/**
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.measure.fra;
import java.util.HashMap;
import java.util.HashSet;
import java.util.Map;
import java.util.Optional;
import java.util.Set;
import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.calc.Measure;
import com.opengamma.strata.calc.runner.CalculationFunction;
import com.opengamma.strata.calc.runner.CalculationParameters;
import com.opengamma.strata.calc.runner.FunctionRequirements;
import com.opengamma.strata.collect.result.FailureReason;
import com.opengamma.strata.collect.result.Result;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.measure.AdvancedMeasures;
import com.opengamma.strata.measure.Measures;
import com.opengamma.strata.measure.rate.RatesMarketDataLookup;
import com.opengamma.strata.measure.rate.RatesScenarioMarketData;
import com.opengamma.strata.product.fra.Fra;
import com.opengamma.strata.product.fra.FraTrade;
import com.opengamma.strata.product.fra.ResolvedFraTrade;
/**
* Perform calculations on a single {@code FraTrade} for each of a set of scenarios.
* <p>
* This uses the standard discounting calculation method.
* An instance of {@link RatesMarketDataLookup} must be specified.
* The supported built-in measures are:
* <ul>
* <li>{@linkplain Measures#PRESENT_VALUE Present value}
* <li>{@linkplain Measures#EXPLAIN_PRESENT_VALUE Explain present value}
* <li>{@linkplain Measures#PV01_CALIBRATED_SUM PV01 calibrated sum}
* <li>{@linkplain Measures#PV01_CALIBRATED_BUCKETED PV01 calibrated bucketed}
* <li>{@linkplain Measures#PV01_MARKET_QUOTE_SUM PV01 market quote sum}
* <li>{@linkplain Measures#PV01_MARKET_QUOTE_BUCKETED PV01 market quote bucketed}
* <li>{@linkplain Measures#PAR_RATE Par rate}
* <li>{@linkplain Measures#PAR_SPREAD Par spread}
* <li>{@linkplain Measures#CASH_FLOWS Cash flows}
* <li>{@linkplain Measures#CURRENCY_EXPOSURE Currency exposure}
* <li>{@linkplain Measures#CURRENT_CASH Current cash}
* <li>{@linkplain Measures#RESOLVED_TARGET Resolved trade}
* <li>{@linkplain AdvancedMeasures#PV01_SEMI_PARALLEL_GAMMA_BUCKETED PV01 semi-parallel gamma bucketed}
* <li>{@linkplain AdvancedMeasures#PV01_SINGLE_NODE_GAMMA_BUCKETED PV01 single node gamma bucketed}
* </ul>
*/
public class FraTradeCalculationFunction
implements CalculationFunction<FraTrade> {
/**
* The calculations by measure.
*/
private static final ImmutableMap<Measure, SingleMeasureCalculation> CALCULATORS =
ImmutableMap.<Measure, SingleMeasureCalculation>builder()
.put(Measures.PRESENT_VALUE, FraMeasureCalculations.DEFAULT::presentValue)
.put(Measures.EXPLAIN_PRESENT_VALUE, FraMeasureCalculations.DEFAULT::explainPresentValue)
.put(Measures.PV01_CALIBRATED_SUM, FraMeasureCalculations.DEFAULT::pv01CalibratedSum)
.put(Measures.PV01_CALIBRATED_BUCKETED, FraMeasureCalculations.DEFAULT::pv01CalibratedBucketed)
.put(Measures.PV01_MARKET_QUOTE_SUM, FraMeasureCalculations.DEFAULT::pv01MarketQuoteSum)
.put(Measures.PV01_MARKET_QUOTE_BUCKETED, FraMeasureCalculations.DEFAULT::pv01MarketQuoteBucketed)
.put(Measures.PAR_RATE, FraMeasureCalculations.DEFAULT::parRate)
.put(Measures.PAR_SPREAD, FraMeasureCalculations.DEFAULT::parSpread)
.put(Measures.CASH_FLOWS, FraMeasureCalculations.DEFAULT::cashFlows)
.put(Measures.CURRENCY_EXPOSURE, FraMeasureCalculations.DEFAULT::currencyExposure)
.put(Measures.CURRENT_CASH, FraMeasureCalculations.DEFAULT::currentCash)
.put(Measures.RESOLVED_TARGET, (rt, smd) -> rt)
.put(AdvancedMeasures.PV01_SEMI_PARALLEL_GAMMA_BUCKETED, FraMeasureCalculations.DEFAULT::pv01SemiParallelGammaBucketed)
.put(AdvancedMeasures.PV01_SINGLE_NODE_GAMMA_BUCKETED, FraMeasureCalculations.DEFAULT::pv01SingleNodeGammaBucketed)
.build();
private static final ImmutableSet<Measure> MEASURES = CALCULATORS.keySet();
/**
* Creates an instance.
*/
public FraTradeCalculationFunction() {
}
//-------------------------------------------------------------------------
@Override
public Class<FraTrade> targetType() {
return FraTrade.class;
}
@Override
public Set<Measure> supportedMeasures() {
return MEASURES;
}
@Override
public Optional<String> identifier(FraTrade target) {
return target.getInfo().getId().map(id -> id.toString());
}
@Override
public Currency naturalCurrency(FraTrade trade, ReferenceData refData) {
return trade.getProduct().getCurrency();
}
//-------------------------------------------------------------------------
@Override
public FunctionRequirements requirements(
FraTrade trade,
Set<Measure> measures,
CalculationParameters parameters,
ReferenceData refData) {
// extract data from product
Fra product = trade.getProduct();
Set<IborIndex> indices = new HashSet<>();
indices.add(product.getIndex());
product.getIndexInterpolated().ifPresent(indices::add);
ImmutableSet<Currency> currencies = ImmutableSet.of(product.getCurrency());
// use lookup to build requirements
RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class);
return ratesLookup.requirements(currencies, indices);
}
//-------------------------------------------------------------------------
@Override
public Map<Measure, Result<?>> calculate(
FraTrade trade,
Set<Measure> measures,
CalculationParameters parameters,
ScenarioMarketData scenarioMarketData,
ReferenceData refData) {
// resolve the trade once for all measures and all scenarios
ResolvedFraTrade resolved = trade.resolve(refData);
// use lookup to query market data
RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class);
RatesScenarioMarketData marketData = ratesLookup.marketDataView(scenarioMarketData);
// loop around measures, calculating all scenarios for one measure
Map<Measure, Result<?>> results = new HashMap<>();
for (Measure measure : measures) {
results.put(measure, calculate(measure, resolved, marketData));
}
return results;
}
// calculate one measure
private Result<?> calculate(
Measure measure,
ResolvedFraTrade trade,
RatesScenarioMarketData marketData) {
SingleMeasureCalculation calculator = CALCULATORS.get(measure);
if (calculator == null) {
return Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for FraTrade: {}", measure);
}
return Result.of(() -> calculator.calculate(trade, marketData));
}
//-------------------------------------------------------------------------
@FunctionalInterface
interface SingleMeasureCalculation {
public abstract Object calculate(
ResolvedFraTrade trade,
RatesScenarioMarketData marketData);
}
}