/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.discounting; import static com.opengamma.engine.value.ValueRequirementNames.CURVE_BUNDLE; import static com.opengamma.engine.value.ValueRequirementNames.PRESENT_VALUE; import java.util.Collections; import java.util.Map; import java.util.Set; import org.threeten.bp.Instant; import com.google.common.collect.Iterables; import com.opengamma.analytics.financial.forex.method.FXMatrix; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor; import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueDiscountingInflationCalculator; import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface; import com.opengamma.analytics.financial.provider.description.inflation.ParameterInflationProviderInterface; import com.opengamma.engine.ComputationTarget; 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.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.security.FinancialSecurityUtils; import com.opengamma.util.money.Currency; import com.opengamma.util.money.MultipleCurrencyAmount; /** * Calculates the present value of inflation swaps using curves constructed * using the discounting method. */ public class DiscountingInflationPVFunction extends DiscountingInflationFunction { /** The present value calculator */ private static final InstrumentDerivativeVisitor<ParameterInflationProviderInterface, MultipleCurrencyAmount> CALCULATOR = PresentValueDiscountingInflationCalculator.getInstance(); /** * Sets the value requirements to {@link ValueRequirementNames#PRESENT_VALUE} */ public DiscountingInflationPVFunction() { super(PRESENT_VALUE); } @Override public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) { return new DiscountingInflationCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) { @Override protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative, final FXMatrix fxMatrix) { final InflationProviderInterface data = (InflationProviderInterface) inputs.getValue(CURVE_BUNDLE); final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues); final ValueProperties properties = desiredValue.getConstraints().copy().get(); final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()); final MultipleCurrencyAmount mca = derivative.accept(CALCULATOR, data); final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties); return Collections.singleton(new ComputedValue(spec, mca.getAmount(currency))); } @Override public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target, Map<ValueSpecification, ValueRequirement> inputs) { return getResults(context, target); } }; } }