/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.curve;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_CONSTRUCTION_CONFIG;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_SENSITIVITY_CURRENCY;
import static com.opengamma.engine.value.ValueRequirementNames.JACOBIAN_BUNDLE;
import static com.opengamma.engine.value.ValueRequirementNames.YIELD_CURVE;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.DISCOUNTING;
import java.util.ArrayList;
import java.util.HashSet;
import java.util.LinkedHashMap;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.LinkedListMultimap;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorCurveYieldInterpolated;
import com.opengamma.analytics.financial.curve.interestrate.generator.GeneratorYDCurve;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.index.IndexON;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.legalentity.LegalEntity;
import com.opengamma.analytics.financial.legalentity.LegalEntityFilter;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.provider.calculator.issuer.ParSpreadMarketQuoteCurveSensitivityIssuerDiscountingCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.ParSpreadMarketQuoteIssuerDiscountingCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlock;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.curve.MultiCurveBundle;
import com.opengamma.analytics.financial.provider.curve.SingleCurveBundle;
import com.opengamma.analytics.financial.provider.curve.issuer.IssuerDiscountBuildingRepository;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterIssuerProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.core.convention.ConventionSource;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.legalentity.LegalEntitySource;
import com.opengamma.core.marketdatasnapshot.SnapshotDataBundle;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.Security;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.CompiledFunctionDefinition;
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.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.curve.BillNodeConverter;
import com.opengamma.financial.analytics.curve.BondNodeConverter;
import com.opengamma.financial.analytics.curve.CashNodeConverter;
import com.opengamma.financial.analytics.curve.ConverterUtils;
import com.opengamma.financial.analytics.curve.CurveConstructionConfiguration;
import com.opengamma.financial.analytics.curve.CurveDefinition;
import com.opengamma.financial.analytics.curve.CurveGroupConfiguration;
import com.opengamma.financial.analytics.curve.CurveNodeVisitorAdapter;
import com.opengamma.financial.analytics.curve.CurveSpecification;
import com.opengamma.financial.analytics.curve.CurveTypeConfiguration;
import com.opengamma.financial.analytics.curve.DiscountingCurveTypeConfiguration;
import com.opengamma.financial.analytics.curve.FRANodeConverter;
import com.opengamma.financial.analytics.curve.FXForwardNodeConverter;
import com.opengamma.financial.analytics.curve.IborCurveTypeConfiguration;
import com.opengamma.financial.analytics.curve.InterpolatedCurveDefinition;
import com.opengamma.financial.analytics.curve.IssuerCurveTypeConfiguration;
import com.opengamma.financial.analytics.curve.OvernightCurveTypeConfiguration;
import com.opengamma.financial.analytics.curve.RateFutureNodeConverter;
import com.opengamma.financial.analytics.curve.RollDateFRANodeConverter;
import com.opengamma.financial.analytics.curve.RollDateSwapNodeConverter;
import com.opengamma.financial.analytics.curve.SwapNodeConverter;
import com.opengamma.financial.analytics.ircurve.strips.CurveNodeVisitor;
import com.opengamma.financial.analytics.ircurve.strips.CurveNodeWithIdentifier;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.IborIndexConvention;
import com.opengamma.financial.convention.OvernightIndexConvention;
import com.opengamma.financial.security.index.OvernightIndex;
import com.opengamma.id.ExternalId;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
* Produces price index curves using the discounting method.
*/
public class IssuerProviderDiscountingFunction extends
MultiCurveFunction<ParameterIssuerProviderInterface, IssuerDiscountBuildingRepository, GeneratorYDCurve, MulticurveSensitivity> {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(IssuerProviderDiscountingFunction.class);
/** The calculator */
// TODO: [PLAT-5430] A mechanism to change the calculator should be implemented.
private static final ParSpreadMarketQuoteIssuerDiscountingCalculator PSXIC = ParSpreadMarketQuoteIssuerDiscountingCalculator.getInstance();
/** The sensitivity calculator */
private static final ParSpreadMarketQuoteCurveSensitivityIssuerDiscountingCalculator PSXCSIC = ParSpreadMarketQuoteCurveSensitivityIssuerDiscountingCalculator.getInstance();
/**
* @param configurationName The configuration name, not null
*/
public IssuerProviderDiscountingFunction(final String configurationName) {
super(configurationName);
}
@Override
public CompiledFunctionDefinition getCompiledFunction(final ZonedDateTime earliestInvokation, final ZonedDateTime latestInvokation, final String[] curveNames,
final Set<ValueRequirement> exogenousRequirements, final CurveConstructionConfiguration curveConstructionConfiguration) {
return new MyCompiledFunctionDefinition(earliestInvokation, latestInvokation, curveNames, exogenousRequirements, curveConstructionConfiguration);
}
@Override
public CompiledFunctionDefinition getCompiledFunction(final ZonedDateTime earliestInvokation, final ZonedDateTime latestInvokation, final String[] curveNames,
final Set<ValueRequirement> exogenousRequirements, final CurveConstructionConfiguration curveConstructionConfiguration, final String[] currencies) {
return new MyCompiledFunctionDefinition(earliestInvokation, latestInvokation, curveNames, exogenousRequirements, curveConstructionConfiguration,
currencies);
}
@Override
protected InstrumentDerivativeVisitor<ParameterIssuerProviderInterface, Double> getCalculator() {
return PSXIC;
}
@Override
protected InstrumentDerivativeVisitor<ParameterIssuerProviderInterface, MulticurveSensitivity> getSensitivityCalculator() {
return PSXCSIC;
}
@Override
protected String getCurveTypeProperty() {
return DISCOUNTING;
}
/**
* Compiled function implementation.
*/
protected class MyCompiledFunctionDefinition extends CurveCompiledFunctionDefinition {
/** The curve construction configuration */
private final CurveConstructionConfiguration _curveConstructionConfiguration;
/**
* @param earliestInvokation The earliest time for which this function is valid, null if there is no bound
* @param latestInvokation The latest time for which this function is valid, null if there is no bound
* @param curveNames The names of the curves produced by this function, not null
* @param exogenousRequirements The exogenous requirements, not null
* @param curveConstructionConfiguration The curve construction configuration, not null
*/
protected MyCompiledFunctionDefinition(final ZonedDateTime earliestInvokation, final ZonedDateTime latestInvokation, final String[] curveNames,
final Set<ValueRequirement> exogenousRequirements, final CurveConstructionConfiguration curveConstructionConfiguration) {
this(earliestInvokation, latestInvokation, curveNames, exogenousRequirements, curveConstructionConfiguration, null);
}
/**
* @param earliestInvokation The earliest time for which this function is valid, null if there is no bound
* @param latestInvokation The latest time for which this function is valid, null if there is no bound
* @param curveNames The names of the curves produced by this function, not null
* @param exogenousRequirements The exogenous requirements, not null
* @param curveConstructionConfiguration The curve construction configuration, not null
* @param currencies The set of currencies to which the curves produce sensitivities
*/
protected MyCompiledFunctionDefinition(final ZonedDateTime earliestInvokation, final ZonedDateTime latestInvokation, final String[] curveNames,
final Set<ValueRequirement> exogenousRequirements, final CurveConstructionConfiguration curveConstructionConfiguration,
final String[] currencies) {
super(earliestInvokation, latestInvokation, curveNames, ValueRequirementNames.YIELD_CURVE, exogenousRequirements, currencies);
ArgumentChecker.notNull(curveConstructionConfiguration, "curve construction configuration");
_curveConstructionConfiguration = curveConstructionConfiguration;
}
@SuppressWarnings("unchecked")
@Override
protected Pair<ParameterIssuerProviderInterface, CurveBuildingBlockBundle> getCurves(final FunctionInputs inputs, final ZonedDateTime now, final IssuerDiscountBuildingRepository builder,
final ParameterIssuerProviderInterface knownData, final FunctionExecutionContext context, final FXMatrix fx) {
final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(context);
final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(context);
final ValueProperties curveConstructionProperties = ValueProperties.builder()
.with(CURVE_CONSTRUCTION_CONFIG, _curveConstructionConfiguration.getName())
.get();
final HistoricalTimeSeriesBundle timeSeries =
(HistoricalTimeSeriesBundle) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES,
ComputationTargetSpecification.NULL, curveConstructionProperties));
final int nGroups = _curveConstructionConfiguration.getCurveGroups().size();
final MultiCurveBundle<GeneratorYDCurve>[] curveBundles = new MultiCurveBundle[nGroups];
final LinkedHashMap<String, Currency> discountingMap = new LinkedHashMap<>();
final LinkedHashMap<String, IborIndex[]> forwardIborMap = new LinkedHashMap<>();
final LinkedHashMap<String, IndexON[]> forwardONMap = new LinkedHashMap<>();
final LinkedListMultimap<String, Pair<Object, LegalEntityFilter<LegalEntity>>> issuerMap = LinkedListMultimap.create();
//TODO comparator to sort groups by order
int i = 0; // Implementation Note: loop on the groups
for (final CurveGroupConfiguration group : _curveConstructionConfiguration.getCurveGroups()) { // Group - start
int j = 0;
final int nCurves = group.getTypesForCurves().size();
final SingleCurveBundle<GeneratorYDCurve>[] singleCurves = new SingleCurveBundle[nCurves];
for (final Map.Entry<String, List<? extends CurveTypeConfiguration>> entry : group.getTypesForCurves().entrySet()) {
final List<IborIndex> iborIndexList = new ArrayList<>();
final List<IndexON> overnightIndexList = new ArrayList<>();
final String curveName = entry.getKey();
final ValueProperties properties = ValueProperties.builder().with(CURVE, curveName).get();
final CurveSpecification specification =
(CurveSpecification) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties));
final CurveDefinition definition =
(CurveDefinition) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_DEFINITION, ComputationTargetSpecification.NULL, properties));
final SnapshotDataBundle snapshot =
(SnapshotDataBundle) inputs.getValue(new ValueRequirement(ValueRequirementNames.CURVE_MARKET_DATA, ComputationTargetSpecification.NULL, properties));
final int nNodes = specification.getNodes().size();
final InstrumentDerivative[] derivativesForCurve = new InstrumentDerivative[nNodes];
final double[] parameterGuessForCurves = new double[nNodes];
int k = 0;
for (final CurveNodeWithIdentifier node : specification.getNodes()) { // Node points - start
final Double marketData = snapshot.getDataPoint(node.getIdentifier());
if (marketData == null) {
throw new OpenGammaRuntimeException("Could not get market data for " + node.getIdentifier());
}
parameterGuessForCurves[k] = 0.02; // TODO: [PlAT-5883] Get a better starting point.
final InstrumentDefinition<?> definitionForNode = node.getCurveNode().accept(getCurveNodeConverter(context,
snapshot, node.getIdentifier(), timeSeries, now, fx));
derivativesForCurve[k++] = getCurveNodeConverter(conventionSource).getDerivative(node, definitionForNode, now, timeSeries);
} // Node points - end
for (final CurveTypeConfiguration type : entry.getValue()) { // Type - start
if (type instanceof DiscountingCurveTypeConfiguration) {
final String reference = ((DiscountingCurveTypeConfiguration) type).getReference();
try {
final Currency currency = Currency.of(reference);
//should this map check that the curve name has not already been entered?
discountingMap.put(curveName, currency);
} catch (final IllegalArgumentException e) {
throw new OpenGammaRuntimeException("Cannot handle reference type " + reference + " for discounting curves");
}
} else if (type instanceof IborCurveTypeConfiguration) {
final IborCurveTypeConfiguration ibor = (IborCurveTypeConfiguration) type;
final Security sec = securitySource.getSingle(ibor.getConvention().toBundle());
final com.opengamma.financial.security.index.IborIndex indexSecurity = (com.opengamma.financial.security.index.IborIndex) sec;
final IborIndexConvention indexConvention = conventionSource.getSingle(indexSecurity.getConventionId(), IborIndexConvention.class);
iborIndexList.add(ConverterUtils.indexIbor(indexSecurity.getName(), indexConvention, indexSecurity.getTenor()));
} else if (type instanceof OvernightCurveTypeConfiguration) {
final OvernightCurveTypeConfiguration overnight = (OvernightCurveTypeConfiguration) type;
final OvernightIndex overnightIndex = (OvernightIndex) securitySource.getSingle(overnight.getConvention().toBundle());
final OvernightIndexConvention overnightConvention = conventionSource.getSingle(overnightIndex.getConventionId(), OvernightIndexConvention.class);
overnightIndexList.add(ConverterUtils.indexON(overnightIndex.getName(), overnightConvention));
} else if (type instanceof IssuerCurveTypeConfiguration) {
final IssuerCurveTypeConfiguration issuer = (IssuerCurveTypeConfiguration) type;
issuerMap.put(curveName, Pairs.<Object, LegalEntityFilter<LegalEntity>>of(issuer.getKeys(), issuer.getFilters()));
} else {
throw new OpenGammaRuntimeException("Cannot handle " + type.getClass());
}
} // type - end
if (!iborIndexList.isEmpty()) {
forwardIborMap.put(curveName, iborIndexList.toArray(new IborIndex[iborIndexList.size()]));
}
if (!overnightIndexList.isEmpty()) {
forwardONMap.put(curveName, overnightIndexList.toArray(new IndexON[overnightIndexList.size()]));
}
final GeneratorYDCurve generator = getGenerator(definition, now.toLocalDate());
singleCurves[j++] = new SingleCurveBundle<>(curveName, derivativesForCurve, generator.initialGuess(parameterGuessForCurves), generator);
}
final MultiCurveBundle<GeneratorYDCurve> groupBundle = new MultiCurveBundle<>(singleCurves);
curveBundles[i++] = groupBundle;
} // Group - end
//TODO this is only in here because the code in analytics doesn't use generics properly
final Pair<IssuerProviderDiscount, CurveBuildingBlockBundle> temp = builder.makeCurvesFromDerivatives(curveBundles,
(IssuerProviderDiscount) knownData, discountingMap, forwardIborMap, forwardONMap, issuerMap, getCalculator(), getSensitivityCalculator());
final CurveBuildingBlockBundle exogenousJacobians = new CurveBuildingBlockBundle();
for (final ComputedValue input : inputs.getAllValues()) {
final String valueName = input.getSpecification().getValueName();
if (valueName.equals(JACOBIAN_BUNDLE)) {
exogenousJacobians.addAll((CurveBuildingBlockBundle) input.getValue());
}
}
final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> unitBundles = new LinkedHashMap<>();
for (final Map.Entry<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> entry : exogenousJacobians.getData().entrySet()) {
unitBundles.put(entry.getKey(), entry.getValue());
}
unitBundles.putAll(temp.getSecond().getData());
final Pair<ParameterIssuerProviderInterface, CurveBuildingBlockBundle> result = Pairs.of((ParameterIssuerProviderInterface) temp.getFirst(), new CurveBuildingBlockBundle(unitBundles));
return result;
}
@Override
protected IssuerProviderInterface getKnownData(final FunctionInputs inputs) {
final FXMatrix fxMatrix = (FXMatrix) inputs.getValue(ValueRequirementNames.FX_MATRIX);
//TODO requires that the discounting curves are supplied externally
IssuerProviderDiscount knownData;
if (getExogenousRequirements().isEmpty()) {
knownData = new IssuerProviderDiscount(fxMatrix);
} else {
knownData = new IssuerProviderDiscount((MulticurveProviderDiscount) inputs.getValue(ValueRequirementNames.CURVE_BUNDLE));
knownData.getMulticurveProvider().setForexMatrix(fxMatrix);
}
return knownData;
}
@Override
protected IssuerDiscountBuildingRepository getBuilder(final double absoluteTolerance, final double relativeTolerance, final int maxIterations) {
return new IssuerDiscountBuildingRepository(absoluteTolerance, relativeTolerance, maxIterations);
}
@Override
protected GeneratorYDCurve getGenerator(final CurveDefinition definition, final LocalDate valuationDate) {
if (definition instanceof InterpolatedCurveDefinition) {
final InterpolatedCurveDefinition interpolatedDefinition = (InterpolatedCurveDefinition) definition;
final String interpolatorName = interpolatedDefinition.getInterpolatorName();
final String leftExtrapolatorName = interpolatedDefinition.getLeftExtrapolatorName();
final String rightExtrapolatorName = interpolatedDefinition.getRightExtrapolatorName();
final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
return new GeneratorCurveYieldInterpolated(getMaturityCalculator(), interpolator);
}
throw new OpenGammaRuntimeException("Cannot handle curves of type " + definition.getClass());
}
@Override
protected CurveNodeVisitor<InstrumentDefinition<?>> getCurveNodeConverter(final FunctionExecutionContext context,
final SnapshotDataBundle marketData, final ExternalId dataId, final HistoricalTimeSeriesBundle historicalData,
final ZonedDateTime valuationTime, final FXMatrix fx) {
final ConventionSource conventionSource = OpenGammaExecutionContext.getConventionSource(context);
final ConventionBundleSource conventionBundleSource = OpenGammaExecutionContext.getConventionBundleSource(context);
final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(context);
final LegalEntitySource legalEntitySource = OpenGammaExecutionContext.getLegalEntitySource(context);
return CurveNodeVisitorAdapter.<InstrumentDefinition<?>>builder()
.billNodeVisitor(new BillNodeConverter(holidaySource, regionSource, securitySource, legalEntitySource, marketData, dataId, valuationTime))
.bondNodeVisitor(new BondNodeConverter(conventionBundleSource, holidaySource, regionSource, securitySource, marketData, dataId, valuationTime))
.cashNodeVisitor(new CashNodeConverter(securitySource, conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
.fraNode(new FRANodeConverter(securitySource, conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
.fxForwardNode(new FXForwardNodeConverter(conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
.immFRANode(new RollDateFRANodeConverter(securitySource, conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
.immSwapNode(new RollDateSwapNodeConverter(securitySource, conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
.rateFutureNode(new RateFutureNodeConverter(securitySource, conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime))
.swapNode(new SwapNodeConverter(securitySource, conventionSource, holidaySource, regionSource, marketData, dataId, valuationTime, fx))
.create();
}
@Override
protected Set<ComputedValue> getResults(final ValueSpecification bundleSpec, final ValueSpecification jacobianSpec,
final ValueProperties bundleProperties, final Pair<ParameterIssuerProviderInterface, CurveBuildingBlockBundle> pair) {
final Set<ComputedValue> result = new HashSet<>();
final IssuerProviderDiscount provider = (IssuerProviderDiscount) pair.getFirst();
result.add(new ComputedValue(bundleSpec, provider));
result.add(new ComputedValue(jacobianSpec, pair.getSecond()));
for (final String curveName : getCurveNames()) {
final ValueProperties curveProperties = bundleProperties.copy()
.withoutAny(CURVE)
.withoutAny(CURVE_SENSITIVITY_CURRENCY)
.with(CURVE, curveName)
.get();
YieldAndDiscountCurve curve = provider.getIssuerCurve(curveName);
if (curve == null) {
curve = provider.getMulticurveProvider().getCurve(curveName);
}
if (curve == null) {
s_logger.error("Could not get curve called {} from configuration {}", curveName, getCurveConstructionConfigurationName());
} else {
final ValueSpecification curveSpec = new ValueSpecification(YIELD_CURVE, ComputationTargetSpecification.NULL, curveProperties);
result.add(new ComputedValue(curveSpec, curve));
}
}
return result;
}
}
}