/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.curve.forward; import static com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_INTERPOLATOR; import static com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR; import static com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR; import it.unimi.dsi.fastutil.doubles.DoubleArrayList; import java.util.Collections; import java.util.Map; import java.util.Set; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import org.threeten.bp.Clock; import org.threeten.bp.Instant; import org.threeten.bp.LocalDate; import org.threeten.bp.LocalTime; import org.threeten.bp.Period; import org.threeten.bp.ZoneOffset; import org.threeten.bp.ZonedDateTime; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve; import com.opengamma.analytics.financial.schedule.ScheduleCalculator; import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve; import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory; import com.opengamma.analytics.math.interpolation.Interpolator1D; import com.opengamma.core.holiday.HolidaySource; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.function.AbstractFunction; import com.opengamma.engine.function.CompiledFunctionDefinition; 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.target.PrimitiveComputationTargetType; import com.opengamma.engine.value.ComputedValue; import com.opengamma.engine.value.ValueProperties; import com.opengamma.engine.value.ValuePropertyNames; 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.forwardcurve.ConfigDBForwardSwapCurveDefinitionSource; import com.opengamma.financial.analytics.forwardcurve.ConfigDBForwardSwapCurveSpecificationSource; import com.opengamma.financial.analytics.forwardcurve.ForwardSwapCurveDefinition; import com.opengamma.financial.analytics.forwardcurve.ForwardSwapCurveInstrumentProvider; import com.opengamma.financial.analytics.forwardcurve.ForwardSwapCurveSpecification; import com.opengamma.financial.convention.ConventionBundle; import com.opengamma.financial.convention.ConventionBundleSource; import com.opengamma.financial.convention.HolidaySourceCalendarAdapter; import com.opengamma.financial.convention.InMemoryConventionBundleMaster; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.financial.convention.daycount.DayCount; import com.opengamma.id.ExternalId; import com.opengamma.util.money.Currency; import com.opengamma.util.time.Tenor; /** * */ public class ForwardSwapCurveFromMarketQuotesFunction extends AbstractFunction { private static final Logger s_logger = LoggerFactory.getLogger(ForwardSwapCurveFromMarketQuotesFunction.class); private ConfigDBForwardSwapCurveDefinitionSource _forwardSwapCurveDefinitionSource; private ConfigDBForwardSwapCurveSpecificationSource _forwardSwapCurveSpecificationSource; @Override public void init(final FunctionCompilationContext context) { _forwardSwapCurveDefinitionSource = ConfigDBForwardSwapCurveDefinitionSource.init(context, this); _forwardSwapCurveSpecificationSource = ConfigDBForwardSwapCurveSpecificationSource.init(context, this); } @Override public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) { final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC); return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000)) { @Override public ComputationTargetType getTargetType() { return ComputationTargetType.CURRENCY; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { final ValueProperties properties = createValueProperties().withAny(ValuePropertyNames.CURVE).withAny(PROPERTY_FORWARD_CURVE_INTERPOLATOR) .withAny(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR).withAny(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR).withAny(ForwardSwapCurveMarketDataFunction.PROPERTY_FORWARD_TENOR) .with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, ForwardSwapCurveMarketDataFunction.FORWARD_SWAP_QUOTES).get(); final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.FORWARD_CURVE, target.toSpecification(), properties); return Collections.singleton(spec); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final ValueProperties constraints = desiredValue.getConstraints(); final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE); if (curveNames == null || curveNames.size() != 1) { s_logger.error("Did not supply a single curve name; asked for {}", curveNames); return null; } final Set<String> forwardTenors = constraints.getValues(ForwardSwapCurveMarketDataFunction.PROPERTY_FORWARD_TENOR); if (forwardTenors == null || forwardTenors.size() != 1) { s_logger.error("Did not supply a single forward tenor; asked for {}", forwardTenors); return null; } final Set<String> forwardCurveInterpolatorNames = constraints.getValues(PROPERTY_FORWARD_CURVE_INTERPOLATOR); if (forwardCurveInterpolatorNames == null || forwardCurveInterpolatorNames.size() != 1) { return null; } final Set<String> forwardCurveLeftExtrapolatorNames = constraints.getValues(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR); if (forwardCurveLeftExtrapolatorNames == null || forwardCurveLeftExtrapolatorNames.size() != 1) { return null; } final Set<String> forwardCurveRightExtrapolatorNames = constraints.getValues(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR); if (forwardCurveRightExtrapolatorNames == null || forwardCurveRightExtrapolatorNames.size() != 1) { return null; } final String curveName = curveNames.iterator().next(); final String forwardTenor = forwardTenors.iterator().next(); final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, curveName).with(ForwardSwapCurveMarketDataFunction.PROPERTY_FORWARD_TENOR, forwardTenor) .get(); return Collections.singleton(new ValueRequirement(ValueRequirementNames.FORWARD_SWAP_CURVE_MARKET_DATA, target.toSpecification(), properties)); } @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext); final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext); final Clock snapshotClock = executionContext.getValuationClock(); final ValueRequirement desiredValue = desiredValues.iterator().next(); final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE); final ZonedDateTime now = ZonedDateTime.now(snapshotClock); final DoubleArrayList expiries = new DoubleArrayList(); final DoubleArrayList forwards = new DoubleArrayList(); final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY); final ForwardSwapCurveDefinition definition = _forwardSwapCurveDefinitionSource.getDefinition(curveName, currency.toString()); if (definition == null) { throw new OpenGammaRuntimeException("Couldn't find a forward swap curve definition called " + curveName + " for target " + target); } final ForwardSwapCurveSpecification specification = _forwardSwapCurveSpecificationSource.getSpecification(curveName, currency.toString()); if (specification == null) { throw new OpenGammaRuntimeException("Couldn't find a forward swap curve specification called " + curveName + " for target " + target); } final ForwardSwapCurveInstrumentProvider provider = (ForwardSwapCurveInstrumentProvider) specification.getCurveInstrumentProvider(); final Object dataObject = inputs.getValue(ValueRequirementNames.FORWARD_SWAP_CURVE_MARKET_DATA); if (dataObject == null) { throw new OpenGammaRuntimeException("Could not get market data"); } @SuppressWarnings("unchecked") final Map<ExternalId, Double> data = (Map<ExternalId, Double>) dataObject; final String interpolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_INTERPOLATOR); final String leftExtrapolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR); final String rightExtrapolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR); final String forwardTenorName = desiredValue.getConstraint(ForwardSwapCurveMarketDataFunction.PROPERTY_FORWARD_TENOR); final String conventionName = currency.getCode() + "_SWAP"; final ConventionBundle convention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName)); if (convention == null) { throw new OpenGammaRuntimeException("Could not get convention named " + conventionName); } final DayCount dayCount = convention.getSwapFloatingLegDayCount(); if (dayCount == null) { throw new OpenGammaRuntimeException("Could not get daycount"); } final Integer settlementDays = convention.getSwapFloatingLegSettlementDays(); if (settlementDays == null) { throw new OpenGammaRuntimeException("Could not get number of settlement days"); } final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, currency); final LocalDate localNow = now.toLocalDate(); final Period forwardPeriod = Period.parse(forwardTenorName); final Tenor forwardTenor = Tenor.of(forwardPeriod); final LocalDate forwardStart = ScheduleCalculator.getAdjustedDate(localNow.plus(forwardPeriod), settlementDays, calendar); //TODO check adjustments for (final Tenor tenor : definition.getTenors()) { final ExternalId identifier = provider.getInstrument(localNow, tenor, forwardTenor); if (data.containsKey(identifier)) { final LocalDate expiry = ScheduleCalculator.getAdjustedDate(forwardStart.plus(tenor.getPeriod()), settlementDays, calendar); expiries.add(dayCount.getDayCountFraction(localNow, expiry)); forwards.add(data.get(identifier)); } } if (expiries.size() == 0) { throw new OpenGammaRuntimeException("Could not get any values for forward swaps"); } final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName); final ForwardCurve curve = new ForwardCurve(InterpolatedDoublesCurve.from(expiries, forwards, interpolator)); return Collections.singleton(new ComputedValue(getResultSpec(target, curveName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName, forwardTenorName), curve)); } private ValueSpecification getResultSpec(final ComputationTarget target, final String curveName, final String interpolatorName, final String leftExtrapolatorName, final String rightExtrapolatorName, final String forwardTenor) { final ValueProperties properties = createValueProperties().with(ValuePropertyNames.CURVE, curveName).with(PROPERTY_FORWARD_CURVE_INTERPOLATOR, interpolatorName) .with(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR, leftExtrapolatorName).with(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR, rightExtrapolatorName) .with(ForwardSwapCurveMarketDataFunction.PROPERTY_FORWARD_TENOR, forwardTenor) .with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, ForwardSwapCurveMarketDataFunction.FORWARD_SWAP_QUOTES).get(); return new ValueSpecification(ValueRequirementNames.FORWARD_CURVE, target.toSpecification(), properties); } }; } }