/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.irfutureoption; import java.util.Collections; import java.util.HashSet; import java.util.Set; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import org.threeten.bp.Clock; import org.threeten.bp.ZonedDateTime; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.instrument.InstrumentDefinition; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.interestrate.YieldCurveBundle; import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle; import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface; import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface; import com.opengamma.core.holiday.HolidaySource; import com.opengamma.core.position.Trade; import com.opengamma.core.region.RegionSource; import com.opengamma.core.security.SecuritySource; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.ComputationTargetSpecification; import com.opengamma.engine.function.AbstractFunction; 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.OpenGammaExecutionContext; import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider; import com.opengamma.financial.analytics.conversion.InterestRateFutureOptionSecurityConverterDeprecated; import com.opengamma.financial.analytics.conversion.InterestRateFutureOptionTradeConverterDeprecated; 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.InstrumentTypeProperties; import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils; import com.opengamma.financial.analytics.model.black.BlackDiscountingIRFutureOptionFunction; import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle; import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils; import com.opengamma.financial.convention.ConventionBundleSource; import com.opengamma.financial.security.FinancialSecurityUtils; import com.opengamma.financial.security.option.IRFutureOptionSecurity; import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver; import com.opengamma.util.ArgumentChecker; import com.opengamma.util.money.Currency; /** * Base class for a range of functions computing values on an IRFuturesOption using the Black Model * * @deprecated Use classes that descend from {@link BlackDiscountingIRFutureOptionFunction} */ @Deprecated public abstract class InterestRateFutureOptionBlackFunction extends AbstractFunction.NonCompiledInvoker { /** The logger */ private static final Logger s_logger = LoggerFactory.getLogger(InterestRateFutureOptionBlackFunction.class); /** The name of the value that will be calculated */ private final String _valueRequirementName; /** True if the result properties include {@link ValuePropertyNames#CURRENCY} */ private final boolean _setCurrencyProperty; /** Converts an {@link InstrumentDefinition} to an {@link InstrumentDerivative} */ private FixedIncomeConverterDataProvider _dataConverter; private ConfigDBCurveCalculationConfigSource _curveCalculationConfigSource; /** * @param valueRequirementName The value requirement name, not null * @param setCurrencyProperty True if the result properties include {@link ValuePropertyNames#CURRENCY} */ public InterestRateFutureOptionBlackFunction(final String valueRequirementName, final boolean setCurrencyProperty) { ArgumentChecker.notNull(valueRequirementName, "value requirement name"); _valueRequirementName = valueRequirementName; _setCurrencyProperty = setCurrencyProperty; } /** * Gets the interest rate future option trade converter. * * @param context The compilation context * @return The converter */ private static InterestRateFutureOptionTradeConverterDeprecated getConverter(final FunctionCompilationContext context) { final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context); final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context); final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context); final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context); // TODO [PLAT-5966] Remove return new InterestRateFutureOptionTradeConverterDeprecated(new InterestRateFutureOptionSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, securitySource, context.getComputationTargetResolver().getVersionCorrection())); } /** * Gets the interest rate future option trade converter. * * @param context The execution context * @return The converter */ private static InterestRateFutureOptionTradeConverterDeprecated getConverter(final FunctionExecutionContext context) { final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context); final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context); final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context); final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(context); return new InterestRateFutureOptionTradeConverterDeprecated(new InterestRateFutureOptionSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, securitySource, context.getComputationTargetResolver().getVersionCorrection())); } @Override public void init(final FunctionCompilationContext context) { final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context); final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context); // TODO [PLAT-5966] Remove final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context); _dataConverter = new FixedIncomeConverterDataProvider(conventionSource, securitySource, timeSeriesResolver); _curveCalculationConfigSource = ConfigDBCurveCalculationConfigSource.init(context, this); } @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { final Clock snapshotClock = executionContext.getValuationClock(); final ZonedDateTime now = ZonedDateTime.now(snapshotClock); final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs); final Trade trade = target.getTrade(); final IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity(); final ValueRequirement desiredValue = desiredValues.iterator().next(); final Currency currency = FinancialSecurityUtils.getCurrency(security); final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE); final String surfaceNameWithPrefix = surfaceName + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target); // Done to enable standard and midcurve options to share the same default name final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG); final MultiCurveCalculationConfig curveCalculationConfig = _curveCalculationConfigSource.getConfig(curveCalculationConfigName); if (curveCalculationConfig == null) { throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName); } final String[] curveNames = curveCalculationConfig.getYieldCurveNames(); final String[] fullCurveNames = new String[Math.max(2, curveNames.length)]; for (int i = 0; i < curveNames.length; i++) { fullCurveNames[i] = curveNames[i] + "_" + currency.getCode(); } if (curveNames.length == 1) { // MultiCurveCalculationConfig contains just a single curve for discounting and forwarding fullCurveNames[1] = fullCurveNames[0]; } final YieldCurveBundle curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, _curveCalculationConfigSource); final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceNameWithPrefix, currency)); if (volatilitySurfaceObject == null) { throw new OpenGammaRuntimeException("Could not get volatility surface"); } final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject; if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) { throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass()); } final InstrumentDefinition<?> irFutureOptionDefinition = getConverter(executionContext).convert(trade); final InstrumentDerivative irFutureOption = _dataConverter.convert(security, irFutureOptionDefinition, now, fullCurveNames, timeSeries); final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), desiredValue.getConstraints()); final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), curves); return getResult(irFutureOption, data, spec, desiredValues); } @Override public ComputationTargetType getTargetType() { return ComputationTargetType.TRADE; } @Override public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) { return target.getTrade().getSecurity() instanceof IRFutureOptionSecurity; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { final String currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode(); return Collections.singleton(new ValueSpecification(_valueRequirementName, target.toSpecification(), getResultProperties(currency).get())); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final ValueProperties constraints = desiredValue.getConstraints(); String surfaceName = constraints.getStrictValue(ValuePropertyNames.SURFACE); if (surfaceName == null) { return null; } final String curveCalculationConfigName = constraints.getStrictValue(ValuePropertyNames.CURVE_CALCULATION_CONFIG); if (curveCalculationConfigName == null) { return null; } surfaceName = surfaceName + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target); final MultiCurveCalculationConfig curveCalculationConfig = _curveCalculationConfigSource.getConfig(curveCalculationConfigName); if (curveCalculationConfig == null) { s_logger.error("Could not find curve calculation configuration named " + curveCalculationConfigName); return null; } final Trade trade = target.getTrade(); final Currency currency = FinancialSecurityUtils.getCurrency(trade.getSecurity()); if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) { s_logger.error("Security currency and curve calculation config id were not equal; have {} and {}", currency, curveCalculationConfig.getTarget()); return null; } final Set<ValueRequirement> requirements = new HashSet<>(); requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, _curveCalculationConfigSource)); requirements.add(getVolatilityRequirement(surfaceName, currency)); try { final Set<ValueRequirement> tsRequirements = _dataConverter.getConversionTimeSeriesRequirements(trade.getSecurity(), getConverter(context).convert(trade)); if (tsRequirements != null) { requirements.addAll(tsRequirements); } } catch (final Exception e) { s_logger.error(e.getMessage()); return null; } return requirements; } /** * Calculates the result * * @param irFutureOption The IR future option * @param data The data used in pricing * @param spec The value specification of the result * @param desiredValues The constraints on the function * @return The result */ protected abstract Set<ComputedValue> getResult(final InstrumentDerivative irFutureOption, final YieldCurveWithBlackCubeBundle data, final ValueSpecification spec, Set<ValueRequirement> desiredValues); /** * Gets the result properties. * * @param currency The currency * @return The result properties */ protected ValueProperties.Builder getResultProperties(final String currency) { final ValueProperties.Builder builder = createValueProperties().with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD) .withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG).withAny(ValuePropertyNames.SURFACE); if (_setCurrencyProperty) { return builder.with(ValuePropertyNames.CURRENCY, currency); } return builder; } /** * Gets the volatility surface requirement. * * @param surface The surface name * @param currency The currency * @return The volatility surface requirement */ private static ValueRequirement getVolatilityRequirement(final String surface, final Currency currency) { final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.SURFACE, surface) .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION).get(); return new ValueRequirement(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE, ComputationTargetSpecification.of(currency), properties); } }