/**
* 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.ValueRequirementNames.GAMMA_PV01;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.bond.calculator.BondBillTrsGammaPV01Calculator;
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.BondTotalReturnSwapSecurity;
/**
* Calculates the gamma PV01 of a bond total return swap security. The value is returned in
* the currency of the asset.
*/
public class BondTotalReturnSwapGammaPV01Function extends BondTotalReturnSwapFunction {
/**
* Sets the value requirement to {@link ValueRequirementNames#GAMMA_PV01}.
*/
public BondTotalReturnSwapGammaPV01Function() {
super(GAMMA_PV01);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new BondTotalReturnSwapCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@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(GAMMA_PV01, target.toSpecification(), properties);
final IssuerProviderInterface issuerCurves = getMergedWithIssuerProviders(inputs, fxMatrix);
final Double gammaPV01 = derivative.accept(BondBillTrsGammaPV01Calculator.getInstance(), issuerCurves);
return Collections.singleton(new ComputedValue(spec, gammaPV01));
}
@Override
protected String getCurrencyOfResult(final BondTotalReturnSwapSecurity security) {
return security.getNotionalCurrency().getCode();
}
};
}
}