final DoubleMatrix1D scaledSensitivities = (DoubleMatrix1D) MatrixAlgebraFactory.OG_ALGEBRA.scale(sensitivities, quantity);
if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
final Currency domesticCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfig.getTarget().getUniqueId());
final Currency foreignCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfigSource.getConfig(curveCalculationConfig.getExogenousConfigData().keySet().iterator().next())
.getTarget().getUniqueId());