/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.pnl;
import java.util.ArrayList;
import java.util.Arrays;
import java.util.List;
import java.util.Set;
import org.threeten.bp.Clock;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.schedule.HolidayDateRemovalFunction;
import com.opengamma.analytics.financial.schedule.Schedule;
import com.opengamma.analytics.financial.schedule.ScheduleCalculatorFactory;
import com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunction;
import com.opengamma.analytics.financial.schedule.TimeSeriesSamplingFunctionFactory;
import com.opengamma.analytics.financial.timeseries.util.TimeSeriesDifferenceOperator;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeriesSource;
import com.opengamma.core.position.Position;
import com.opengamma.core.security.Security;
import com.opengamma.core.value.MarketDataRequirementNames;
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.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.DoubleLabelledMatrix1D;
import com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType;
import com.opengamma.financial.analytics.ircurve.FixedIncomeStripWithSecurity;
import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationWithSecurities;
import com.opengamma.financial.analytics.ircurve.StripInstrumentType;
import com.opengamma.financial.analytics.ircurve.YieldCurveFunction;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.swap.SwapSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.date.DateDoubleTimeSeries;
import com.opengamma.util.money.Currency;
/**
* @deprecated Use the version that does not refer to funding or forward curves
* @see YieldCurveNodePnLFunction
*/
@Deprecated
public class YieldCurveNodePnLFunctionDeprecated extends AbstractFunction.NonCompiledInvoker {
/** Property name of the contribution to the P&L (e.g. yield curve, FX rate) */
public static final String PROPERTY_PNL_CONTRIBUTIONS = "PnLContribution";
private static final HolidayDateRemovalFunction HOLIDAY_REMOVER = HolidayDateRemovalFunction.getInstance();
private static final Calendar WEEKEND_CALENDAR = new MondayToFridayCalendar("Weekend");
private static final TimeSeriesDifferenceOperator DIFFERENCE = new TimeSeriesDifferenceOperator();
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Position position = target.getPosition();
final HistoricalTimeSeriesSource historicalSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
final Clock snapshotClock = executionContext.getValuationClock();
final LocalDate now = ZonedDateTime.now(snapshotClock).toLocalDate();
final Currency currency = FinancialSecurityUtils.getCurrency(position.getSecurity());
final String currencyString = currency.getCode();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties constraints = desiredValue.getConstraints();
final String forwardCurveName = getPropertyName(constraints.getValues(YieldCurveFunction.PROPERTY_FORWARD_CURVE));
final String fundingCurveName = getPropertyName(constraints.getValues(YieldCurveFunction.PROPERTY_FUNDING_CURVE));
final String curveCalculationMethodName = getPropertyName(constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_METHOD));
final ValueProperties.Builder forwardCurveSpecProperties = ValueProperties.builder().with(ValuePropertyNames.CURVE, forwardCurveName);
final ValueRequirement forwardCurveSpecRequirement = new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, ComputationTargetSpecification.of(currency),
forwardCurveSpecProperties.get());
final Object forwardCurveSpecObject = inputs.getValue(forwardCurveSpecRequirement);
if (forwardCurveSpecObject == null) {
throw new OpenGammaRuntimeException("Could not get " + forwardCurveSpecRequirement);
}
final ValueProperties.Builder fundingCurveSpecProperties = ValueProperties.builder().with(ValuePropertyNames.CURVE, fundingCurveName);
final ValueRequirement fundingCurveSpecRequirement = new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, ComputationTargetSpecification.of(currency),
fundingCurveSpecProperties.get());
final Object fundingCurveSpecObject = inputs.getValue(fundingCurveSpecRequirement);
if (fundingCurveSpecObject == null) {
throw new OpenGammaRuntimeException("Could not get " + fundingCurveSpecRequirement);
}
final InterpolatedYieldCurveSpecificationWithSecurities forwardCurveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) forwardCurveSpecObject;
final InterpolatedYieldCurveSpecificationWithSecurities fundingCurveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) fundingCurveSpecObject;
final ValueProperties forwardCurveProperties = getSensitivityProperties(currencyString, forwardCurveName, fundingCurveName, curveCalculationMethodName, forwardCurveName);
final ValueProperties fundingCurveProperties = getSensitivityProperties(currencyString, forwardCurveName, fundingCurveName, curveCalculationMethodName, fundingCurveName);
final ComputationTargetSpecification targetSpec = target.toSpecification();
final Object forwardCurveSensitivitiesObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, targetSpec, forwardCurveProperties));
if (forwardCurveSensitivitiesObject == null) {
throw new OpenGammaRuntimeException("Could not get sensitivities for " + forwardCurveName);
}
final DoubleLabelledMatrix1D forwardCurveSensitivities = (DoubleLabelledMatrix1D) forwardCurveSensitivitiesObject;
final Object fundingCurveSensitivitiesObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, targetSpec, fundingCurveProperties));
if (fundingCurveSensitivitiesObject == null) {
throw new OpenGammaRuntimeException("Could not get sensitivities for " + fundingCurveName);
}
final DoubleLabelledMatrix1D fundingCurveSensitivities = (DoubleLabelledMatrix1D) fundingCurveSensitivitiesObject;
final Period samplingPeriod = getSamplingPeriod(constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD));
final LocalDate startDate = now.minus(samplingPeriod);
final Schedule scheduleCalculator = getScheduleCalculator(constraints.getValues(ValuePropertyNames.SCHEDULE_CALCULATOR));
final TimeSeriesSamplingFunction samplingFunction = getSamplingFunction(constraints.getValues(ValuePropertyNames.SAMPLING_FUNCTION));
final LocalDate[] schedule = HOLIDAY_REMOVER.getStrippedSchedule(scheduleCalculator.getSchedule(startDate, now, true, false), WEEKEND_CALENDAR); //REVIEW emcleod should "fromEnd" be hard-coded?
final DoubleTimeSeries<?> result = getPnLSeries(forwardCurveSpec, forwardCurveSensitivities, historicalSource, startDate, now, schedule, samplingFunction)
.add(getPnLSeries(fundingCurveSpec, fundingCurveSensitivities, historicalSource, startDate, now, schedule, samplingFunction));
final ValueProperties resultProperties = getResultProperties(desiredValue, currencyString);
final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, targetSpec, resultProperties);
return Sets.newHashSet(new ComputedValue(resultSpec, result));
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getPosition().getSecurity();
if (!(security instanceof FinancialSecurity)) {
return false;
}
if (security instanceof SwapSecurity) {
try {
final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity((SwapSecurity) security);
return type == InterestRateInstrumentType.SWAP_FIXED_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD || type == InterestRateInstrumentType.SWAP_IBOR_IBOR;
} catch (final OpenGammaRuntimeException ogre) {
return false;
}
}
return InterestRateInstrumentType.isFixedIncomeInstrumentType((FinancialSecurity) security);
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Position position = target.getPosition();
final Currency currency = FinancialSecurityUtils.getCurrency(position.getSecurity());
final String currencyString = currency.getCode();
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveCalculationMethodNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_METHOD);
if (curveCalculationMethodNames == null || curveCalculationMethodNames.isEmpty() || curveCalculationMethodNames.size() != 1) {
return null;
}
final Set<String> forwardCurveNames = constraints.getValues(YieldCurveFunction.PROPERTY_FORWARD_CURVE);
if (forwardCurveNames == null || forwardCurveNames.isEmpty() || forwardCurveNames.size() != 1) {
return null;
}
final Set<String> fundingCurveNames = constraints.getValues(YieldCurveFunction.PROPERTY_FUNDING_CURVE);
if (fundingCurveNames == null || fundingCurveNames.isEmpty() || fundingCurveNames.size() != 1) {
return null;
}
final String curveCalculationMethodName = getPropertyName(curveCalculationMethodNames);
final String forwardCurveName = getPropertyName(forwardCurveNames);
final String fundingCurveName = getPropertyName(fundingCurveNames);
final ValueProperties forwardSensitivityProperties = getSensitivityProperties(currencyString, forwardCurveName, fundingCurveName, curveCalculationMethodName, forwardCurveName);
final ValueProperties fundingSensitivityProperties = getSensitivityProperties(currencyString, forwardCurveName, fundingCurveName, curveCalculationMethodName, fundingCurveName);
final ComputationTargetSpecification targetSpec = target.toSpecification();
final ValueRequirement forwardCurveRequirement = new ValueRequirement(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, targetSpec, forwardSensitivityProperties);
final ValueRequirement fundingCurveRequirement = new ValueRequirement(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, targetSpec, fundingSensitivityProperties);
final ValueProperties.Builder forwardCurveSpecProperties = ValueProperties.builder().with(ValuePropertyNames.CURVE, forwardCurveName);
final ComputationTargetSpecification curveSpec = ComputationTargetSpecification.of(currency);
final ValueRequirement forwardCurveSpecRequirement = new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, curveSpec, forwardCurveSpecProperties.get());
final ValueProperties.Builder fundingCurveSpecProperties = ValueProperties.builder().with(ValuePropertyNames.CURVE, fundingCurveName);
final ValueRequirement fundingCurveSpecRequirement = new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, curveSpec, fundingCurveSpecProperties.get());
return Sets.newHashSet(forwardCurveRequirement, fundingCurveRequirement, forwardCurveSpecRequirement, fundingCurveSpecRequirement);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final Position position = target.getPosition();
final ValueProperties properties = createValueProperties()
.with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(position.getSecurity()).getCode())
.withAny(YieldCurveFunction.PROPERTY_FORWARD_CURVE)
.withAny(YieldCurveFunction.PROPERTY_FUNDING_CURVE)
.withAny(ValuePropertyNames.CURVE_CALCULATION_METHOD)
.withAny(ValuePropertyNames.SAMPLING_PERIOD)
.withAny(ValuePropertyNames.SCHEDULE_CALCULATOR)
.withAny(ValuePropertyNames.SAMPLING_FUNCTION)
.with(PROPERTY_PNL_CONTRIBUTIONS, ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES).get();
return Sets.newHashSet(new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), properties));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.POSITION;
}
private ValueProperties getResultProperties(final ValueRequirement desiredValue, final String currency) {
return createValueProperties().with(ValuePropertyNames.CURRENCY, currency).with(YieldCurveFunction.PROPERTY_FORWARD_CURVE, desiredValue.getConstraint(YieldCurveFunction.PROPERTY_FORWARD_CURVE))
.with(YieldCurveFunction.PROPERTY_FUNDING_CURVE, desiredValue.getConstraint(YieldCurveFunction.PROPERTY_FUNDING_CURVE))
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_METHOD))
.with(ValuePropertyNames.SAMPLING_PERIOD, desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD))
.with(ValuePropertyNames.SCHEDULE_CALCULATOR, desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR))
.with(ValuePropertyNames.SAMPLING_FUNCTION, desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION))
.with(PROPERTY_PNL_CONTRIBUTIONS, ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES).get();
}
private String getPropertyName(final Set<String> propertyName) {
if (propertyName == null || propertyName.isEmpty() || propertyName.size() != 1) {
throw new OpenGammaRuntimeException("Missing or non-unique property name: " + propertyName);
}
return propertyName.iterator().next();
}
private Period getSamplingPeriod(final Set<String> samplingPeriodNames) {
final String samplingPeriodName = getPropertyName(samplingPeriodNames);
return Period.parse(samplingPeriodName);
}
private Schedule getScheduleCalculator(final Set<String> scheduleCalculatorNames) {
final String scheduleCalculatorName = getPropertyName(scheduleCalculatorNames);
return ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculatorName);
}
private TimeSeriesSamplingFunction getSamplingFunction(final Set<String> samplingFunctionNames) {
final String samplingFunctionName = getPropertyName(samplingFunctionNames);
return TimeSeriesSamplingFunctionFactory.getFunction(samplingFunctionName);
}
private DoubleTimeSeries<?> getPnLSeries(final InterpolatedYieldCurveSpecificationWithSecurities spec, final DoubleLabelledMatrix1D curveSensitivities,
final HistoricalTimeSeriesSource historicalSource, final LocalDate startDate, final LocalDate now, final LocalDate[] schedule, final TimeSeriesSamplingFunction samplingFunction) {
DoubleTimeSeries<?> pnlSeries = null;
final int n = curveSensitivities.size();
final Object[] labels = curveSensitivities.getLabels();
final List<Object> labelsList = Arrays.asList(labels);
final double[] values = curveSensitivities.getValues();
final Set<FixedIncomeStripWithSecurity> strips = spec.getStrips();
final List<StripInstrumentType> stripList = new ArrayList<StripInstrumentType>(n);
for (final FixedIncomeStripWithSecurity strip : strips) {
final int index = labelsList.indexOf(strip.getSecurityIdentifier());
if (index < 0) {
throw new OpenGammaRuntimeException("Could not get index for " + strip);
}
stripList.add(index, strip.getInstrumentType());
}
for (int i = 0; i < n; i++) {
final Object idObject = labels[i];
if (!(idObject instanceof ExternalId)) {
throw new OpenGammaRuntimeException("Yield curve node sensitivity label was not an external id; should never happen");
}
double sensitivity = values[i];
if (stripList.get(i) == StripInstrumentType.FUTURE) {
// TODO Temporary fix as sensitivity is to rate, but historical time series is to price (= 1 - rate)
sensitivity *= -1;
}
final ExternalIdBundle id = ExternalIdBundle.of((ExternalId) idObject);
final HistoricalTimeSeries dbNodeTimeSeries = historicalSource.getHistoricalTimeSeries(MarketDataRequirementNames.MARKET_VALUE, id, null, startDate, true, now, true);
if (dbNodeTimeSeries == null) {
throw new OpenGammaRuntimeException("Could not identifier / price series pair for " + id + " using the field " + MarketDataRequirementNames.MARKET_VALUE);
}
DateDoubleTimeSeries<?> nodeTimeSeries = samplingFunction.getSampledTimeSeries(dbNodeTimeSeries.getTimeSeries(), schedule);
nodeTimeSeries = DIFFERENCE.evaluate(nodeTimeSeries);
if (pnlSeries == null) {
pnlSeries = nodeTimeSeries.multiply(sensitivity);
} else {
pnlSeries = pnlSeries.add(nodeTimeSeries.multiply(sensitivity));
}
}
return pnlSeries;
}
private ValueProperties getSensitivityProperties(final String currencyString, final String forwardCurveName, final String fundingCurveName, final String curveCalculationMethodName,
final String curveName) {
return ValueProperties.builder().with(ValuePropertyNames.CURRENCY, currencyString).with(ValuePropertyNames.CURVE_CURRENCY, currencyString)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethodName).with(ValuePropertyNames.CURVE, curveName).with(YieldCurveFunction.PROPERTY_FORWARD_CURVE, forwardCurveName)
.with(YieldCurveFunction.PROPERTY_FUNDING_CURVE, fundingCurveName).get();
}
}