/** * Copyright (C) 2014 - 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.PRESENT_VALUE; import java.util.Collections; 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.discounting.PresentValueDiscountingCalculator; import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface; import com.opengamma.analytics.financial.provider.description.interestrate.ParameterProviderInterface; 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.analytics.fixedincome.InterestRateInstrumentType; import com.opengamma.financial.security.FinancialSecurity; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.financial.security.swap.InterestRateNotional; import com.opengamma.financial.security.swap.SwapSecurity; import com.opengamma.util.money.Currency; import com.opengamma.util.money.MultipleCurrencyAmount; /** * Calculates the present value of instruments using curves constructed using * the interpolated construction method. */ public class DiscountingInterpolatedPVFunction extends DiscountingInterpolatedFunction { /** The present value calculator */ private static final InstrumentDerivativeVisitor<ParameterProviderInterface, MultipleCurrencyAmount> CALCULATOR = PresentValueDiscountingCalculator.getInstance(); /** * Sets the value requirement to {@link ValueRequirementNames#PRESENT_VALUE} */ public DiscountingInterpolatedPVFunction() { super(PRESENT_VALUE); } @Override public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) { return new DiscountingInterpolatedCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) { @SuppressWarnings("synthetic-access") @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 MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix); final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity(); final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity(security); final MultipleCurrencyAmount mca = derivative.accept(CALCULATOR, data); final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues); final ValueProperties properties = desiredValue.getConstraints().copy().get(); final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties); final Currency currency; if (type == InterestRateInstrumentType.SWAP_CROSS_CURRENCY) { final SwapSecurity swapSecurity = (SwapSecurity) security; currency = ((InterestRateNotional) swapSecurity.getPayLeg().getNotional()).getCurrency(); final Currency otherCurrency = ((InterestRateNotional) swapSecurity.getReceiveLeg().getNotional()).getCurrency(); final double fx = data.getFxRate(otherCurrency, currency); final double pv = mca.getAmount(currency) + fx * mca.getAmount(otherCurrency); return Collections.singleton(new ComputedValue(spec, pv)); } currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()); return Collections.singleton(new ComputedValue(spec, mca.getAmount(currency))); } }; } }