/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.multicurve;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_CONSTRUCTION_CONFIG;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_EXPOSURES;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_BUNDLE;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_DEFINITION;
import static com.opengamma.engine.value.ValueRequirementNames.FX_MATRIX;
import static com.opengamma.engine.value.ValueRequirementNames.JACOBIAN_BUNDLE;
import java.util.Collection;
import java.util.HashSet;
import java.util.Iterator;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.core.convention.ConventionSource;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.Security;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
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.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.OpenGammaCompilationContext;
import com.opengamma.financial.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.CashFlowSecurityConverter;
import com.opengamma.financial.analytics.conversion.CashSecurityConverter;
import com.opengamma.financial.analytics.conversion.DefaultTradeConverter;
import com.opengamma.financial.analytics.conversion.DeliverableSwapFutureSecurityConverter;
import com.opengamma.financial.analytics.conversion.DeliverableSwapFutureTradeConverter;
import com.opengamma.financial.analytics.conversion.FRASecurityConverter;
import com.opengamma.financial.analytics.conversion.FXForwardSecurityConverter;
import com.opengamma.financial.analytics.conversion.FederalFundsFutureTradeConverter;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.FutureTradeConverter;
import com.opengamma.financial.analytics.conversion.InflationSwapSecurityConverter;
import com.opengamma.financial.analytics.conversion.InterestRateFutureTradeConverter;
import com.opengamma.financial.analytics.conversion.InterestRateSwapSecurityConverter;
import com.opengamma.financial.analytics.conversion.NonDeliverableFXForwardSecurityConverter;
import com.opengamma.financial.analytics.conversion.SwapSecurityConverter;
import com.opengamma.financial.analytics.curve.ConfigDBCurveConstructionConfigurationSource;
import com.opengamma.financial.analytics.curve.CurveConstructionConfiguration;
import com.opengamma.financial.analytics.curve.CurveConstructionConfigurationSource;
import com.opengamma.financial.analytics.curve.CurveUtils;
import com.opengamma.financial.analytics.curve.exposure.ConfigDBInstrumentExposuresProvider;
import com.opengamma.financial.analytics.curve.exposure.InstrumentExposuresProvider;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.security.CurrenciesVisitor;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.FinancialSecurityVisitor;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.cash.CashSecurity;
import com.opengamma.financial.security.cashflow.CashFlowSecurity;
import com.opengamma.financial.security.fra.FRASecurity;
import com.opengamma.financial.security.future.DeliverableSwapFutureSecurity;
import com.opengamma.financial.security.future.FederalFundsFutureSecurity;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.financial.security.fx.FXForwardSecurity;
import com.opengamma.financial.security.fx.NonDeliverableFXForwardSecurity;
import com.opengamma.financial.security.swap.SwapSecurity;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;
/**
* Base function for all multi-curve pricing and risk functions. Produces results for trades with following underlying securities:
* <p>
* <ul>
* <li> {@link CashSecurity}
* <li> {@link CashFlowSecurity}
* <li> {@link FRASecurity}
* <li> {@link SwapSecurity}
* <li> {@link InterestRateFutureSecurity}
* <li> {@link FXForwardSecurity}
* <li> {@link NonDeliverableFXForwardSecurity}
* <li> {@link DeliverableSwapFutureSecurity}
* <li> {@link FederalFundsFutureSecurity}
* </ul>
*/
public abstract class MultiCurvePricingFunction extends AbstractFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(MultiCurvePricingFunction.class);
/** The value requirements produced by this function */
private final String[] _valueRequirements;
/** The curve construction configuration source */
private CurveConstructionConfigurationSource _curveConstructionConfigurationSource;
/** The instrument exposures provider */
private InstrumentExposuresProvider _instrumentExposuresProvider;
/**
* @param valueRequirements The value requirements, not null
*/
public MultiCurvePricingFunction(final String... valueRequirements) {
ArgumentChecker.notNull(valueRequirements, "value requirements");
_valueRequirements = valueRequirements;
}
@Override
public void init(final FunctionCompilationContext context) {
_curveConstructionConfigurationSource = ConfigDBCurveConstructionConfigurationSource.init(context, this);
_instrumentExposuresProvider = ConfigDBInstrumentExposuresProvider.init(context, this);
}
/**
* Constructs an object capable of converting from {@link ComputationTarget} to {@link InstrumentDefinition}.
*
* @param context The compilation context, not null
* @return The converter
*/
protected DefaultTradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
final CashFlowSecurityConverter cashFlowSecurityConverter = new CashFlowSecurityConverter();
final FRASecurityConverter fraConverter = new FRASecurityConverter(securitySource, holidaySource, regionSource, conventionSource);
final SwapSecurityConverter swapConverter = new SwapSecurityConverter(securitySource, holidaySource, conventionSource, regionSource);
final InterestRateSwapSecurityConverter irsConverter = new InterestRateSwapSecurityConverter(holidaySource, conventionSource, securitySource);
final FXForwardSecurityConverter fxForwardSecurityConverter = new FXForwardSecurityConverter();
final NonDeliverableFXForwardSecurityConverter nonDeliverableFXForwardSecurityConverter = new NonDeliverableFXForwardSecurityConverter();
final DeliverableSwapFutureSecurityConverter dsfConverter = new DeliverableSwapFutureSecurityConverter(securitySource, swapConverter, irsConverter);
final FederalFundsFutureTradeConverter federalFundsFutureTradeConverter = new FederalFundsFutureTradeConverter(securitySource, holidaySource, conventionSource, regionSource);
final InflationSwapSecurityConverter inflationSwapConverter = new InflationSwapSecurityConverter(securitySource, conventionSource, regionSource, holidaySource);
final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter)
.cashFlowSecurityVisitor(cashFlowSecurityConverter).deliverableSwapFutureSecurityVisitor(dsfConverter).fraSecurityVisitor(fraConverter).swapSecurityVisitor(swapConverter)
.fxForwardVisitor(fxForwardSecurityConverter).nonDeliverableFxForwardVisitor(nonDeliverableFXForwardSecurityConverter).zeroCouponInflationSwapSecurityVisitor(inflationSwapConverter)
.create();
final FutureTradeConverter futureTradeConverter = new FutureTradeConverter();
final InterestRateFutureTradeConverter irFutureTradeConveter = new InterestRateFutureTradeConverter(securitySource, holidaySource, conventionSource, regionSource);
final DeliverableSwapFutureTradeConverter deliverableSwapFutureTradeConverter = new DeliverableSwapFutureTradeConverter(securitySource, swapConverter, irsConverter);
return new DefaultTradeConverter(futureTradeConverter, federalFundsFutureTradeConverter, irFutureTradeConveter, deliverableSwapFutureTradeConverter, securityConverter);
}
/**
* Constructs an object capable of converting from {@link InstrumentDefinition} to {@link InstrumentDerivative}.
*
* @param context The compilation context, not null
* @return The converter
*/
protected FixedIncomeConverterDataProvider getDefinitionToDerivativeConverter(final FunctionCompilationContext context) {
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context); // TODO [PLAT-5966] Remove
final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
return new FixedIncomeConverterDataProvider(conventionSource, securitySource, timeSeriesResolver);
}
/**
* Base compiled function for all multi-curve pricing and risk functions.
*/
public abstract class MultiCurveCompiledFunction extends AbstractInvokingCompiledFunction {
/** Converts targets to definitions */
private final DefaultTradeConverter _tradeToDefinitionConverter;
/** Converts definitions to derivatives */
private final FixedIncomeConverterDataProvider _definitionToDerivativeConverter;
/**
* @param tradeToDefinitionConverter Converts trades to definitions, not null
* @param definitionToDerivativeConverter Converts definitions to derivatives, not null
*/
protected MultiCurveCompiledFunction(final DefaultTradeConverter tradeToDefinitionConverter, final FixedIncomeConverterDataProvider definitionToDerivativeConverter) {
ArgumentChecker.notNull(tradeToDefinitionConverter, "target to definition converter");
ArgumentChecker.notNull(definitionToDerivativeConverter, "definition to derivative converter");
_tradeToDefinitionConverter = tradeToDefinitionConverter;
_definitionToDerivativeConverter = definitionToDerivativeConverter;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
final InstrumentDerivative derivative = getDerivative(target, now, timeSeries, definition);
final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
final FXMatrix fxMatrix = getFXMatrix(inputs, target, securitySource);
return getValues(executionContext, inputs, target, desiredValues, derivative, fxMatrix);
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.TRADE;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
return security instanceof CashSecurity || security instanceof CashFlowSecurity || security instanceof FRASecurity || security instanceof SwapSecurity ||
security instanceof FXForwardSecurity || security instanceof NonDeliverableFXForwardSecurity || security instanceof InterestRateFutureSecurity ||
security instanceof FederalFundsFutureSecurity;
}
@SuppressWarnings("synthetic-access")
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final Collection<ValueProperties.Builder> propertiesSet = getResultProperties(context, target);
final Set<ValueSpecification> results = Sets.newHashSetWithExpectedSize(propertiesSet.size() * _valueRequirements.length);
for (final ValueProperties.Builder propertiesBuilder : propertiesSet) {
final ValueProperties properties = propertiesBuilder.get();
for (final String valueRequirement : _valueRequirements) {
results.add(new ValueSpecification(valueRequirement, target.toSpecification(), properties));
}
}
return results;
}
@SuppressWarnings("synthetic-access")
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties desiredValueConstraints = desiredValue.getConstraints();
if (!requirementsSet(desiredValueConstraints)) {
return null;
}
final Set<String> curveExposureConfigs = desiredValueConstraints.getValues(CURVE_EXPOSURES);
try {
final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final Set<ValueRequirement> requirements = new HashSet<>();
final ValueProperties.Builder commonCurveConstraints = getCurveConstraints(target, desiredValueConstraints);
for (final String curveExposureConfig : curveExposureConfigs) {
final Set<String> curveConstructionConfigurationNames = _instrumentExposuresProvider.getCurveConstructionConfigurationsForConfig(curveExposureConfig, target.getTrade());
for (final String curveConstructionConfigurationName : curveConstructionConfigurationNames) {
final ValueProperties inputConstraints = commonCurveConstraints.get().copy().with(CURVE_CONSTRUCTION_CONFIG, curveConstructionConfigurationName).get();
requirements.add(new ValueRequirement(CURVE_BUNDLE, ComputationTargetSpecification.NULL, inputConstraints));
requirements.add(new ValueRequirement(JACOBIAN_BUNDLE, ComputationTargetSpecification.NULL, inputConstraints));
final CurveConstructionConfiguration curveConstructionConfiguration = _curveConstructionConfigurationSource.getCurveConstructionConfiguration(curveConstructionConfigurationName);
if (curveConstructionConfiguration == null) {
s_logger.error("Could not get curve construction configuration called {} from config master", curveConstructionConfigurationName);
return null;
}
final String[] curveNames = CurveUtils.getCurveNamesForConstructionConfiguration(curveConstructionConfiguration);
for (final String curveName : curveNames) {
final ValueProperties curveProperties = ValueProperties.builder().with(CURVE, curveName).get();
requirements.add(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, curveProperties));
requirements.add(new ValueRequirement(FX_MATRIX, ComputationTargetSpecification.NULL, ValueProperties.with(CURVE_CONSTRUCTION_CONFIG, curveConstructionConfigurationNames)
.get()));
}
}
}
requirements.addAll(getFXRequirements(security, securitySource));
final Set<ValueRequirement> timeSeriesRequirements = getTimeSeriesRequirements(context, target);
if (timeSeriesRequirements == null) {
s_logger.error("getRequirements returned null as timeSeriesRequirements is null for {}", security);
return null;
}
requirements.addAll(timeSeriesRequirements);
return requirements;
} catch (final Exception e) {
s_logger.error(e.getMessage(), e);
return null;
}
}
/**
* Gets the FX spot requirements for a security.
*
* @param security The security, not null
* @param securitySource The security source, not null
* @return A set of FX spot requirements
*/
protected Set<ValueRequirement> getFXRequirements(final FinancialSecurity security, final SecuritySource securitySource) {
final Set<ValueRequirement> requirements = new HashSet<>();
final Collection<Currency> currencies = CurrenciesVisitor.getCurrencies(security, securitySource);
if (currencies.size() > 1) {
final Iterator<Currency> iter = currencies.iterator();
final Currency initialCurrency = iter.next();
while (iter.hasNext()) {
requirements.add(new ValueRequirement(ValueRequirementNames.SPOT_RATE, CurrencyPair.TYPE.specification(CurrencyPair.of(iter.next(), initialCurrency))));
}
}
return requirements;
}
/**
* Gets the fixing or market close time series requirements for a security.
*
* @param context The compilation context, not null
* @param target The target
* @return A set of fixing / market close time series requirements
*/
protected Set<ValueRequirement> getTimeSeriesRequirements(final FunctionCompilationContext context, final ComputationTarget target) {
final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
final Set<ValueRequirement> timeSeriesRequirements = getConversionTimeSeriesRequirements(context, target, definition);
if (timeSeriesRequirements == null) {
return null;
}
return timeSeriesRequirements;
}
/**
* Gets an {@link InstrumentDefinition} given a target.
*
* @param target The target, not null
* @return An instrument definition
*/
protected InstrumentDefinition<?> getDefinitionFromTarget(final ComputationTarget target) {
return _tradeToDefinitionConverter.convert(target.getTrade());
}
/**
* Gets a conversion time-series for an instrument definition. If no time-series are required, returns an empty set.
*
* @param context The compilation context, not null
* @param target The target, not null
* @param definition The definition, not null
* @return A set of time-series requirements
*/
protected Set<ValueRequirement> getConversionTimeSeriesRequirements(final FunctionCompilationContext context, final ComputationTarget target, final InstrumentDefinition<?> definition) {
return _definitionToDerivativeConverter.getConversionTimeSeriesRequirements(target.getTrade().getSecurity(), definition);
}
/**
* Gets an {@link InstrumentDerivative}.
*
* @param target The target, not null
* @param now The valuation time, not null
* @param timeSeries The conversion time series bundle, not null but may be empty
* @param definition The definition, not null
* @return The instrument derivative
*/
protected InstrumentDerivative getDerivative(final ComputationTarget target, final ZonedDateTime now, final HistoricalTimeSeriesBundle timeSeries,
final InstrumentDefinition<?> definition) {
return _definitionToDerivativeConverter.convert(target.getTrade().getSecurity(), definition, now, timeSeries);
}
/**
* Gets the FX matrix required for the curve provider.
* @param inputs The function inputs
* @param target The computation target
* @param securitySource The security source
* @return The FX matrix
*/
protected FXMatrix getFXMatrix(final FunctionInputs inputs, final ComputationTarget target, final SecuritySource securitySource) {
final FXMatrix fxMatrix = new FXMatrix();
final Collection<Currency> currencies = CurrenciesVisitor.getCurrencies(target.getTrade().getSecurity(), securitySource);
final Iterator<Currency> iter = currencies.iterator();
final Currency initialCurrency = iter.next();
while (iter.hasNext()) {
final Currency otherCurrency = iter.next();
final Double spotRate = (Double) inputs.getValue(new ValueRequirement(ValueRequirementNames.SPOT_RATE, CurrencyPair.TYPE.specification(CurrencyPair
.of(otherCurrency, initialCurrency))));
if (spotRate != null) {
fxMatrix.addCurrency(otherCurrency, initialCurrency, spotRate);
}
}
return fxMatrix;
}
/**
* Gets the value requirement names that this function can produce
*
* @return The value requirement names
*/
@SuppressWarnings("synthetic-access")
protected String[] getValueRequirementNames() {
return _valueRequirements;
}
/**
* Gets the properties for the results given a target.
* <p>
* Depending on the target, there may be multiple forms of each value name that can be produced. The total set of outputs is the cross of all value names against all properties in the collection
* returned here
*
* @param context The compilation context, not null
* @param target The target, not null
* @return The result properties, not null and not containing nulls. An empty collection will result in no published outputs.
*/
protected abstract Collection<ValueProperties.Builder> getResultProperties(FunctionCompilationContext context, ComputationTarget target);
/**
* Checks that all constraints have values.
*
* @param constraints The constraints, not null
* @return True if all of the constraints have been set
*/
protected abstract boolean requirementsSet(ValueProperties constraints);
/**
* Gets the constraints that are common to all input curves.
*
* @param target The target, not null
* @param constraints The constraints from the desired value to be satisfied
* @return The common curve constraints
*/
protected abstract ValueProperties.Builder getCurveConstraints(ComputationTarget target, ValueProperties constraints);
/**
* Gets the constraints that are common to all input curves.
*
* @param target The target, not null
* @param constraints The constraints from the desired value to be satisfied
* @return The common curve constraints
* @deprecated Don't call, or override, this method. It's name is misleading - it's returning constraints, not properties.
*/
@Deprecated
protected final ValueProperties.Builder getCurveProperties(final ComputationTarget target, final ValueProperties constraints) {
return getCurveConstraints(target, constraints);
}
/**
* Calculates the result.
*
* @param executionContext The execution context, not null
* @param inputs The inputs, not null
* @param target The target, not null
* @param desiredValues The desired values for this function, not null
* @param derivative The derivative, not null
* @param fxMatrix The FX matrix, not null
* @return The results
*/
protected abstract Set<ComputedValue> getValues(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues,
InstrumentDerivative derivative, FXMatrix fxMatrix);
}
}