/**
* 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.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_EXPOSURES;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_SENSITIVITY_CURRENCY;
import static com.opengamma.engine.value.ValuePropertyNames.FUNCTION;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_BUNDLE;
import static com.opengamma.engine.value.ValueRequirementNames.PV01;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.DISCOUNTING;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.PROPERTY_CURVE_TYPE;
import java.util.Collection;
import java.util.Collections;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Instant;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.discounting.PV01CurveParametersCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.PresentValueCurveSensitivityIssuerCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderInterface;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterIssuerProviderInterface;
import com.opengamma.analytics.util.amount.ReferenceAmount;
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.swap.BondTotalReturnSwapSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Calculates the PV01 of a bond total return swap security.
*/
public class BondTotalReturnSwapPV01Function extends BondTotalReturnSwapFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(BondTotalReturnSwapPV01Function.class);
/** The calculator */
private static final InstrumentDerivativeVisitor<ParameterIssuerProviderInterface, ReferenceAmount<Pair<String, Currency>>> CALCULATOR =
new PV01CurveParametersCalculator<>(PresentValueCurveSensitivityIssuerCalculator.getInstance());
/**
* Sets the value requirement to {@link ValueRequirementNames#PV01}.
*/
public BondTotalReturnSwapPV01Function() {
super(PV01);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new BondTotalReturnSwapCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@SuppressWarnings("synthetic-access")
@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 IssuerProviderInterface issuerCurves = getMergedWithIssuerProviders(inputs, fxMatrix);
final ReferenceAmount<Pair<String, Currency>> pv01 = derivative.accept(CALCULATOR, issuerCurves);
final Set<ComputedValue> results = new HashSet<>();
for (final ValueRequirement desiredValue : desiredValues) {
boolean desiredCurveFound = false;
final ValueProperties properties = desiredValue.getConstraints().copy().get();
final String desiredCurveName = properties.getStrictValue(CURVE);
final String desiredSensitivityCurrency = properties.getStrictValue(CURVE_SENSITIVITY_CURRENCY);
for (final Map.Entry<Pair<String, Currency>, Double> entry : pv01.getMap().entrySet()) {
final String curveName = entry.getKey().getFirst();
final String currency = entry.getKey().getSecond().getCode();
if (desiredCurveName.equals(curveName) && desiredSensitivityCurrency.equals(currency)) {
desiredCurveFound = true;
final ValueProperties curveSpecificProperties = properties.copy()
.withoutAny(CURRENCY)
.with(CURRENCY, currency)
.withoutAny(CURVE_SENSITIVITY_CURRENCY)
.with(CURVE_SENSITIVITY_CURRENCY, currency)
.withoutAny(CURVE)
.with(CURVE, curveName)
.get();
final ValueSpecification spec = new ValueSpecification(PV01, target.toSpecification(), curveSpecificProperties);
results.add(new ComputedValue(spec, entry.getValue()));
}
}
if (!desiredCurveFound) {
final ValueSpecification spec = new ValueSpecification(PV01, target.toSpecification(), properties);
results.add(new ComputedValue(spec, 0.));
}
}
return results;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext compilationContext, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveNames = constraints.getValues(CURVE);
if (curveNames == null || curveNames.size() != 1) {
return null;
}
final Set<String> curveSensitivityCurrencies = constraints.getValues(CURVE_SENSITIVITY_CURRENCY);
if (curveSensitivityCurrencies == null || curveSensitivityCurrencies.size() != 1) {
return null;
}
return super.getRequirements(context, target, desiredValue);
}
@SuppressWarnings("synthetic-access")
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext compilationContext, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final Set<String> currencies = new HashSet<>();
final Set<String> curveNames = new HashSet<>();
final Set<String> functionNames = new HashSet<>();
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification specification = entry.getKey();
if (specification.getValueName().equals(CURVE_BUNDLE)) {
final ValueProperties constraints = specification.getProperties();
currencies.addAll(constraints.getValues(CURVE_SENSITIVITY_CURRENCY));
curveNames.addAll(constraints.getValues(CURVE));
functionNames.add(constraints.getSingleValue(FUNCTION));
}
}
if (currencies.isEmpty() || curveNames.isEmpty()) {
s_logger.error("Could not get currencies or curve name properties; have not been set in function(s) called {}", functionNames);
return null;
}
final Set<ValueSpecification> results = new HashSet<>();
for (final String currency : currencies) {
for (final String curveName : curveNames) {
final ValueProperties properties = createValueProperties()
.with(PROPERTY_CURVE_TYPE, DISCOUNTING)
.withAny(CURVE_EXPOSURES)
.with(CURRENCY, currency)
.with(CURVE_SENSITIVITY_CURRENCY, currency)
.with(CURVE, curveName)
.get();
results.add(new ValueSpecification(PV01, target.toSpecification(), properties));
}
}
return results;
}
@SuppressWarnings("synthetic-access")
@Override
protected Collection<ValueProperties.Builder> getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final ValueProperties.Builder properties = createValueProperties()
.with(PROPERTY_CURVE_TYPE, DISCOUNTING)
.withAny(CURVE_EXPOSURES)
.withAny(CURVE_SENSITIVITY_CURRENCY)
.withoutAny(CURRENCY)
.withAny(CURRENCY)
.withAny(CURVE);
return Collections.singleton(properties);
}
@Override
protected String getCurrencyOfResult(final BondTotalReturnSwapSecurity security) {
throw new IllegalStateException("BondTotalReturnSwapPV01Function does not set the Currency property in this method");
}
};
}
}