/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.bondcurves;
import static com.opengamma.engine.value.ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_BUNDLE;
import static com.opengamma.engine.value.ValueRequirementNames.JACOBIAN_BUNDLE;
import java.util.HashSet;
import java.util.Set;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.generic.MarketQuoteSensitivityBlockCalculator;
import com.opengamma.analytics.financial.provider.calculator.issuer.PresentValueCurveSensitivityIssuerCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.description.interestrate.ParameterIssuerProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.BondAndBondFutureFunctionUtils;
import com.opengamma.util.async.AsynchronousExecution;
/**
* Calculates the sensitivities to the market quotes of a bond or bond future for all curves
* to which the instruments are sensitive.
*/
public class BondAndBondFutureBCSFunction extends BondAndBondFutureFromCurvesFunction<ParameterIssuerProviderInterface, MultipleCurrencyMulticurveSensitivity> {
/** The curve sensitivity calculator */
private static final InstrumentDerivativeVisitor<ParameterIssuerProviderInterface, MultipleCurrencyMulticurveSensitivity> PVCSDC =
PresentValueCurveSensitivityIssuerCalculator.getInstance();
/** The parameter sensitivity calculator */
private static final ParameterSensitivityParameterCalculator<ParameterIssuerProviderInterface> PSC =
new ParameterSensitivityParameterCalculator<>(PVCSDC);
/** The market quote sensitivity calculator */
private static final MarketQuoteSensitivityBlockCalculator<ParameterIssuerProviderInterface> CALCULATOR =
new MarketQuoteSensitivityBlockCalculator<>(PSC);
/**
* Sets the value requirement name to {@link ValueRequirementNames#BLOCK_CURVE_SENSITIVITIES} and
* sets the calculator to null.
*/
public BondAndBondFutureBCSFunction() {
super(BLOCK_CURVE_SENSITIVITIES, null);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext context, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final ZonedDateTime now = ZonedDateTime.now(context.getValuationClock());
final InstrumentDerivative derivative = BondAndBondFutureFunctionUtils.getBondOrBondFutureDerivative(context, target, now, inputs);
final ParameterIssuerProviderInterface issuerCurves = (ParameterIssuerProviderInterface) inputs.getValue(CURVE_BUNDLE);
final CurveBuildingBlockBundle blocks = (CurveBuildingBlockBundle) inputs.getValue(JACOBIAN_BUNDLE);
final Set<ComputedValue> result = new HashSet<>();
final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, issuerCurves, blocks);
for (final ValueRequirement desiredValue : desiredValues) {
final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
result.add(new ComputedValue(spec, sensitivities));
}
return result;
}
}