SABRFunction.java example

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/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.sabrcube;

import static com.opengamma.engine.value.SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION;
import static com.opengamma.engine.value.SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION;
import static com.opengamma.engine.value.SurfaceAndCubePropertyNames.PROPERTY_SURFACE_DEFINITION;
import static com.opengamma.engine.value.SurfaceAndCubePropertyNames.PROPERTY_SURFACE_SPECIFICATION;

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.google.common.collect.Iterables;
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.SABRInterestRateDataBundle;
import com.opengamma.core.holiday.HolidaySource;
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.value.ComputedValue;
import com.opengamma.engine.value.SurfaceAndCubePropertyNames;
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.conversion.CapFloorCMSSpreadSecurityConverter;
import com.opengamma.financial.analytics.conversion.CapFloorSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.SwaptionSecurityConverterDeprecated;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.sabr.SABRDiscountingFunction;
import com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues;
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.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.FinancialSecurityVisitor;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.money.Currency;

/**
 * Base class for functions that use a SABR model to price CMS, swaption, cap/floor and cap/floor CMS spread.
 *
 * @deprecated Use descendants of {@link SABRDiscountingFunction}
 */
@Deprecated
public abstract class SABRFunction extends AbstractFunction.NonCompiledInvoker {
  /** The logger */
  private static final Logger s_logger = LoggerFactory.getLogger(SABRFunction.class);
  /** String labelling the type of SABR calculation (with right extrapolation) */
  public static final String SABR_RIGHT_EXTRAPOLATION = "SABRRightExtrapolation";
  /** String labelling the type of SABR extrapolation (none) */
  public static final String SABR_NO_EXTRAPOLATION = "SABRNoExtrapolation";
  /** Converts securities to definitions */
  private FinancialSecurityVisitor<InstrumentDefinition<?>> _securityVisitor;
  /** The security source */
  private SecuritySource _securitySource;
  /** Converts definitions to derivatives */
  private FixedIncomeConverterDataProvider _definitionConverter;
  /** The curve calculation configuration source */
  private ConfigDBCurveCalculationConfigSource _curveCalculationConfigSource;

  @Override
  public void init(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
    final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
    _securitySource = OpenGammaCompilationContext.getSecuritySource(context);
    final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
    final SwaptionSecurityConverterDeprecated swaptionConverter = new SwaptionSecurityConverterDeprecated(_securitySource, swapConverter);
    final CapFloorSecurityConverterDeprecated capFloorVisitor = new CapFloorSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
    final CapFloorCMSSpreadSecurityConverter capFloorCMSSpreadSecurityVisitor = new CapFloorCMSSpreadSecurityConverter(holidaySource, conventionSource, regionSource);
    _securityVisitor = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().swapSecurityVisitor(swapConverter).swaptionVisitor(swaptionConverter)
        .capFloorVisitor(capFloorVisitor).capFloorCMSSpreadVisitor(capFloorCMSSpreadSecurityVisitor).create();
    _definitionConverter = 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 ValueRequirement desiredValue = desiredValues.iterator().next();
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    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 int numCurveNames = curveNames.length;
    final String[] fullCurveNames = new String[numCurveNames];
    for (int i = 0; i < numCurveNames; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final SABRInterestRateDataBundle data = getModelParameters(target, inputs, currency, curves, desiredValue);
    final InstrumentDerivative derivative = getConverter().convert(security, definition, now, fullCurveNames, timeSeries);
    final Object result = getResult(derivative, data, desiredValue);
    final ValueProperties properties = getResultProperties(createValueProperties().get(), currency.getCode(), desiredValue);
    final ValueSpecification spec = new ValueSpecification(getValueRequirement(), target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, result));
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
    final String currency = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode();
    final ValueProperties properties = getResultProperties(createValueProperties().get(), currency);
    return Collections.singleton(new ValueSpecification(getValueRequirement(), target.toSpecification(), properties));
  }

  @Override
  public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
    final ValueProperties constraints = desiredValue.getConstraints();
    final Set<String> cubeDefinitionNames = constraints.getValues(PROPERTY_CUBE_DEFINITION);
    if (cubeDefinitionNames == null || cubeDefinitionNames.size() != 1) {
      return null;
    }
    final Set<String> cubeSpecificationNames = constraints.getValues(PROPERTY_CUBE_SPECIFICATION);
    if (cubeSpecificationNames == null || cubeSpecificationNames.size() != 1) {
      return null;
    }
    final Set<String> surfaceDefinitionNames = constraints.getValues(PROPERTY_SURFACE_DEFINITION);
    if (surfaceDefinitionNames == null || surfaceDefinitionNames.size() != 1) {
      return null;
    }
    final Set<String> surfaceSpecificationNames = constraints.getValues(PROPERTY_SURFACE_SPECIFICATION);
    if (surfaceSpecificationNames == null || surfaceSpecificationNames.size() != 1) {
      return null;
    }
    final Set<String> fittingMethods = constraints.getValues(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD);
    if (fittingMethods == null || fittingMethods.size() != 1) {
      return null;
    }
    final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
      return null;
    }
    final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
    final MultiCurveCalculationConfig curveCalculationConfig = _curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      s_logger.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
      return null;
    }
    final Currency currency = FinancialSecurityUtils.getCurrency(target.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 String cubeDefinitionName = Iterables.getOnlyElement(cubeDefinitionNames);
    final String cubeSpecificationName = Iterables.getOnlyElement(cubeSpecificationNames);
    final String surfaceDefinitionName = Iterables.getOnlyElement(surfaceDefinitionNames);
    final String surfaceSpecificationName = Iterables.getOnlyElement(surfaceSpecificationNames);
    final String fittingMethod = fittingMethods.iterator().next();
    final Set<ValueRequirement> requirements = new HashSet<>();
    requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, _curveCalculationConfigSource));
    requirements.add(getCubeRequirement(cubeDefinitionName, cubeSpecificationName, surfaceDefinitionName, surfaceSpecificationName, fittingMethod));
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    try {
      final Set<ValueRequirement> timeSeriesRequirements = getConverter().getConversionTimeSeriesRequirements(security, security.accept(getVisitor()));
      if (timeSeriesRequirements == null) {
        return null;
      }
      requirements.addAll(timeSeriesRequirements);
      return requirements;
    } catch (final Exception e) {
      s_logger.error(e.getMessage());
      return null;
    }
  }

  /**
   * Gets the value requirement.
   *
   * @return The value requirement
   */
  protected abstract String getValueRequirement();

  /**
   * Gets the result.
   *
   * @param derivative The derivative
   * @param data The market data
   * @param desiredValue The desired value
   * @return The result
   */
  protected abstract Object getResult(final InstrumentDerivative derivative, final SABRInterestRateDataBundle data, final ValueRequirement desiredValue);

  /**
   * Gets the value requirement for the fitted SABR surfaces.
   * @param cubeDefinitionName The cube definition name
   * @param cubeSpecificationName The cube specification name
   * @param surfaceDefinitionName The surface definition name
   * @param surfaceSpecificationName The surface specification name
   * @param fittingMethod The fitting method
   * @return The value requirement
   */
  protected ValueRequirement getCubeRequirement(final String cubeDefinitionName, final String cubeSpecificationName,
      final String surfaceDefinitionName, final String surfaceSpecificationName, final String fittingMethod) {
    final ValueProperties properties = ValueProperties.builder()
        .with(SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION, cubeDefinitionName)
        .with(SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION, cubeSpecificationName)
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_DEFINITION, surfaceDefinitionName)
        .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_SPECIFICATION, surfaceSpecificationName)
        .with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
        .with(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD, fittingMethod).get();
    return new ValueRequirement(ValueRequirementNames.SABR_SURFACES, ComputationTargetSpecification.NULL, properties);
  }

  protected FinancialSecurityVisitor<InstrumentDefinition<?>> getVisitor() {
    return _securityVisitor;
  }

  protected FixedIncomeConverterDataProvider getConverter() {
    return _definitionConverter;
  }

  protected SecuritySource getSecuritySource() {
    return _securitySource;
  }

  protected ConfigDBCurveCalculationConfigSource getCurveCalculationConfigSource() {
    return _curveCalculationConfigSource;
  }

  protected abstract SABRInterestRateDataBundle getModelParameters(final ComputationTarget target, final FunctionInputs inputs, final Currency currency,
      final YieldCurveBundle curves, final ValueRequirement desiredValue);

  protected abstract ValueProperties getResultProperties(final ValueProperties properties, final String currency);

  protected abstract ValueProperties getResultProperties(final ValueProperties properties, final String currency, final ValueRequirement desiredValue);
}