/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.discounting;
import static com.opengamma.engine.value.ValueRequirementNames.MARKET_QUOTE;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.discounting.MarketQuoteDiscountingCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface;
import com.opengamma.core.security.Security;
import com.opengamma.engine.ComputationTarget;
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.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.security.future.DeliverableSwapFutureSecurity;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
/**
* Calculates the market quotes of future that have been priced using
* the discounting method.
*/
public class DiscountingMarketQuoteFunction extends DiscountingFunction {
/** The market quote calculator */
private static final InstrumentDerivativeVisitor<ParameterProviderInterface, Double> CALCULATOR =
MarketQuoteDiscountingCalculator.getInstance();
/**
* Sets the value requirements to {@link ValueRequirementNames#MARKET_QUOTE}
*/
public DiscountingMarketQuoteFunction() {
super(MARKET_QUOTE);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new DiscountingCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), false) {
@Override
protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative, final FXMatrix fxMatrix) {
final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final double marketQuote = derivative.accept(CALCULATOR, data);
final ValueProperties properties = desiredValue.getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(MARKET_QUOTE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, marketQuote));
}
@Override
public boolean canApplyTo(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
return security instanceof DeliverableSwapFutureSecurity ||
security instanceof InterestRateFutureSecurity;
}
};
}
}