/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.bondcleanprice;
import static com.opengamma.core.value.MarketDataRequirementNames.MARKET_VALUE;
import static com.opengamma.engine.value.ValuePropertyNames.CALCULATION_METHOD;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_CONSTRUCTION_CONFIG;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_EXPOSURES;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_BUNDLE;
import static com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues.CLEAN_PRICE_METHOD;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.PROPERTY_CURVE_TYPE;
import static com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE;
import static com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_MAX_ITERATIONS;
import static com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE;
import java.util.Collections;
import java.util.HashSet;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProvider;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.curve.exposure.ConfigDBInstrumentExposuresProvider;
import com.opengamma.financial.analytics.curve.exposure.InstrumentExposuresProvider;
import com.opengamma.financial.analytics.model.BondAndBondFutureFunctionUtils;
import com.opengamma.financial.analytics.model.bondcurves.BondSupportUtils;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.bond.BondSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.async.AsynchronousExecution;
/**
*
*/
public abstract class BondFromCleanPriceAndCurvesFunction extends AbstractFunction.NonCompiledInvoker {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(BondFromCleanPriceAndCurvesFunction.class);
/** The value requirement name */
private final String _valueRequirementName;
/** The instrument exposures provider */
private InstrumentExposuresProvider _instrumentExposuresProvider;
/**
* @param valueRequirementName The value requirement name, not null
*/
public BondFromCleanPriceAndCurvesFunction(final String valueRequirementName) {
ArgumentChecker.notNull(valueRequirementName, "value requirement");
_valueRequirementName = valueRequirementName;
}
@Override
public void init(final FunctionCompilationContext context) {
_instrumentExposuresProvider = ConfigDBInstrumentExposuresProvider.init(context, this);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ValueProperties properties = desiredValue.getConstraints();
final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
final Double cleanPrice = (Double) inputs.getValue(MARKET_VALUE);
final InstrumentDerivative derivative = BondAndBondFutureFunctionUtils.getBondOrBondFutureDerivative(executionContext, target, now, null);
final BondFixedTransaction bond = (BondFixedTransaction) derivative;
final IssuerProvider issuerCurves = (IssuerProvider) inputs.getValue(CURVE_BUNDLE);
final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
return getResult(inputs, bond, issuerCurves, cleanPrice, spec);
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.TRADE;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
return target.getTrade().getSecurity() instanceof BondSecurity && BondSupportUtils.isSupported(target.getTrade().getSecurity());
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = getResultProperties(target).get();
return Collections.singleton(new ValueSpecification(_valueRequirementName, target.toSpecification(), properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveExposureConfigs = constraints.getValues(CURVE_EXPOSURES);
if (curveExposureConfigs == null || curveExposureConfigs.size() != 1) {
return null;
}
final Set<String> absoluteTolerances = constraints.getValues(PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE);
if (absoluteTolerances == null || absoluteTolerances.size() != 1) {
return null;
}
final Set<String> curveTypes = constraints.getValues(PROPERTY_CURVE_TYPE);
if (curveTypes == null || curveTypes.size() != 1) {
return null;
}
final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
final String curveExposureConfig = Iterables.getOnlyElement(curveExposureConfigs);
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.add(new ValueRequirement(MARKET_VALUE, ComputationTargetSpecification.of(security), ValueProperties.builder().get()));
try {
final Set<String> curveConstructionConfigurationNames = _instrumentExposuresProvider.getCurveConstructionConfigurationsForConfig(curveExposureConfig, target.getTrade());
for (final String curveConstructionConfigurationName : curveConstructionConfigurationNames) {
final ValueProperties properties = ValueProperties.builder()
.with(CURVE_CONSTRUCTION_CONFIG, curveConstructionConfigurationName)
.with(PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE, constraints.getValues(PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE))
.with(PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE, constraints.getValues(PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE))
.with(PROPERTY_ROOT_FINDER_MAX_ITERATIONS, constraints.getValues(PROPERTY_ROOT_FINDER_MAX_ITERATIONS))
.with(PROPERTY_CURVE_TYPE, curveTypes)
.get();
requirements.add(new ValueRequirement(CURVE_BUNDLE, ComputationTargetSpecification.NULL, properties));
}
return requirements;
} catch (final Exception e) {
s_logger.error(e.getMessage(), e);
return null;
}
}
/**
* Gets the value properties of the result
*
* @param target The computation target
* @return The properties
*/
protected ValueProperties.Builder getResultProperties(final ComputationTarget target) {
return createValueProperties().with(CALCULATION_METHOD, CLEAN_PRICE_METHOD)
.withAny(CURVE_EXPOSURES).withAny(PROPERTY_CURVE_TYPE)
.withAny(PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE)
.withAny(PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE)
.withAny(PROPERTY_ROOT_FINDER_MAX_ITERATIONS);
}
/**
* Calculates the result.
*
* @param inputs The function inputs
* @param bond The bond transaction
* @param issuerCurves The issuer and discounting curves
* @param cleanPrice The clean price of the bond
* @param spec The result specification
* @return The set of results
*/
protected abstract Set<ComputedValue> getResult(FunctionInputs inputs, BondFixedTransaction bond, IssuerProvider issuerCurves, double cleanPrice, ValueSpecification spec);
}