BondFutureOptionBlackYieldCurveNodePnLFunction.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.pnl;

import java.util.HashSet;
import java.util.Map;
import java.util.Set;

import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.target.ComputationTargetType;
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.security.option.BondFutureOptionSecurity;
import com.opengamma.id.UniqueId;

/**
 *
 */
public class BondFutureOptionBlackYieldCurveNodePnLFunction extends YieldCurveNodePnLFunction {

  @Override
  public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
    return target.getPosition().getSecurity() instanceof BondFutureOptionSecurity;
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    final ValueProperties properties = createValueProperties()
        .withAny(ValuePropertyNames.CURRENCY)
        .withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
        .withAny(ValuePropertyNames.SURFACE)
        .withAny(ValuePropertyNames.CURVE)
        .withAny(ValuePropertyNames.SAMPLING_PERIOD)
        .withAny(ValuePropertyNames.SCHEDULE_CALCULATOR)
        .withAny(ValuePropertyNames.SAMPLING_FUNCTION)
        .with(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS, ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES).get();
    return Sets.newHashSet(new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), properties));
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
    final Set<String> curveNames = new HashSet<String>();
    for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
      if (entry.getKey().getValueName().equals(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES)) {
        curveNames.add(entry.getValue().getConstraint(ValuePropertyNames.CURVE));
      }
    }
    assert !curveNames.isEmpty();
    final ValueProperties properties = createValueProperties()
        .withAny(ValuePropertyNames.CURRENCY)
        .withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
        .withAny(ValuePropertyNames.SURFACE)
        .with(ValuePropertyNames.CURVE, curveNames)
        .withAny(ValuePropertyNames.SAMPLING_PERIOD)
        .withAny(ValuePropertyNames.SCHEDULE_CALCULATOR)
        .withAny(ValuePropertyNames.SAMPLING_FUNCTION)
        .with(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS, ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES).get();
    return Sets.newHashSet(new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), properties));
  }

  @Override
  protected ValueRequirement getYCNSRequirement(final String currencyString, final String curveCalculationConfigName, final String yieldCurveName, final ComputationTarget target,
      final ValueProperties desiredValueProperties) {
    final String surfaceName = desiredValueProperties.getValues(ValuePropertyNames.SURFACE).iterator().next();
    final UniqueId uniqueId = Iterables.getOnlyElement(target.getPosition().getTrades()).getUniqueId();
    final ValueProperties properties = ValueProperties.builder()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(ValuePropertyNames.CURRENCY, currencyString)
        .with(ValuePropertyNames.CURVE_CURRENCY, currencyString)
        .with(ValuePropertyNames.CURVE, yieldCurveName)
        .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName).get();
    return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, ComputationTargetType.TRADE, uniqueId, properties);
  }

  @Override
  protected ValueProperties getResultProperties(final ValueRequirement desiredValue, final String currency, final String[] curveNames, final String curveCalculationConfig) {
    return createValueProperties()
        .with(ValuePropertyNames.CURRENCY, currency)
        .with(ValuePropertyNames.SURFACE, desiredValue.getConstraint(ValuePropertyNames.SURFACE))
        .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG))
        .with(ValuePropertyNames.CURVE, desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE))
        .with(ValuePropertyNames.SAMPLING_PERIOD, desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD))
        .with(ValuePropertyNames.SCHEDULE_CALCULATOR, desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR))
        .with(ValuePropertyNames.SAMPLING_FUNCTION, desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION))
        .with(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS, ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES).get();
  }

}