/**
* 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;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_EXPOSURES;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_SENSITIVITY_CURRENCY;
import static com.opengamma.engine.value.ValuePropertyNames.FUNCTION;
import static com.opengamma.engine.value.ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_BUNDLE;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_DEFINITION;
import static com.opengamma.engine.value.ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES;
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.HashSet;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Instant;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Lists;
import com.google.common.collect.Sets;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.ValueProperties.Builder;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.DoubleLabelledMatrix1D;
import com.opengamma.financial.analytics.curve.CurveDefinition;
import com.opengamma.financial.analytics.model.multicurve.MultiCurveUtils;
import com.opengamma.financial.security.swap.BillTotalReturnSwapSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.ObjectsPair;
import com.opengamma.util.tuple.Pair;
/**
*
*/
public class BillTotalReturnSwapYCNSFunction extends BillTotalReturnSwapFunction {
private static final Logger s_logger = LoggerFactory.getLogger(BillTotalReturnSwapYCNSFunction.class);
/**
*
*/
public BillTotalReturnSwapYCNSFunction() {
super(YIELD_CURVE_NODE_SENSITIVITIES);
}
@Override
public CompiledFunctionDefinition compile(FunctionCompilationContext context, Instant atInstant) {
return new BillTotalReturnSwapCompiledFunction(getTargetToDefinitionConverter(context),
getDefinitionToDerivativeConverter(context), true) {
@Override
protected Set<ComputedValue> getValues(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues,
InstrumentDerivative derivative, FXMatrix fxMatrix) {
final MultipleCurrencyParameterSensitivity sensitivities = (MultipleCurrencyParameterSensitivity) inputs.getValue(BLOCK_CURVE_SENSITIVITIES);
Set<ComputedValue> results = Sets.newHashSet();
for (ValueRequirement desiredValue : desiredValues) {
final ValueProperties properties = desiredValue.getConstraints();
final String desiredCurveName = desiredValue.getConstraint(CURVE);
final Map<Pair<String, Currency>, DoubleMatrix1D> entries = sensitivities.getSensitivities();
for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
final String curveName = entry.getKey().getFirst();
if (desiredCurveName.equals(curveName)) {
final ValueProperties curveSpecificProperties = properties.copy()
.withoutAny(CURVE)
.with(CURVE, curveName)
.get();
final CurveDefinition curveDefinition = (CurveDefinition) inputs.getValue(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL,
ValueProperties.builder().with(CURVE, curveName).get()));
final DoubleLabelledMatrix1D ycns = MultiCurveUtils.getLabelledMatrix(entry.getValue(), curveDefinition);
final ValueSpecification spec = new ValueSpecification(YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), curveSpecificProperties);
results.add(new ComputedValue(spec, ycns));
}
}
}
return results;
}
@Override
protected String getCurrencyOfResult(final BillTotalReturnSwapSecurity security) {
throw new IllegalStateException("BillTotalReturnSwapYCNSFunction does not set the Currency property in this method");
}
@Override
public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target) {
Set<ValueSpecification> spec = super.getResults(context, target);
return spec;
}
@Override
public Set<ValueRequirement> getRequirements(FunctionCompilationContext context, ComputationTarget target, ValueRequirement desiredValue) {
String curveExposures = desiredValue.getConstraint(CURVE_EXPOSURES);
String curveType = desiredValue.getConstraint(PROPERTY_CURVE_TYPE);
Builder builder = ValueProperties.builder();
builder.with(CURVE_EXPOSURES, curveExposures);
builder.with(PROPERTY_CURVE_TYPE, curveType);
ImmutableSet<ValueRequirement> bcsReq = ImmutableSet.of(new ValueRequirement(ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), builder.get()));
return Sets.union(bcsReq, super.getRequirements(context, target, desiredValue));
}
@Override
public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target, Map<ValueSpecification, ValueRequirement> inputs) {
final Set<String> functionNames = new HashSet<>();
List<Pair<String, String>> ccyCurvePairs = Lists.newArrayList();
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification specification = entry.getKey();
if (specification.getValueName().equals(CURVE_BUNDLE)) {
final ValueProperties constraints = specification.getProperties();
for (String ccy : constraints.getValues(CURVE_SENSITIVITY_CURRENCY)) {
for (String curve : constraints.getValues(CURVE)) {
ccyCurvePairs.add(ObjectsPair.of(ccy, curve));
}
}
functionNames.add(constraints.getSingleValue(FUNCTION));
}
}
if (ccyCurvePairs.isEmpty()) {
s_logger.error("Could not get currencies or curve name properties; have not been set in function(s) called {}", functionNames);
return null;
}
final Set<ValueSpecification> results = new HashSet<>();
for (Pair<String, String> ccyCurvePair : ccyCurvePairs) {
final ValueProperties properties = createValueProperties()
.with(PROPERTY_CURVE_TYPE, DISCOUNTING)
.withAny(CURVE_EXPOSURES)
.with(CURRENCY, ccyCurvePair.getFirst())
.with(CURVE_SENSITIVITY_CURRENCY, ccyCurvePair.getFirst())
.with(CURVE, ccyCurvePair.getSecond())
.get();
results.add(new ValueSpecification(YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties));
}
return results;
}
@SuppressWarnings("synthetic-access")
@Override
protected Collection<Builder> getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final Builder properties = createValueProperties()
.with(PROPERTY_CURVE_TYPE, DISCOUNTING)
.withAny(CURVE_EXPOSURES)
.withAny(CURVE_SENSITIVITY_CURRENCY)
.withoutAny(CURRENCY)
.withAny(CURRENCY)
.withAny(CURVE);
return Collections.singleton(properties);
}
};
}
}