/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.hullwhitediscounting; import static com.opengamma.engine.value.ValueRequirementNames.PAR_RATE; 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.hullwhite.ParRateHullWhiteCalculator; import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface; 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; /** * Calculates the par rate of instruments using curves constructed using * the Hull-White one factor discounting method. */ public class HullWhiteDiscountingParRateFunction extends HullWhiteDiscountingFunction { /** The par rate calculator */ private static final InstrumentDerivativeVisitor<HullWhiteOneFactorProviderInterface, Double> CALCULATOR = ParRateHullWhiteCalculator.getInstance(); /** * Sets the value requirements to {@link ValueRequirementNames#PAR_RATE} */ public HullWhiteDiscountingParRateFunction() { super(PAR_RATE); } @Override public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) { return new HullWhiteCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), false) { @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 HullWhiteOneFactorProviderInterface data = getMergedProviders(inputs, fxMatrix); final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues); final ValueProperties properties = desiredValue.getConstraints().copy().get(); final double parRate = derivative.accept(CALCULATOR, data); final ValueSpecification spec = new ValueSpecification(PAR_RATE, target.toSpecification(), properties); return Collections.singleton(new ComputedValue(spec, parRate)); } }; } }