/**
* 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.ValueRequirementNames.PV01;
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.Map;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.equity.EquityTrsDataBundle;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.provider.calculator.discounting.PV01CurveParametersCalculator;
import com.opengamma.analytics.financial.provider.calculator.equity.PresentValueCurveSensitivityEquityDiscountingCalculator;
import com.opengamma.analytics.util.amount.ReferenceAmount;
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.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Calculates the PV01 of an equity total return swap security.
*/
public class EquityTotalReturnSwapPV01Function extends EquityTotalReturnSwapFunction {
/** The calculator */
private static final PV01CurveParametersCalculator<EquityTrsDataBundle> CALCULATOR =
new PV01CurveParametersCalculator<>(PresentValueCurveSensitivityEquityDiscountingCalculator.getInstance());
/**
* Sets the value requirement to {@link ValueRequirementNames#PV01}.
*/
public EquityTotalReturnSwapPV01Function() {
super(PV01);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new EquityTotalReturnSwapCompiledFunction(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 EquityTrsDataBundle data = getDataBundle(inputs, fxMatrix);
final String desiredCurveName = properties.getStrictValue(CURVE);
final ReferenceAmount<Pair<String, Currency>> pv01 = derivative.accept(CALCULATOR, data);
final Set<ComputedValue> results = new HashSet<>();
boolean curveNameFound = false;
for (final Map.Entry<Pair<String, Currency>, Double> entry : pv01.getMap().entrySet()) {
final String curveName = entry.getKey().getFirst();
if (desiredCurveName.equals(curveName)) {
curveNameFound = true;
}
final ValueProperties curveSpecificProperties = properties.copy()
.withoutAny(CURVE)
.with(CURVE, curveName)
.get();
final ValueSpecification spec = new ValueSpecification(PV01, target.toSpecification(), curveSpecificProperties);
results.add(new ComputedValue(spec, entry.getValue()));
}
if (!curveNameFound) {
final ValueSpecification spec = new ValueSpecification(PV01, target.toSpecification(), properties.copy().with(CURVE, desiredCurveName).get());
return Collections.singleton(new ComputedValue(spec, 0.));
}
return results;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext compilationContext, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> curveNames = desiredValue.getConstraints().getValues(CURVE);
if (curveNames == null || curveNames.size() != 1) {
return null;
}
return super.getRequirements(context, target, desiredValue);
}
@SuppressWarnings("synthetic-access")
@Override
protected Collection<ValueProperties.Builder> getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final ValueProperties.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);
}
};
}
}