/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.fixedincome; import java.util.HashSet; import java.util.Set; import org.apache.commons.lang.NotImplementedException; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import org.threeten.bp.Clock; import org.threeten.bp.LocalDate; import org.threeten.bp.ZonedDateTime; import com.google.common.collect.Sets; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.instrument.InstrumentDefinition; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.InstrumentSensitivityCalculator; import com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRCalculator; import com.opengamma.analytics.financial.interestrate.PresentValueNodeSensitivityCalculator; import com.opengamma.analytics.financial.interestrate.YieldCurveBundle; import com.opengamma.analytics.math.matrix.DoubleMatrix1D; import com.opengamma.analytics.math.matrix.DoubleMatrix2D; import com.opengamma.analytics.math.matrix.MatrixAlgebraFactory; import com.opengamma.core.position.Trade; 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.target.ComputationTargetType; 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.OpenGammaCompilationContext; import com.opengamma.financial.analytics.curve.CurveSpecification; import com.opengamma.financial.analytics.fxforwardcurve.ConfigDBFXForwardCurveDefinitionSource; import com.opengamma.financial.analytics.fxforwardcurve.ConfigDBFXForwardCurveSpecificationSource; import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationWithSecurities; import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig; import com.opengamma.financial.analytics.model.FunctionUtils; import com.opengamma.financial.analytics.model.InterpolatedDataProperties; import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils; import com.opengamma.financial.analytics.model.YieldCurveNodeSensitivitiesHelper; import com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveFunction; import com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePropertiesAndDefaults; import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle; import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils; import com.opengamma.financial.security.FinancialSecurity; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.util.money.Currency; /** * Computes the yield curve node sensitivities of a bond trade. */ @Deprecated public class BondTradeYCNSFunction extends BondTradeCurveSpecificFunction { private static final Logger s_logger = LoggerFactory.getLogger(BondTradeYCNSFunction.class); private static final PresentValueNodeSensitivityCalculator NSC = PresentValueNodeSensitivityCalculator.using(PresentValueCurveSensitivitySABRCalculator.getInstance()); private static final InstrumentSensitivityCalculator CALCULATOR = InstrumentSensitivityCalculator.getInstance(); private ConfigDBFXForwardCurveSpecificationSource _fxForwardCurveSpecificationSource; private ConfigDBFXForwardCurveDefinitionSource _fxForwardCurveDefinitionSource; public BondTradeYCNSFunction() { super(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES); } @Override public void init(final FunctionCompilationContext context) { super.init(context); _fxForwardCurveSpecificationSource = ConfigDBFXForwardCurveSpecificationSource.init(context, this); _fxForwardCurveDefinitionSource = ConfigDBFXForwardCurveDefinitionSource.init(context, this); } @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { final Trade trade = target.getTrade(); final FinancialSecurity security = (FinancialSecurity) trade.getSecurity(); final Currency currency = FinancialSecurityUtils.getCurrency(security); final Clock snapshotClock = executionContext.getValuationClock(); final ZonedDateTime now = ZonedDateTime.now(snapshotClock); final LocalDate localNow = now.toLocalDate(); final ValueRequirement desiredValue = desiredValues.iterator().next(); final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE); final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs); final InstrumentDefinition<?> definition = security.accept(getVisitor()); if (definition == null) { throw new OpenGammaRuntimeException("Definition for security " + security + " was null"); } final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG); final MultiCurveCalculationConfig curveCalculationConfig = getCurveCalculationConfigSource().getConfig(curveCalculationConfigName); if (curveCalculationConfig == null) { throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName); } final String[] curveNames = curveCalculationConfig.getYieldCurveNames(); final int length = curveNames.length; final String[] fullCurveNames = new String[length]; for (int i = 0; i < length; i++) { fullCurveNames[i] = curveNames[i] + "_" + currency.getCode(); } final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod(); final InstrumentDerivative derivative = InterestRateInstrumentFunction.getDerivative(security, now, timeSeries, fullCurveNames, definition, getConverter()); final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig); final YieldCurveBundle fixedCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, getCurveCalculationConfigSource()); final ValueProperties properties = createValueProperties(target, curveName, curveCalculationConfigName).get(); final ValueSpecification resultSpec = new ValueSpecification(getValueRequirement(), target.toSpecification(), properties); final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN); if (jacobianObject == null) { throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN); } final double[][] array = FunctionUtils.decodeJacobian(jacobianObject); final DoubleMatrix2D jacobian = new DoubleMatrix2D(array); final DoubleMatrix1D sensitivities; if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) { final Object couponSensitivitiesObject = inputs.getValue(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName)); if (couponSensitivitiesObject == null) { throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY); } final DoubleMatrix1D couponSensitivity = new DoubleMatrix1D(FunctionUtils.decodeCouponSensitivities(couponSensitivitiesObject)); sensitivities = CALCULATOR.calculateFromPresentValue(derivative, fixedCurves, curves, couponSensitivity, jacobian, NSC); } else { sensitivities = CALCULATOR.calculateFromParRate(derivative, fixedCurves, curves, jacobian, NSC); } final double quantity = trade.getQuantity().doubleValue(); final DoubleMatrix1D scaledSensitivities = (DoubleMatrix1D) MatrixAlgebraFactory.OG_ALGEBRA.scale(sensitivities, quantity); if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) { final Currency domesticCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfig.getTarget().getUniqueId()); final Currency foreignCurrency = ComputationTargetType.CURRENCY.resolve(getCurveCalculationConfigSource() .getConfig(curveCalculationConfig.getExogenousConfigData().keySet().iterator().next()).getTarget().getUniqueId()); return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(scaledSensitivities, domesticCurrency, foreignCurrency, fullCurveNames, curves, _fxForwardCurveSpecificationSource, _fxForwardCurveDefinitionSource, localNow, resultSpec); } final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName, curveCalculationMethod); final Object curveSpecObject = inputs.getValue(curveSpecRequirement); if (curveSpecObject == null) { throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement); } if (curveCalculationMethod.equals(InterpolatedDataProperties.CALCULATION_METHOD_NAME)) { final CurveSpecification curveSpec = (CurveSpecification) curveSpecObject; return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(curveName + "_" + currency.getCode(), curves, scaledSensitivities, curveSpec, resultSpec); } final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject; return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(curveName + "_" + currency.getCode(), curves, scaledSensitivities, curveSpec, resultSpec); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity(); final Currency currency = FinancialSecurityUtils.getCurrency(security); final ValueProperties constraints = desiredValue.getConstraints(); final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG); if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) { return null; } final boolean permissive = OpenGammaCompilationContext.isPermissive(context); Set<String> requestedCurveNames = constraints.getValues(ValuePropertyNames.CURVE); if (!permissive && (requestedCurveNames == null || requestedCurveNames.isEmpty())) { s_logger.error("Must specify a single curve name; have {}", requestedCurveNames); return null; } final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next(); final MultiCurveCalculationConfig curveCalculationConfig = getCurveCalculationConfigSource().getConfig(curveCalculationConfigName); if (curveCalculationConfig == null) { s_logger.error("Could not find curve calculation configuration named " + curveCalculationConfigName); return null; } if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) { return null; } final String[] availableCurveNames = curveCalculationConfig.getYieldCurveNames(); if ((requestedCurveNames == null) || requestedCurveNames.isEmpty()) { requestedCurveNames = Sets.newHashSet(availableCurveNames); } else { final Set<String> intersection = YieldCurveFunctionUtils.intersection(requestedCurveNames, availableCurveNames); if (intersection.isEmpty()) { s_logger.error("None of the requested curves {} are available in curve calculation configuration called {}", requestedCurveNames, curveCalculationConfigName); return null; } requestedCurveNames = intersection; } if (!permissive && (requestedCurveNames.size() != 1)) { s_logger.error("Must specify single curve name constraint, got {}", requestedCurveNames); return null; } final String curve = requestedCurveNames.iterator().next(); final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod(); final Set<ValueRequirement> curveRequirements = YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, getCurveCalculationConfigSource()); final Set<ValueRequirement> requirements = new HashSet<>(); for (final ValueRequirement curveRequirement : curveRequirements) { final ValueProperties.Builder properties = curveRequirement.getConstraints().copy(); properties.with(PROPERTY_REQUESTED_CURVE, curve).withOptional(PROPERTY_REQUESTED_CURVE); requirements.add(new ValueRequirement(curveRequirement.getValueName(), curveRequirement.getTargetReference(), properties.get())); } if (!curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) { requirements.add(getCurveSpecRequirement(currency, curve, curveCalculationMethod)); } requirements.add(getJacobianRequirement(currency, curveCalculationConfigName, curveCalculationMethod, curve)); if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) { requirements.add(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName)); } try { final Set<ValueRequirement> timeSeriesRequirements = InterestRateInstrumentFunction.getDerivativeTimeSeriesRequirements(security, security.accept(getVisitor()), getConverter()); if (timeSeriesRequirements == null) { return null; } requirements.addAll(timeSeriesRequirements); } catch (final OpenGammaRuntimeException e) { s_logger.error("Could not get time series requirements; error was {}", e.getMessage()); return null; } return requirements; } private ValueRequirement getCurveSpecRequirement(final Currency currency, final String curveName, final String curveCalculationMethod) { if (curveCalculationMethod.equals(InterpolatedDataProperties.CALCULATION_METHOD_NAME)) { final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, curveName).get(); return new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties); } final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, curveName).get(); return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, ComputationTargetSpecification.of(currency), properties); } private ValueRequirement getJacobianRequirement(final Currency currency, final String curveCalculationConfigName, final String curveCalculationMethod, final String curveName) { final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod).with(ValuePropertyNames.CURVE, curveName).withOptional(ValuePropertyNames.CURVE).get(); return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(currency), properties); } private ValueRequirement getCouponSensitivitiesRequirement(final Currency currency, final String curveCalculationConfigName) { final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING).get(); return new ValueRequirement(ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY, ComputationTargetSpecification.of(currency), properties); } @Override protected Set<ComputedValue> getResults(final InstrumentDerivative derivative, final String curveName, final YieldCurveBundle curves, final String curveCalculationConfigName, final String curveCalculationMethod, final FunctionInputs inputs, final ComputationTarget target, final ValueSpecification resultSpec) { throw new NotImplementedException(); } }