/**
* 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.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_EXPOSURES;
import static com.opengamma.engine.value.ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_DEFINITION;
import static com.opengamma.engine.value.ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES;
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 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.math.matrix.DoubleMatrix1D;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.analytics.DoubleLabelledMatrix1D;
import com.opengamma.financial.analytics.curve.CurveDefinition;
import com.opengamma.financial.analytics.model.multicurve.MultiCurveUtils;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Calculates the node sensitivities to the market quotes of a bond or bond future for all curves
* to which the instruments are sensitive.
*/
public class BondAndBondFutureYCNSFunction extends BondAndBondFutureFromCurvesFunction<ParameterIssuerProviderInterface, MultipleCurrencyMulticurveSensitivity> {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(BondAndBondFutureYCNSFunction.class);
/**
* Sets the value requirement name to {@link ValueRequirementNames#YIELD_CURVE_NODE_SENSITIVITIES} and
* sets the calculator to null.
*/
public BondAndBondFutureYCNSFunction() {
super(YIELD_CURVE_NODE_SENSITIVITIES, null);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext context, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final MultipleCurrencyParameterSensitivity sensitivities = (MultipleCurrencyParameterSensitivity) inputs.getValue(BLOCK_CURVE_SENSITIVITIES);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties properties = desiredValue.getConstraints();
final String desiredCurveName = desiredValue.getConstraint(CURVE);
final Map<Pair<String, Currency>, DoubleMatrix1D> entries = sensitivities.getSensitivities();
final Set<ComputedValue> results = new HashSet<>();
for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
final String curveName = entry.getKey().getFirst();
if (desiredCurveName.equals(curveName)) {
final ValueProperties curveSpecificProperties = properties.copy()
.withoutAny(CURVE)
.with(CURVE, curveName)
.get();
final CurveDefinition curveDefinition = (CurveDefinition) inputs.getValue(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL,
ValueProperties.builder().with(CURVE, curveName).get()));
final DoubleLabelledMatrix1D ycns = MultiCurveUtils.getLabelledMatrix(entry.getValue(), curveDefinition);
final ValueSpecification spec = new ValueSpecification(YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), curveSpecificProperties);
results.add(new ComputedValue(spec, ycns));
return results;
}
}
s_logger.info("Could not get sensitivities to " + desiredCurveName + " for " + target.getName());
return Collections.emptySet();
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, 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> curveExposureConfigs = constraints.getValues(CURVE_EXPOSURES);
if (curveExposureConfigs == null) {
return null;
}
final Set<String> curveType = constraints.getValues(PROPERTY_CURVE_TYPE);
if (curveType == null) {
return null;
}
if (super.getRequirements(context, target, desiredValue) == null) {
return null;
}
final Set<ValueRequirement> requirements = new HashSet<>();
final ValueProperties curveProperties = ValueProperties
.with(CURVE, curveNames)
.get();
final ValueProperties properties = ValueProperties
.with(PROPERTY_CURVE_TYPE, curveType)
.with(CURVE_EXPOSURES, curveExposureConfigs)
.get();
requirements.add(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, curveProperties));
requirements.add(new ValueRequirement(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties));
return requirements;
}
@Override
protected Collection<ValueProperties.Builder> getResultProperties(final ComputationTarget target) {
final Collection<ValueProperties.Builder> properties = super.getResultProperties(target);
final Collection<ValueProperties.Builder> result = new HashSet<>();
for (final ValueProperties.Builder builder : properties) {
result.add(builder
.withAny(CURVE));
}
return result;
}
}