cdm.event.common.functions.ResolvePerformanceObservationIdentifiers Maven / Gradle / Ivy
package cdm.event.common.functions;
import cdm.base.datetime.AdjustableOrRelativeDate;
import cdm.base.datetime.BusinessCenterTime;
import cdm.base.datetime.functions.ResolveAdjustableDate;
import cdm.base.staticdata.asset.common.Asset;
import cdm.base.staticdata.asset.common.AssetIdentifier;
import cdm.base.staticdata.asset.common.util.AssetDeepPathUtil;
import cdm.observable.asset.FxSpotRateSource;
import cdm.observable.asset.InformationSource;
import cdm.observable.asset.Observable;
import cdm.observable.asset.PerformanceValuationDates;
import cdm.observable.asset.ValuationDates;
import cdm.observable.asset.metafields.ReferenceWithMetaObservable;
import cdm.observable.common.DeterminationMethodEnum;
import cdm.observable.common.TimeTypeEnum;
import cdm.observable.event.ObservationIdentifier;
import cdm.observable.event.ObservationIdentifier.ObservationIdentifierBuilder;
import cdm.product.common.schedule.ObservationTerms;
import cdm.product.template.PerformancePayout;
import cdm.product.template.Underlier;
import com.google.inject.ImplementedBy;
import com.rosetta.model.lib.expression.CardinalityOperator;
import com.rosetta.model.lib.functions.ModelObjectValidator;
import com.rosetta.model.lib.functions.RosettaFunction;
import com.rosetta.model.lib.mapper.MapperC;
import com.rosetta.model.lib.mapper.MapperS;
import com.rosetta.model.lib.records.Date;
import java.util.Optional;
import javax.inject.Inject;
import static com.rosetta.model.lib.expression.ExpressionOperators.*;
@ImplementedBy(ResolvePerformanceObservationIdentifiers.ResolvePerformanceObservationIdentifiersDefault.class)
public abstract class ResolvePerformanceObservationIdentifiers implements RosettaFunction {
@Inject protected ModelObjectValidator objectValidator;
// RosettaFunction dependencies
//
@Inject protected AdjustedValuationDates adjustedValuationDates;
@Inject protected AssetDeepPathUtil assetDeepPathUtil;
@Inject protected ResolveAdjustableDate resolveAdjustableDate;
@Inject protected ResolvePerformanceValuationTime resolvePerformanceValuationTime;
/**
* @param payout
* @param adjustedDate
* @return identifiers
*/
public ObservationIdentifier evaluate(PerformancePayout payout, Date adjustedDate) {
ObservationIdentifier.ObservationIdentifierBuilder identifiersBuilder = doEvaluate(payout, adjustedDate);
final ObservationIdentifier identifiers;
if (identifiersBuilder == null) {
identifiers = null;
} else {
identifiers = identifiersBuilder.build();
objectValidator.validate(ObservationIdentifier.class, identifiers);
}
return identifiers;
}
protected abstract ObservationIdentifier.ObservationIdentifierBuilder doEvaluate(PerformancePayout payout, Date adjustedDate);
protected abstract MapperS adjustedFinalValuationDate(PerformancePayout payout, Date adjustedDate);
protected abstract MapperS extends PerformanceValuationDates> valuationDates(PerformancePayout payout, Date adjustedDate);
public static class ResolvePerformanceObservationIdentifiersDefault extends ResolvePerformanceObservationIdentifiers {
@Override
protected ObservationIdentifier.ObservationIdentifierBuilder doEvaluate(PerformancePayout payout, Date adjustedDate) {
ObservationIdentifier.ObservationIdentifierBuilder identifiers = ObservationIdentifier.builder();
return assignOutput(identifiers, payout, adjustedDate);
}
protected ObservationIdentifier.ObservationIdentifierBuilder assignOutput(ObservationIdentifier.ObservationIdentifierBuilder identifiers, PerformancePayout payout, Date adjustedDate) {
final ReferenceWithMetaObservable referenceWithMetaObservable = MapperS.of(payout).map("getUnderlier", performancePayout -> performancePayout.getUnderlier()).map("getObservable", underlier -> underlier.getObservable()).get();
identifiers
.setObservable((referenceWithMetaObservable == null ? null : referenceWithMetaObservable.getValue()));
final MapperC thenResult = MapperC.of(adjustedValuationDates.evaluate(MapperS.of(payout).map("getValuationDates", performancePayout -> performancePayout.getValuationDates()).get()))
.filterItemNullSafe(item -> lessThanEquals(item, MapperS.of(adjustedDate), CardinalityOperator.All).get());
identifiers
.setObservationDate(thenResult
.last().get());
identifiers
.setObservationTime(resolvePerformanceValuationTime.evaluate(valuationDates(payout, adjustedDate).map("getValuationTime", performanceValuationDates -> performanceValuationDates.getValuationTime()).get(), valuationDates(payout, adjustedDate).map("getValuationTimeType", performanceValuationDates -> performanceValuationDates.getValuationTimeType()).get(), MapperS.of(identifiers).map("getObservable", observationIdentifier -> observationIdentifier.getObservable()).map("getAsset", observable -> observable.getAsset()).mapC("chooseIdentifier", asset -> assetDeepPathUtil.chooseIdentifier(asset)).get(), valuationDates(payout, adjustedDate).map("getDeterminationMethod", performanceValuationDates -> performanceValuationDates.getDeterminationMethod()).get()));
identifiers
.setInformationSource(MapperS.of(payout).map("getObservationTerms", performancePayout -> performancePayout.getObservationTerms()).map("getInformationSource", observationTerms -> observationTerms.getInformationSource()).map("getPrimarySource", fxSpotRateSource -> fxSpotRateSource.getPrimarySource()).get());
identifiers
.getOrCreateDeterminationMethodology()
.setDeterminationMethod(valuationDates(payout, adjustedDate).map("getDeterminationMethod", performanceValuationDates -> performanceValuationDates.getDeterminationMethod()).get());
return Optional.ofNullable(identifiers)
.map(o -> o.prune())
.orElse(null);
}
@Override
protected MapperS adjustedFinalValuationDate(PerformancePayout payout, Date adjustedDate) {
return MapperS.of(resolveAdjustableDate.evaluate(MapperS.of(payout).map("getValuationDates", performancePayout -> performancePayout.getValuationDates()).map("getFinalValuationDate", _valuationDates -> _valuationDates.getFinalValuationDate()).map("getValuationDate", performanceValuationDates -> performanceValuationDates.getValuationDate()).get()));
}
@Override
protected MapperS extends PerformanceValuationDates> valuationDates(PerformancePayout payout, Date adjustedDate) {
if (lessThan(MapperS.of(adjustedDate), adjustedFinalValuationDate(payout, adjustedDate), CardinalityOperator.All).getOrDefault(false)) {
return MapperS.of(payout).map("getValuationDates", performancePayout -> performancePayout.getValuationDates()).map("getInterimValuationDate", _valuationDates -> _valuationDates.getInterimValuationDate());
}
return MapperS.of(payout).map("getValuationDates", performancePayout -> performancePayout.getValuationDates()).map("getFinalValuationDate", _valuationDates -> _valuationDates.getFinalValuationDate());
}
}
}
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