/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.trs;
import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY;
import static com.opengamma.engine.value.ValueRequirementNames.VALUE_THETA;
import static com.opengamma.financial.analytics.model.horizon.ThetaPropertyNamesAndValues.PROPERTY_DAYS_TO_MOVE_FORWARD;
import static com.opengamma.financial.analytics.model.horizon.ThetaPropertyNamesAndValues.PROPERTY_THETA_CALCULATION_METHOD;
import static com.opengamma.financial.analytics.model.horizon.ThetaPropertyNamesAndValues.THETA_CONSTANT_SPREAD;
import java.util.Collection;
import java.util.Collections;
import java.util.HashSet;
import java.util.Set;
import org.threeten.bp.Instant;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.horizon.BondTrsConstantSpreadHorizonCalculator;
import com.opengamma.analytics.financial.horizon.HorizonCalculator;
import com.opengamma.analytics.financial.instrument.bond.BondTotalReturnSwapDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderInterface;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.position.Trade;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.SecuritySource;
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.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.CalendarUtils;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.security.swap.BondTotalReturnSwapSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Calculates the value theta of a bond total return swap security.
*/
public class BondTotalReturnSwapConstantSpreadThetaFunction extends BondTotalReturnSwapFunction {
/** The calculator */
private static final HorizonCalculator<BondTotalReturnSwapDefinition, IssuerProviderInterface, ZonedDateTimeDoubleTimeSeries> CALCULATOR =
BondTrsConstantSpreadHorizonCalculator.getInstance();
/**
* Sets the value requirement to {@link ValueRequirementNames#VALUE_THETA}.
*/
public BondTotalReturnSwapConstantSpreadThetaFunction() {
super(VALUE_THETA);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new BondTotalReturnSwapCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@SuppressWarnings("synthetic-access")
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ValueProperties properties = desiredValue.getConstraints();
final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final Trade trade = target.getTrade();
final BondTotalReturnSwapSecurity security = (BondTotalReturnSwapSecurity) trade.getSecurity();
final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
final FXMatrix fxMatrix = getFXMatrix(inputs, target, securitySource);
final IssuerProviderInterface issuerCurves = getMergedWithIssuerProviders(inputs, fxMatrix);
final BondTotalReturnSwapDefinition definition = (BondTotalReturnSwapDefinition) getTargetToDefinitionConverter(context).convert(trade);
final int daysForward = Integer.parseInt(desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD));
final ZonedDateTimeDoubleTimeSeries fixingSeries = TotalReturnSwapUtils.getIndexTimeSeries(security.getFundingLeg(), security.getEffectiveDate(), now, timeSeries);
final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
final Set<ExternalId> fixingDateCalendars = security.getFundingLeg().getFixingDateCalendars();
if (fixingDateCalendars.size() != 1) {
throw new OpenGammaRuntimeException("Cannot handle more than one fixing date calendar");
}
final Calendar calendar = CalendarUtils.getCalendar(regionSource, holidaySource, Iterables.getOnlyElement(fixingDateCalendars));
final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, issuerCurves, daysForward, calendar, fixingSeries);
if (theta.size() != 1) {
throw new OpenGammaRuntimeException("Got result with more than one currency for theta: " + theta);
}
final ValueSpecification spec = new ValueSpecification(VALUE_THETA, target.toSpecification(), properties);
final Currency currency = Currency.of(getCurrencyOfResult(security));
return Collections.singleton(new ComputedValue(spec, theta.getAmount(currency)));
}
@Override
protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative, final FXMatrix fxMatrix) {
throw new IllegalStateException("Should never reach this code");
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext compilationContext, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> daysForward = constraints.getValues(PROPERTY_DAYS_TO_MOVE_FORWARD);
if (daysForward == null || daysForward.size() != 1) {
return null;
}
return super.getRequirements(compilationContext, target, desiredValue);
}
@Override
protected Collection<ValueProperties.Builder> getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final Collection<ValueProperties.Builder> properties = super.getResultProperties(compilationContext, target);
final Collection<ValueProperties.Builder> result = new HashSet<>();
for (final ValueProperties.Builder builder : properties) {
result.add(builder
.withAny(PROPERTY_DAYS_TO_MOVE_FORWARD)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.with(CURRENCY, getCurrencyOfResult((BondTotalReturnSwapSecurity) target.getTrade().getSecurity())));
}
return result;
}
@Override
protected String getCurrencyOfResult(final BondTotalReturnSwapSecurity security) {
return security.getNotionalCurrency().getCode();
}
};
}
}