/**
 * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.hullwhitediscounting;

import static com.opengamma.engine.value.ValuePropertyNames.CALCULATION_METHOD;
import static com.opengamma.engine.value.ValueRequirementNames.PRESENT_VALUE;

import java.util.Collection;
import java.util.Collections;
import java.util.Set;

import org.threeten.bp.Instant;

import cern.jet.random.engine.MersenneTwister;
import cern.jet.random.engine.MersenneTwister64;

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.montecarlo.provider.HullWhiteMonteCarloMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
import com.opengamma.analytics.math.random.NormalRandomNumberGenerator;
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.FinancialSecurityUtils;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;

/**
 * Calculates the present value of instruments using curves constructed using the Hull-White one-factor discounting method.
 */
public class HullWhiteMonteCarloDiscountingPVFunction extends HullWhiteDiscountingFunction {
  /** The present value calculator */
  private static final HullWhiteMonteCarloMethod CALCULATOR = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister(MersenneTwister64.DEFAULT_SEED)),
      125000);

  /**
   * Sets the value requirements to {@link ValueRequirementNames#PRESENT_VALUE}
   */
  public HullWhiteMonteCarloDiscountingPVFunction() {
    super(PRESENT_VALUE);
  }

  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    return new HullWhiteCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {

      @Override
      public boolean canApplyTo(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
        final Security security = target.getTrade().getSecurity();
        if (security instanceof SwaptionSecurity) {
          final SwaptionSecurity swaptionSecurity = (SwaptionSecurity) security;
          return !swaptionSecurity.isCashSettled();
        }
        return false;
      }

      @Override
      protected Collection<ValueProperties.Builder> getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
        final Collection<ValueProperties.Builder> properties = super.getResultProperties(compilationContext, target);
        for (ValueProperties.Builder builder : properties) {
          builder.with(CALCULATION_METHOD, "Monte Carlo");
        }
        return properties;
      }

      @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 HullWhiteOneFactorProviderInterface data = getMergedProviders(inputs, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
        final MultipleCurrencyAmount mca = CALCULATOR.presentValue(derivative, currency, data);
        final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, mca.getAmount(currency)));
      }
    };
  }
}