/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.forex.option.black;
import static com.opengamma.engine.value.ValuePropertyNames.SURFACE;
import java.util.Collections;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.calculator.PV01ForexCalculator;
import com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.option.definition.ForexOptionDataBundle;
import com.opengamma.engine.ComputationTarget;
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.ValuePropertiesUtils;
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.CurrencyPairsFunction;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.InterpolatedDataProperties;
import com.opengamma.financial.analytics.model.black.BlackDiscountingPV01FXOptionFunction;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
/**
* Calculates the PV01 for FX options using the Black method
*
* @deprecated Use {@link BlackDiscountingPV01FXOptionFunction}
*/
@Deprecated
public class FXOptionBlackPV01Function extends FXOptionBlackSingleValuedFunction {
private static final Logger s_logger = LoggerFactory.getLogger(FXOptionBlackPV01Function.class);
private static final PV01ForexCalculator CALCULATOR = PV01ForexCalculator.getInstance();
private ConfigDBCurveCalculationConfigSource _curveCalculationConfigSource;
public FXOptionBlackPV01Function() {
super(ValueRequirementNames.PV01);
}
@Override
public void init(final FunctionCompilationContext context) {
_curveCalculationConfigSource = ConfigDBCurveCalculationConfigSource.init(context, this);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative forex, final ForexOptionDataBundle<?> data, final ComputationTarget target, final Set<ValueRequirement> desiredValues,
final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final String currency = desiredValue.getConstraint(ValuePropertyNames.CURVE_CURRENCY);
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final Object curveSensitivitiesObject = inputs.getValue(ValueRequirementNames.FX_CURVE_SENSITIVITIES);
if (curveSensitivitiesObject == null) {
throw new OpenGammaRuntimeException("Could not get curve sensitivities");
}
final String fullCurveName = curveName + "_" + currency;
final MultipleCurrencyInterestRateCurveSensitivity curveSensitivities = (MultipleCurrencyInterestRateCurveSensitivity) curveSensitivitiesObject;
final Currency resultCurrency = Iterables.getOnlyElement(curveSensitivities.getCurrencies());
final Map<String, List<DoublesPair>> sensitivitiesForCurrency = curveSensitivities.getSensitivity(resultCurrency).getSensitivities();
final Map<String, Double> pv01 = forex.accept(CALCULATOR, sensitivitiesForCurrency);
if (!pv01.containsKey(fullCurveName)) {
throw new OpenGammaRuntimeException("Could not get PV01 for " + fullCurveName);
}
return Collections.singleton(new ComputedValue(spec, pv01.get(fullCurveName)));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE);
if (curveNames == null || curveNames.size() != 1) {
s_logger.error("Did not specify a curve name for requirement {}", desiredValue);
return null;
}
final Set<String> currencies = constraints.getValues(ValuePropertyNames.CURVE_CURRENCY);
if (currencies == null || currencies.size() != 1) {
s_logger.error("Did not specify a curve currency for requirement {}", desiredValue);
return null;
}
final String callCurveName = Iterables.getOnlyElement(constraints.getValues(CALL_CURVE));
final String putCurveName = Iterables.getOnlyElement(constraints.getValues(PUT_CURVE));
final String curveName = Iterables.getOnlyElement(curveNames);
if (!(curveName.equals(putCurveName) || curveName.equals(callCurveName))) {
s_logger.info("Curve name {} did not match either put curve name {} or call curve name {}", new Object[] {curveName, putCurveName, callCurveName });
return null;
}
final String callCurveCalculationConfigName = Iterables.getOnlyElement(constraints.getValues(CALL_CURVE_CALC_CONFIG));
final String putCurveCalculationConfigName = Iterables.getOnlyElement(constraints.getValues(PUT_CURVE_CALC_CONFIG));
final String surfaceName = Iterables.getOnlyElement(constraints.getValues(SURFACE));
final String interpolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.X_INTERPOLATOR_NAME));
final String leftExtrapolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME));
final String rightExtrapolatorName = Iterables.getOnlyElement(constraints.getValues(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME));
final String currency = Iterables.getOnlyElement(currencies);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
final String resultCurrency, resultCurveConfigName;
if (currency.equals(putCurrency.getCode())) {
resultCurrency = putCurrency.getCode();
resultCurveConfigName = putCurveCalculationConfigName;
} else if (currency.equals(callCurrency.getCode())) {
resultCurrency = callCurrency.getCode();
resultCurveConfigName = callCurveCalculationConfigName;
} else {
return null;
}
final MultiCurveCalculationConfig resultCurveCalculationConfig = _curveCalculationConfigSource.getConfig(resultCurveConfigName);
if (resultCurveCalculationConfig == null) {
s_logger.error("Could not find curve calculation configuration named " + resultCurveConfigName + " for currency " + resultCurrency);
return null;
}
requirements.add(getCurveSensitivitiesRequirement(putCurveName, putCurveCalculationConfigName, callCurveName, callCurveCalculationConfigName, surfaceName, interpolatorName,
leftExtrapolatorName, rightExtrapolatorName, resultCurrency, target));
return requirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
String currencyPairConfigName = null;
String putCurveName = null;
String putCurveCalculationConfig = null;
String callCurveName = null;
String callCurveCalculationConfig = null;
String curveCurrency = null;
final ValueProperties.Builder optionalProperties = ValueProperties.builder();
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification specification = entry.getKey();
final ValueRequirement requirement = entry.getValue();
final ValueProperties constraints = requirement.getConstraints();
if (requirement.getValueName().equals(ValueRequirementNames.YIELD_CURVE)) {
if (constraints.getProperties().contains(PUT_CURVE)) {
putCurveName = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE));
putCurveCalculationConfig = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
final ValueProperties properties = ValuePropertiesUtils.removeAll(constraints.copy().get(), ValuePropertyNames.CURVE, ValuePropertyNames.CURVE_CALCULATION_CONFIG).get();
ValuePropertiesUtils.withAllOptional(optionalProperties, properties);
} else if (constraints.getProperties().contains(CALL_CURVE)) {
callCurveName = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE));
callCurveCalculationConfig = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
final ValueProperties properties = ValuePropertiesUtils.removeAll(constraints.copy().get(), ValuePropertyNames.CURVE, ValuePropertyNames.CURVE_CALCULATION_CONFIG).get();
ValuePropertiesUtils.withAllOptional(optionalProperties, properties);
}
} else if (specification.getValueName().equals(ValueRequirementNames.CURRENCY_PAIRS)) {
currencyPairConfigName = specification.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
} else if (requirement.getValueName().equals(ValueRequirementNames.FX_CURVE_SENSITIVITIES)) {
curveCurrency = requirement.getConstraint(ValuePropertyNames.CURVE_CURRENCY);
}
}
if (putCurveName == null || callCurveName == null || currencyPairConfigName == null || curveCurrency == null) {
return null;
}
final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
if (baseQuotePair == null) {
s_logger.error("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
return null;
}
final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(target, putCurveName, putCurveCalculationConfig,
callCurveName, callCurveCalculationConfig, curveCurrency, baseQuotePair, optionalProperties.get()).get());
return Collections.singleton(resultSpec);
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target) {
final ValueProperties.Builder properties = super.getResultProperties(target).withAny(ValuePropertyNames.CURVE_CURRENCY).withAny(ValuePropertyNames.CURVE);
return properties;
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final String putCurve, final String putCurveCalculationConfig, final String callCurve,
final String callCurveCalculationConfig, final CurrencyPair baseQuotePair, final ValueProperties optionalProperties) {
throw new UnsupportedOperationException();
}
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final String putCurve, final String putCurveCalculationConfig, final String callCurve,
final String callCurveCalculationConfig, final String currency, final CurrencyPair baseQuotePair, final ValueProperties optionalProperties) {
final ValueProperties.Builder properties = super
.getResultProperties(target, putCurve, putCurveCalculationConfig, callCurve, callCurveCalculationConfig, baseQuotePair, optionalProperties).withoutAny(ValuePropertyNames.CURRENCY)
.with(ValuePropertyNames.CURRENCY, currency).withAny(ValuePropertyNames.CURVE_CURRENCY).withAny(ValuePropertyNames.CURVE);
return properties;
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue, final CurrencyPair baseQuotePair) {
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String currency = desiredValue.getConstraint(ValuePropertyNames.CURVE_CURRENCY);
final ValueProperties.Builder properties = super.getResultProperties(target, desiredValue, baseQuotePair).withoutAny(ValuePropertyNames.CURRENCY)
.with(ValuePropertyNames.CURRENCY, currency).with(ValuePropertyNames.CURVE_CURRENCY, currency).with(ValuePropertyNames.CURVE, curveName);
return properties;
}
private static ValueRequirement getCurveSensitivitiesRequirement(final String putCurveName, final String putCurveCalculationConfig, final String callCurveName,
final String callCurveCalculationConfig, final String surfaceName, final String interpolatorName, final String leftExtrapolatorName, final String rightExtrapolatorName,
final String resultCurrency, final ComputationTarget target) {
final ValueProperties properties = ValueProperties.builder().with(PUT_CURVE, putCurveName).with(CALL_CURVE, callCurveName).with(PUT_CURVE_CALC_CONFIG, putCurveCalculationConfig)
.with(CALL_CURVE_CALC_CONFIG, callCurveCalculationConfig).with(ValuePropertyNames.SURFACE, surfaceName)
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD).with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, interpolatorName)
.with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorName).with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorName)
.with(ValuePropertyNames.CURVE_CURRENCY, resultCurrency).withOptional(ValuePropertyNames.CURVE_CURRENCY).get();
return new ValueRequirement(ValueRequirementNames.FX_CURVE_SENSITIVITIES, target.toSpecification(), properties);
}
}