/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.bondcurves;
import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_BUNDLE;
import static com.opengamma.engine.value.ValueRequirementNames.PV01;
import java.util.Collection;
import java.util.Collections;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.discounting.PV01CurveParametersCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.PresentValueCurveSensitivityIssuerCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterIssuerProviderInterface;
import com.opengamma.analytics.util.amount.ReferenceAmount;
import com.opengamma.engine.ComputationTarget;
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.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.BondAndBondFutureFunctionUtils;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Calculates the PV01 of a bond or bond future for all curves to which the instruments are sensitive.
*/
public class BondAndBondFuturePV01Function extends BondAndBondFutureFromCurvesFunction<ParameterIssuerProviderInterface, ReferenceAmount<Pair<String, Currency>>> {
/** The PV01 calculator */
private static final InstrumentDerivativeVisitor<ParameterIssuerProviderInterface, ReferenceAmount<Pair<String, Currency>>> CALCULATOR =
new PV01CurveParametersCalculator<>(PresentValueCurveSensitivityIssuerCalculator.getInstance());
/**
* Sets the value requirement name to {@link ValueRequirementNames#PV01} and
* sets the calculator to {@link PV01CurveParametersCalculator}
*/
public BondAndBondFuturePV01Function() {
super(PV01, CALCULATOR);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext context, 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(context.getValuationClock());
final InstrumentDerivative derivative = BondAndBondFutureFunctionUtils.getBondOrBondFutureDerivative(context, target, now, inputs);
final ParameterIssuerProviderInterface issuerCurves = (ParameterIssuerProviderInterface) inputs.getValue(CURVE_BUNDLE);
final String desiredCurveName = properties.getStrictValue(CURVE);
final ReferenceAmount<Pair<String, Currency>> pv01 = derivative.accept(CALCULATOR, issuerCurves);
final Set<ComputedValue> results = new HashSet<>();
boolean curveNameFound = false;
for (final Map.Entry<Pair<String, Currency>, Double> entry : pv01.getMap().entrySet()) {
final String curveName = entry.getKey().getFirst();
if (desiredCurveName.equals(curveName)) {
curveNameFound = true;
}
final ValueProperties curveSpecificProperties = properties.copy()
.withoutAny(CURVE)
.with(CURVE, curveName)
.get();
final ValueSpecification spec = new ValueSpecification(PV01, target.toSpecification(), curveSpecificProperties);
results.add(new ComputedValue(spec, entry.getValue()));
}
if (!curveNameFound) {
final ValueSpecification spec = new ValueSpecification(PV01, target.toSpecification(), properties.copy().with(CURVE, desiredCurveName).get());
return Collections.singleton(new ComputedValue(spec, .0));
}
return results;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> curveNames = desiredValue.getConstraints().getValues(CURVE);
if (curveNames == null || curveNames.size() != 1) {
return null;
}
return super.getRequirements(context, target, desiredValue);
}
@Override
protected Collection<ValueProperties.Builder> getResultProperties(final ComputationTarget target) {
final String currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode();
final Collection<ValueProperties.Builder> properties = super.getResultProperties(target);
final Collection<ValueProperties.Builder> result = new HashSet<>();
for (final ValueProperties.Builder builder : properties) {
result.add(builder
.with(CURRENCY, currency)
.withAny(CURVE));
}
return result;
}
}