/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.trs;
import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_EXPOSURES;
import static com.opengamma.engine.value.ValueRequirementNames.FUNDING_LEG_PV;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.DISCOUNTING;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.PROPERTY_CURVE_TYPE;
import java.util.Collection;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
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.interestrate.bond.calculator.BondBillTrsFundingLegPresentValueCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderInterface;
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;
import com.opengamma.financial.security.swap.BillTotalReturnSwapSecurity;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Calculates the present value of the funding leg of a bond total return swap security.
*/
public class BillTotalReturnSwapFundingLegPVFunction extends BillTotalReturnSwapFunction {
/** The calculator */
private static final InstrumentDerivativeVisitor<IssuerProviderInterface, MultipleCurrencyAmount> CALCULATOR =
BondBillTrsFundingLegPresentValueCalculator.getInstance();
/**
* Sets the value requirement to {@link ValueRequirementNames#FUNDING_LEG_PV}.
*/
public BillTotalReturnSwapFundingLegPVFunction() {
super(FUNDING_LEG_PV);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new BillTotalReturnSwapCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@SuppressWarnings("synthetic-access")
@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 ValueProperties properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(FUNDING_LEG_PV, target.toSpecification(), properties);
final IssuerProviderInterface issuerCurves = getMergedWithIssuerProviders(inputs, fxMatrix);
final MultipleCurrencyAmount pv = derivative.accept(CALCULATOR, issuerCurves);
final String expectedCurrency = spec.getProperty(CURRENCY);
if (pv.size() != 1 || !(expectedCurrency.equals(pv.getCurrencyAmounts()[0].getCurrency().getCode()))) {
throw new OpenGammaRuntimeException("Expecting a single result in " + expectedCurrency);
}
return Collections.singleton(new ComputedValue(spec, pv.getCurrencyAmounts()[0].getAmount()));
}
@SuppressWarnings("synthetic-access")
@Override
protected Collection<ValueProperties.Builder> getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final BillTotalReturnSwapSecurity security = (BillTotalReturnSwapSecurity) target.getTrade().getSecurity();
final ValueProperties.Builder properties = createValueProperties()
.with(PROPERTY_CURVE_TYPE, DISCOUNTING)
.withAny(CURVE_EXPOSURES)
.with(CURRENCY, security.getFundingLeg().getNotional().getCurrency().getCode());
return Collections.singleton(properties);
}
@Override
protected String getCurrencyOfResult(final BillTotalReturnSwapSecurity security) {
return security.getFundingLeg().getNotional().getCurrency().getCode();
}
};
}
}