/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.curve.forward;
import java.util.Collections;
import java.util.HashMap;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.Instant;
import org.threeten.bp.LocalTime;
import org.threeten.bp.Period;
import org.threeten.bp.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.target.PrimitiveComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.forwardcurve.ConfigDBForwardSwapCurveDefinitionSource;
import com.opengamma.financial.analytics.forwardcurve.ConfigDBForwardSwapCurveSpecificationSource;
import com.opengamma.financial.analytics.forwardcurve.ForwardSwapCurveDefinition;
import com.opengamma.financial.analytics.forwardcurve.ForwardSwapCurveInstrumentProvider;
import com.opengamma.financial.analytics.forwardcurve.ForwardSwapCurveSpecification;
import com.opengamma.id.ExternalId;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.Tenor;
/**
*
*/
public class ForwardSwapCurveMarketDataFunction extends AbstractFunction {
private static final Logger s_logger = LoggerFactory.getLogger(ForwardSwapCurveMarketDataFunction.class);
/** Name of the calculation method */
public static final String FORWARD_SWAP_QUOTES = "ForwardSwapQuotes";
/** Name of the forward tenor property */
public static final String PROPERTY_FORWARD_TENOR = "ForwardTenor";
private ConfigDBForwardSwapCurveDefinitionSource _forwardSwapCurveDefinitionSource;
private ConfigDBForwardSwapCurveSpecificationSource _forwardSwapCurveSpecificationSource;
@Override
public void init(final FunctionCompilationContext context) {
_forwardSwapCurveDefinitionSource = ConfigDBForwardSwapCurveDefinitionSource.init(context, this);
_forwardSwapCurveSpecificationSource = ConfigDBForwardSwapCurveSpecificationSource.init(context, this);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000)) {
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.CURRENCY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = createValueProperties().withAny(ValuePropertyNames.CURVE).withAny(PROPERTY_FORWARD_TENOR).get();
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.FORWARD_SWAP_CURVE_MARKET_DATA, target.toSpecification(), properties);
return Collections.singleton(spec);
}
@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(ValuePropertyNames.CURVE);
if (curveNames == null || curveNames.size() != 1) {
return null;
}
final Set<String> forwardTenorNames = constraints.getValues(PROPERTY_FORWARD_TENOR);
if (forwardTenorNames == null || forwardTenorNames.size() != 1) {
return null;
}
final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
final String curveName = curveNames.iterator().next();
final String forwardTenorName = forwardTenorNames.iterator().next();
final ForwardSwapCurveDefinition definition = _forwardSwapCurveDefinitionSource.getDefinition(curveName, currency.toString());
if (definition == null) {
throw new OpenGammaRuntimeException("Couldn't find a forward swap curve definition called " + curveName + " with target " + target);
}
final ForwardSwapCurveSpecification specification = _forwardSwapCurveSpecificationSource.getSpecification(curveName, currency.toString());
if (specification == null) {
throw new OpenGammaRuntimeException("Couldn't find a forward swap curve specification called " + curveName + " with target " + target);
}
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
final ForwardSwapCurveInstrumentProvider provider = (ForwardSwapCurveInstrumentProvider) specification.getCurveInstrumentProvider();
final Tenor forwardTenor = Tenor.of(Period.parse(forwardTenorName));
for (final Tenor tenor : definition.getTenors()) {
final ExternalId identifier = provider.getInstrument(atZDT.toLocalDate(), tenor, forwardTenor);
requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier));
}
requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument(forwardTenor)));
return requirements;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String forwardTenorName = desiredValue.getConstraint(PROPERTY_FORWARD_TENOR);
final Currency currencyPair = target.getValue(PrimitiveComputationTargetType.CURRENCY);
final ForwardSwapCurveDefinition definition = _forwardSwapCurveDefinitionSource.getDefinition(curveName, currencyPair.toString());
if (definition == null) {
throw new OpenGammaRuntimeException("Couldn't find a forward swap curve definition called " + curveName + " for target " + target);
}
final ForwardSwapCurveSpecification specification = _forwardSwapCurveSpecificationSource.getSpecification(curveName, currencyPair.toString());
if (specification == null) {
throw new OpenGammaRuntimeException("Couldn't find FX forward curve specification called " + curveName + " for target " + target);
}
final ForwardSwapCurveInstrumentProvider provider = (ForwardSwapCurveInstrumentProvider) specification.getCurveInstrumentProvider();
final Tenor forwardTenor = Tenor.of(Period.parse(forwardTenorName));
final ValueRequirement spotRequirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument(forwardTenor));
if (inputs.getValue(spotRequirement) == null) {
throw new OpenGammaRuntimeException("Could not get value for spot; requirement was " + spotRequirement);
}
final Double spot = (Double) inputs.getValue(spotRequirement);
final Map<ExternalId, Double> data = new HashMap<ExternalId, Double>();
for (final Tenor tenor : definition.getTenors()) {
final ExternalId identifier = provider.getInstrument(now.toLocalDate(), tenor, forwardTenor);
final ValueRequirement requirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier);
if (inputs.getValue(requirement) != null) {
final Double spread = (Double) inputs.getValue(requirement);
data.put(identifier, spot + spread);
}
}
if (data.isEmpty()) {
throw new OpenGammaRuntimeException("Could not get any market data for curve name " + curveName);
}
return Collections.singleton(new ComputedValue(getResultSpec(target, curveName, forwardTenorName), data));
}
private ValueSpecification getResultSpec(final ComputationTarget target, final String curveName, final String forwardTenor) {
final ValueProperties properties = createValueProperties().with(ValuePropertyNames.CURVE, curveName).with(PROPERTY_FORWARD_TENOR, forwardTenor).get();
return new ValueSpecification(ValueRequirementNames.FORWARD_SWAP_CURVE_MARKET_DATA, target.toSpecification(), properties);
}
};
}
}