/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.fx;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.FORWARD_CURVE_NAME;
import static com.opengamma.engine.value.ValueRequirementNames.CURRENCY_PAIRS;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_DEFINITION;
import static com.opengamma.engine.value.ValueRequirementNames.FX_FORWARD_POINTS_NODE_SENSITIVITIES;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.forex.provider.ForexForwardPointsMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.math.curve.DoublesCurve;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
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.ValueSpecification;
import com.opengamma.financial.analytics.DoubleLabelledMatrix1D;
import com.opengamma.financial.analytics.curve.CurveDefinition;
import com.opengamma.financial.analytics.model.multicurve.MultiCurveUtils;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
import com.opengamma.util.tuple.Pairs;
/**
*
*/
public class FXForwardPointsFCNSFunction extends FXForwardPointsFunction {
private static final ForexForwardPointsMethod CALCULATOR = ForexForwardPointsMethod.getInstance();
public FXForwardPointsFCNSFunction() {
super(FX_FORWARD_POINTS_NODE_SENSITIVITIES);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new FXForwardPointsCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@Override
protected Set<ComputedValue> getValues(final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues,
final Forex forex, final FXMatrix fxMatrix, final ZonedDateTime now) {
final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final String fxForwardCurveName = desiredValue.getConstraint(FORWARD_CURVE_NAME);
final DoublesCurve forwardPoints = getForwardPoints(inputs, fxForwardCurveName, now);
final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
final Pair<Currency, Currency> ccyPair;
final Currency currency1 = forex.getCurrency1();
final Currency currency2 = forex.getCurrency2();
if (currency1.equals(pairs.getCurrencyPair(currency1, currency2).getBase())) {
ccyPair = Pairs.of(currency1, currency2);
} else {
ccyPair = Pairs.of(currency2, currency1);
}
final double[] sensitivities = CALCULATOR.presentValueForwardPointsSensitivity(forex, data, forwardPoints, ccyPair);
final CurveDefinition definition = (CurveDefinition) inputs.getValue(
new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, ValueProperties.with(CURVE, fxForwardCurveName).get()));
final DoubleLabelledMatrix1D matrix = MultiCurveUtils.getLabelledMatrix(new DoubleMatrix1D(sensitivities), definition);
final ValueProperties properties = desiredValue.getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(FX_FORWARD_POINTS_NODE_SENSITIVITIES, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, matrix));
}
};
}
}