/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.sesame.sabr;
import static com.opengamma.sesame.sabr.SabrSurfaceSelector.SabrSurfaceName.ALPHA;
import static com.opengamma.sesame.sabr.SabrSurfaceSelector.SabrSurfaceName.BETA;
import static com.opengamma.sesame.sabr.SabrSurfaceSelector.SabrSurfaceName.NU;
import static com.opengamma.sesame.sabr.SabrSurfaceSelector.SabrSurfaceName.RHO;
import java.util.List;
import java.util.Map;
import java.util.NoSuchElementException;
import java.util.Set;
import org.joda.beans.Bean;
import org.joda.beans.BeanDefinition;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaProperty;
import org.joda.beans.Property;
import org.joda.beans.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import org.threeten.bp.Period;
import com.google.common.base.Function;
import com.google.common.collect.Lists;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters;
import com.opengamma.analytics.math.interpolation.GridInterpolator2D;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator2D;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.core.link.ConfigLink;
import com.opengamma.financial.convention.SwapFixedLegConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventions;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCounts;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.result.Result;
import com.opengamma.util.tuple.Triple;
/**
* Config object holding links to other configuration
* objects which define the data required for pricing
* a swaption using SABR data.
*/
@BeanDefinition
public class SabrSwaptionConfig implements ImmutableBean {
/**
* Link pointing to a config object holding the SABR surface
* data required for pricing swaptions.
*/
@PropertyDefinition(validate = "notNull")
private final ConfigLink<SabrSwaptionDataConfig> _sabrDataConfig;
/**
* Link pointing to a config object holding the interpolation
* required for SABR surfaces.
*/
@PropertyDefinition(validate = "notNull")
private final ConfigLink<SabrSwaptionInterpolationConfig> _sabrInterpolationConfig;
/**
* Create the SABR configuration required to enable pricing
* of the supplied swaption security.
*
* @param security the swaption to get SABR data for, not null
* @return a result containing a the SABR configuration if
* successful, a failure otherwise
*/
public Result<SabrParametersConfiguration> createSABRParametersConfig(SwaptionSecurity security) {
Interpolator2D interpolator = create2dInterpolator();
Currency currency = security.getCurrency();
SabrSwaptionDataConfig dataConfig = _sabrDataConfig.resolve();
Result<SabrSurfaceSelector<SwapFixedLegConvention, SabrExpiryTenorSurface>> selectorResult =
dataConfig.findSurfaceSelector(currency);
if (selectorResult.isSuccess()) {
SabrSurfaceSelector<SwapFixedLegConvention, SabrExpiryTenorSurface> selector = selectorResult.getValue();
Result<SabrExpiryTenorSurface> alphaSurface = selector.findSabrSurface(ALPHA);
Result<SabrExpiryTenorSurface> betaSurface = selector.findSabrSurface(BETA);
Result<SabrExpiryTenorSurface> rhoSurface = selector.findSabrSurface(RHO);
Result<SabrExpiryTenorSurface> nuSurface = selector.findSabrSurface(NU);
if (Result.allSuccessful(alphaSurface, betaSurface, rhoSurface, nuSurface)) {
InterpolatedDoublesSurface alpha = createSurface(alphaSurface.getValue(), interpolator);
InterpolatedDoublesSurface beta = createSurface(betaSurface.getValue(), interpolator);
InterpolatedDoublesSurface rho = createSurface(rhoSurface.getValue(), interpolator);
InterpolatedDoublesSurface nu = createSurface(nuSurface.getValue(), interpolator);
SABRInterestRateParameters params = new SABRInterestRateParameters(alpha, beta, rho, nu);
SwapFixedLegConvention convention = selector.getConvention().resolve();
return Result.success(new SabrParametersConfiguration(params, createSwapGenerator(convention)));
} else {
return Result.failure(alphaSurface, betaSurface, rhoSurface, nuSurface);
}
} else {
return Result.failure(selectorResult);
}
}
private Interpolator2D create2dInterpolator() {
SabrSwaptionInterpolationConfig interpolationConfig = _sabrInterpolationConfig.resolve();
Interpolator1D expiryInterpolator = interpolationConfig.createCombinedExpiryInterpolator();
Interpolator1D tenorInterpolator = interpolationConfig.createCombinedTenorInterpolator();
return new GridInterpolator2D(expiryInterpolator, tenorInterpolator);
}
private GeneratorSwapFixedIbor createSwapGenerator(SwapFixedLegConvention convention) {
// This is ugly in the extreme. The swap generator we are creating is only needed
// so that analytics code can read the fixed leg day count from it. Unfortunately,
// we need a whole load of scaffolding to create an instance successfully. This
// method provides the scaffolding.
// TODO - PLAT-6441 should provide utilities to alleviate this
// None of the inputs here matter as this index is never
// actually used for anything apart from constructing the generator
IborIndex dummyIndex = new IborIndex(Currency.USD, Period.ofMonths(6), 0,
DayCounts.ACT_360, BusinessDayConventions.NONE, false, "dummy");
// Similar to above, the only input that is actually used is the day count
return new GeneratorSwapFixedIbor("dummy", Period.ofDays(0), convention.getDayCount(),
dummyIndex, new MondayToFridayCalendar("dummy"));
}
private InterpolatedDoublesSurface createSurface(SabrExpiryTenorSurface sabrExpiryTenorSurface,
Interpolator2D interpolator) {
List<Triple<Double, Double, Double>> xyzData = Lists.transform(sabrExpiryTenorSurface.getSabrData(),
new Function<SabrNode, Triple<Double, Double, Double>>() {
@Override
public Triple<Double, Double, Double> apply(SabrNode input) {
return Triple.of(input.getX(), input.getY(), input.getZ());
}
});
return new InterpolatedDoublesSurface(xyzData, interpolator);
}
//------------------------- AUTOGENERATED START -------------------------
///CLOVER:OFF
/**
* The meta-bean for {@code SabrSwaptionConfig}.
* @return the meta-bean, not null
*/
public static SabrSwaptionConfig.Meta meta() {
return SabrSwaptionConfig.Meta.INSTANCE;
}
static {
JodaBeanUtils.registerMetaBean(SabrSwaptionConfig.Meta.INSTANCE);
}
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static SabrSwaptionConfig.Builder builder() {
return new SabrSwaptionConfig.Builder();
}
/**
* Restricted constructor.
* @param builder the builder to copy from, not null
*/
protected SabrSwaptionConfig(SabrSwaptionConfig.Builder builder) {
JodaBeanUtils.notNull(builder._sabrDataConfig, "sabrDataConfig");
JodaBeanUtils.notNull(builder._sabrInterpolationConfig, "sabrInterpolationConfig");
this._sabrDataConfig = builder._sabrDataConfig;
this._sabrInterpolationConfig = builder._sabrInterpolationConfig;
}
@Override
public SabrSwaptionConfig.Meta metaBean() {
return SabrSwaptionConfig.Meta.INSTANCE;
}
@Override
public <R> Property<R> property(String propertyName) {
return metaBean().<R>metaProperty(propertyName).createProperty(this);
}
@Override
public Set<String> propertyNames() {
return metaBean().metaPropertyMap().keySet();
}
//-----------------------------------------------------------------------
/**
* Gets link pointing to a config object holding the SABR surface
* data required for pricing swaptions.
* @return the value of the property, not null
*/
public ConfigLink<SabrSwaptionDataConfig> getSabrDataConfig() {
return _sabrDataConfig;
}
//-----------------------------------------------------------------------
/**
* Gets link pointing to a config object holding the interpolation
* required for SABR surfaces.
* @return the value of the property, not null
*/
public ConfigLink<SabrSwaptionInterpolationConfig> getSabrInterpolationConfig() {
return _sabrInterpolationConfig;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
SabrSwaptionConfig other = (SabrSwaptionConfig) obj;
return JodaBeanUtils.equal(getSabrDataConfig(), other.getSabrDataConfig()) &&
JodaBeanUtils.equal(getSabrInterpolationConfig(), other.getSabrInterpolationConfig());
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(getSabrDataConfig());
hash = hash * 31 + JodaBeanUtils.hashCode(getSabrInterpolationConfig());
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("SabrSwaptionConfig{");
int len = buf.length();
toString(buf);
if (buf.length() > len) {
buf.setLength(buf.length() - 2);
}
buf.append('}');
return buf.toString();
}
protected void toString(StringBuilder buf) {
buf.append("sabrDataConfig").append('=').append(JodaBeanUtils.toString(getSabrDataConfig())).append(',').append(' ');
buf.append("sabrInterpolationConfig").append('=').append(JodaBeanUtils.toString(getSabrInterpolationConfig())).append(',').append(' ');
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code SabrSwaptionConfig}.
*/
public static class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code sabrDataConfig} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty<ConfigLink<SabrSwaptionDataConfig>> _sabrDataConfig = DirectMetaProperty.ofImmutable(
this, "sabrDataConfig", SabrSwaptionConfig.class, (Class) ConfigLink.class);
/**
* The meta-property for the {@code sabrInterpolationConfig} property.
*/
@SuppressWarnings({"unchecked", "rawtypes" })
private final MetaProperty<ConfigLink<SabrSwaptionInterpolationConfig>> _sabrInterpolationConfig = DirectMetaProperty.ofImmutable(
this, "sabrInterpolationConfig", SabrSwaptionConfig.class, (Class) ConfigLink.class);
/**
* The meta-properties.
*/
private final Map<String, MetaProperty<?>> _metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"sabrDataConfig",
"sabrInterpolationConfig");
/**
* Restricted constructor.
*/
protected Meta() {
}
@Override
protected MetaProperty<?> metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case -1116125878: // sabrDataConfig
return _sabrDataConfig;
case -1777261048: // sabrInterpolationConfig
return _sabrInterpolationConfig;
}
return super.metaPropertyGet(propertyName);
}
@Override
public SabrSwaptionConfig.Builder builder() {
return new SabrSwaptionConfig.Builder();
}
@Override
public Class<? extends SabrSwaptionConfig> beanType() {
return SabrSwaptionConfig.class;
}
@Override
public Map<String, MetaProperty<?>> metaPropertyMap() {
return _metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code sabrDataConfig} property.
* @return the meta-property, not null
*/
public final MetaProperty<ConfigLink<SabrSwaptionDataConfig>> sabrDataConfig() {
return _sabrDataConfig;
}
/**
* The meta-property for the {@code sabrInterpolationConfig} property.
* @return the meta-property, not null
*/
public final MetaProperty<ConfigLink<SabrSwaptionInterpolationConfig>> sabrInterpolationConfig() {
return _sabrInterpolationConfig;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case -1116125878: // sabrDataConfig
return ((SabrSwaptionConfig) bean).getSabrDataConfig();
case -1777261048: // sabrInterpolationConfig
return ((SabrSwaptionConfig) bean).getSabrInterpolationConfig();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code SabrSwaptionConfig}.
*/
public static class Builder extends DirectFieldsBeanBuilder<SabrSwaptionConfig> {
private ConfigLink<SabrSwaptionDataConfig> _sabrDataConfig;
private ConfigLink<SabrSwaptionInterpolationConfig> _sabrInterpolationConfig;
/**
* Restricted constructor.
*/
protected Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
protected Builder(SabrSwaptionConfig beanToCopy) {
this._sabrDataConfig = beanToCopy.getSabrDataConfig();
this._sabrInterpolationConfig = beanToCopy.getSabrInterpolationConfig();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case -1116125878: // sabrDataConfig
return _sabrDataConfig;
case -1777261048: // sabrInterpolationConfig
return _sabrInterpolationConfig;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@SuppressWarnings("unchecked")
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case -1116125878: // sabrDataConfig
this._sabrDataConfig = (ConfigLink<SabrSwaptionDataConfig>) newValue;
break;
case -1777261048: // sabrInterpolationConfig
this._sabrInterpolationConfig = (ConfigLink<SabrSwaptionInterpolationConfig>) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty<?> property, Object value) {
super.set(property, value);
return this;
}
@Override
public Builder setString(String propertyName, String value) {
setString(meta().metaProperty(propertyName), value);
return this;
}
@Override
public Builder setString(MetaProperty<?> property, String value) {
super.setString(property, value);
return this;
}
@Override
public Builder setAll(Map<String, ? extends Object> propertyValueMap) {
super.setAll(propertyValueMap);
return this;
}
@Override
public SabrSwaptionConfig build() {
return new SabrSwaptionConfig(this);
}
//-----------------------------------------------------------------------
/**
* Sets the {@code sabrDataConfig} property in the builder.
* @param sabrDataConfig the new value, not null
* @return this, for chaining, not null
*/
public Builder sabrDataConfig(ConfigLink<SabrSwaptionDataConfig> sabrDataConfig) {
JodaBeanUtils.notNull(sabrDataConfig, "sabrDataConfig");
this._sabrDataConfig = sabrDataConfig;
return this;
}
/**
* Sets the {@code sabrInterpolationConfig} property in the builder.
* @param sabrInterpolationConfig the new value, not null
* @return this, for chaining, not null
*/
public Builder sabrInterpolationConfig(ConfigLink<SabrSwaptionInterpolationConfig> sabrInterpolationConfig) {
JodaBeanUtils.notNull(sabrInterpolationConfig, "sabrInterpolationConfig");
this._sabrInterpolationConfig = sabrInterpolationConfig;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(96);
buf.append("SabrSwaptionConfig.Builder{");
int len = buf.length();
toString(buf);
if (buf.length() > len) {
buf.setLength(buf.length() - 2);
}
buf.append('}');
return buf.toString();
}
protected void toString(StringBuilder buf) {
buf.append("sabrDataConfig").append('=').append(JodaBeanUtils.toString(_sabrDataConfig)).append(',').append(' ');
buf.append("sabrInterpolationConfig").append('=').append(JodaBeanUtils.toString(_sabrInterpolationConfig)).append(',').append(' ');
}
}
///CLOVER:ON
//-------------------------- AUTOGENERATED END --------------------------
}