/**
* 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.FX_CURRENCY_EXPOSURE;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Sets;
import com.opengamma.analytics.financial.equity.EquityTrsDataBundle;
import com.opengamma.analytics.financial.equity.trs.calculator.EqyTrsCurrencyExposureCalculator;
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.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.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Calculates the currency exposure of an equity total return swap security.
*/
public class EquityTotalReturnSwapCurrencyExposureFunction extends EquityTotalReturnSwapFunction {
private static final InstrumentDerivativeVisitor<EquityTrsDataBundle, MultipleCurrencyAmount> CALCULATOR =
EqyTrsCurrencyExposureCalculator.getInstance();
/**
* Sets the value requirement to {@link ValueRequirementNames#FX_CURRENCY_EXPOSURE}.
*/
public EquityTotalReturnSwapCurrencyExposureFunction() {
super(FX_CURRENCY_EXPOSURE);
}
@Override
public CompiledFunctionDefinition compile(FunctionCompilationContext context, Instant atInstant) {
return new EquityTotalReturnSwapCompiledFunction(getTargetToDefinitionConverter(context),
getDefinitionToDerivativeConverter(context),
false) {
@Override
protected Set<ComputedValue> getValues(FunctionExecutionContext executionContext,
FunctionInputs inputs,
ComputationTarget target,
Set<ValueRequirement> desiredValues,
InstrumentDerivative derivative,
FXMatrix fxMatrix) {
Set<ComputedValue> results = Sets.newHashSet();
for (ValueRequirement desiredValue : desiredValues) {
EquityTrsDataBundle data = getDataBundle(inputs, fxMatrix);
MultipleCurrencyAmount exposure = derivative.accept(CALCULATOR, data);
ComputedValue result = new ComputedValue(ValueSpecification.of(FX_CURRENCY_EXPOSURE,
target.toSpecification(),
desiredValue.getConstraints()), exposure);
results.add(result);
}
return results;
}
};
}
}