/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.bondyield; import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY; import static com.opengamma.engine.value.ValueRequirementNames.PRESENT_VALUE; import java.util.Collections; import java.util.Set; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction; import com.opengamma.analytics.financial.interestrate.bond.provider.BondTransactionDiscountingMethod; import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProvider; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.function.FunctionInputs; import com.opengamma.engine.value.ComputedValue; import com.opengamma.engine.value.ValueProperties; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.engine.value.ValueSpecification; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.util.money.MultipleCurrencyAmount; /** * Calculates the present of a bond from the clean price and a curve bundle. */ public class BondPresentValueFromYieldFunction extends BondFromYieldAndCurvesFunction { /** The present value calculator */ private static final BondTransactionDiscountingMethod CALCULATOR = BondTransactionDiscountingMethod.getInstance(); /** * Sets the value requirement name to {@link ValueRequirementNames#PRESENT_VALUE}. */ public BondPresentValueFromYieldFunction() { super(PRESENT_VALUE); } @Override protected Set<ComputedValue> getResult(final FunctionInputs inputs, final BondFixedTransaction bond, final IssuerProvider issuerCurves, final double yield, final ValueSpecification spec) { final String expectedCurrency = spec.getProperty(CURRENCY); final MultipleCurrencyAmount pv = CALCULATOR.presentValueFromYield(bond, issuerCurves, yield); if (pv.size() != 1 || !(expectedCurrency.equals(pv.getCurrencyAmounts()[0].getCurrency().getCode()))) { throw new OpenGammaRuntimeException("Expecting a single result in " + expectedCurrency); } return Collections.singleton(new ComputedValue(spec, pv.getCurrencyAmounts()[0].getAmount())); } @Override protected ValueProperties.Builder getResultProperties(final ComputationTarget target) { final String currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode(); return super.getResultProperties(target) .with(CURRENCY, currency); } }