InflationBondYCNSFromCurvesFunction.java example

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/**
 * 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.inflationbondcurves;

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.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.inflation.InflationIssuerProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity;
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 yield curve node sensitivities of a linked bond  for all curves to which the instruments are sensitive.
 */
public class InflationBondYCNSFromCurvesFunction extends InflationBondFromCurvesFunction<InflationIssuerProviderInterface, MultipleCurrencyInflationSensitivity> {
  /** The logger */
  private static final Logger s_logger = LoggerFactory.getLogger(InflationBondYCNSFromCurvesFunction.class);

  /**
   * Sets the value requirement name to {@link ValueRequirementNames#YIELD_CURVE_NODE_SENSITIVITIES} and
   * sets the calculator to null.
   */
  public InflationBondYCNSFromCurvesFunction() {
    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;
  }

}