IRFutureOptionSABRYCNSFunction.java example

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/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.irfutureoption;

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

import org.slf4j.Logger;
import org.slf4j.LoggerFactory;

import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueNodeSensitivityCalculator;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationWithSecurities;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.FunctionUtils;
import com.opengamma.financial.analytics.model.YieldCurveNodeSensitivitiesHelper;
import com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePropertiesAndDefaults;
import com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.util.money.Currency;

/**
 *
 */
public class IRFutureOptionSABRYCNSFunction extends IRFutureOptionSABRFunction {
  private static final Logger s_logger = LoggerFactory.getLogger(IRFutureOptionSABRYCNSFunction.class);
  private static final InstrumentSensitivityCalculator CALCULATOR = InstrumentSensitivityCalculator.getInstance();
  private static final PresentValueNodeSensitivityCalculator NSC = PresentValueNodeSensitivityCalculator.using(PresentValueCurveSensitivitySABRCalculator.getInstance());

  /**
   * Default constructor
   */
  public IRFutureOptionSABRYCNSFunction() {
    super(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES);
  }

  @Override
  protected Set<ComputedValue> getResult(final FunctionExecutionContext context, final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ComputationTarget target,
      final InstrumentDerivative irFutureOption, final SABRInterestRateDataBundle data) {
    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final MultiCurveCalculationConfig curveCalculationConfig = getCurveCalculationConfigSource().getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get curve specification");
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    if (jacobianObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    }
    final double[][] array = FunctionUtils.decodeJacobian(jacobianObject);
    final DoubleMatrix2D jacobian = new DoubleMatrix2D(array);
    DoubleMatrix1D sensitivities;
    if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
      final Object couponSensitivityObject = inputs.getValue(ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
      if (couponSensitivityObject == null) {
        throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
      }
      final DoubleMatrix1D couponSensitivity = (DoubleMatrix1D) couponSensitivityObject;
      sensitivities = CALCULATOR.calculateFromPresentValue(irFutureOption, null, data, couponSensitivity, jacobian, NSC);
    } else {
      sensitivities = CALCULATOR.calculateFromParRate(irFutureOption, null, data, jacobian, NSC);
    }
    final ValueProperties properties = desiredValue.getConstraints().copy().withoutAny(ValuePropertyNames.FUNCTION).with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
    final ValueSpecification spec = new ValueSpecification(getValueRequirementNames()[0], target.toSpecification(), properties);
    return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(curveName, data, sensitivities, curveSpec, spec);
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    final ValueProperties properties = createValueProperties().withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG).withAny(ValuePropertyNames.SURFACE)
        .withAny(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD).with(ValuePropertyNames.CALCULATION_METHOD, SmileFittingPropertyNamesAndValues.SABR)
        .withAny(ValuePropertyNames.CURVE).get();
    return Collections.singleton(new ValueSpecification(getValueRequirementNames()[0], target.toSpecification(), properties));
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    //TODO repeated access of database - don't use super
    final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
    if (requirements == null) {
      return null;
    }
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    if (curveName == null) {
      s_logger.error("Must specify yield curve name");
      return null;
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final MultiCurveCalculationConfig curveCalculationConfig = getCurveCalculationConfigSource().getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
      return null;
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
    requirements.add(getCurveSpecRequirement(currency, curveName));
    requirements.add(getJacobianRequirement(currency, curveCalculationConfigName, curveCalculationMethod));
    if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
      requirements.add(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
    }
    return requirements;
  }

  private ValueRequirement getCurveSpecRequirement(final Currency currency, final String curveName) {
    final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, curveName).get();
    return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, ComputationTargetSpecification.of(currency), properties);
  }

  private ValueRequirement getJacobianRequirement(final Currency currency, final String curveCalculationConfigName, final String curveCalculationMethod) {
    final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
        .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod).get();
    return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(currency), properties);
  }

  private ValueRequirement getCouponSensitivitiesRequirement(final Currency currency, final String curveCalculationConfigName) {
    final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
        .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING).get();
    return new ValueRequirement(ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY, ComputationTargetSpecification.of(currency), properties);
  }
}