@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext compilationContext, final Instant atInstant) {
final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(compilationContext);
final InterpolatedYieldCurveSpecificationBuilder curveSpecBuilder = new ConfigDBInterpolatedYieldCurveSpecificationBuilder(configSource);
return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000)) {
@SuppressWarnings("synthetic-access")
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final ZonedDateTime valuationDate = ZonedDateTime.now(executionContext.getValuationClock());
final HistoricalTimeSeriesBundle timeSeries = (HistoricalTimeSeriesBundle) inputs.getValue(ValueRequirementNames.YIELD_CURVE_INSTRUMENT_CONVERSION_HISTORICAL_TIME_SERIES);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String spotDateString = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_DATE);
final LocalDate spotDate = LocalDate.parse(spotDateString, dateFormatter);
final String offsetString = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_OFFSET);
final int offset = Integer.parseInt(offsetString); //TODO: Is this still used???
final Object definitionObject = inputs.getValue(ValueRequirementNames.TARGET);
if (definitionObject == null) {
throw new OpenGammaRuntimeException("Couldn't get interpolated yield curve specification: " + curveName);
}
final YieldCurveDefinition curveDefinition = (YieldCurveDefinition) definitionObject;
final Object dataObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_MARKET_DATA);
if (dataObject == null) {
throw new OpenGammaRuntimeException("Couldn't get yield curve data for " + curveName);
}
final SnapshotDataBundle marketData = (SnapshotDataBundle) dataObject;
final InterpolatedYieldCurveSpecification specification = getCurveSpecification(curveDefinition, spotDate);
final InterpolatedYieldCurveSpecificationWithSecurities specificationWithSecurities = getCurveWithSecurities(
specification,
executionContext,
marketData);
final ISDAInstrumentTypes[] instruments = new ISDAInstrumentTypes[specificationWithSecurities.getStrips().size()];
final Period[] tenors = new Period[specificationWithSecurities.getStrips().size()];
final double[] values = new double[specificationWithSecurities.getStrips().size()];
Period swapIvl = null;
int i = 0;
for (final FixedIncomeStripWithSecurity strip : specificationWithSecurities.getStrips()) {
final String securityType = strip.getSecurity().getSecurityType();
if (!(securityType.equals(CashSecurity.SECURITY_TYPE) || securityType.equals(SwapSecurity.SECURITY_TYPE))) {
throw new OpenGammaRuntimeException("ISDA curves should only use Libor and swap rates");
}
final Double rate = marketData.getDataPoint(strip.getSecurityIdentifier());
if (rate == null) {
throw new OpenGammaRuntimeException("Could not get rate for " + strip);
}
if (CashSecurity.SECURITY_TYPE.equals(strip.getSecurity().getSecurityType())) {
instruments[i] = ISDAInstrumentTypes.MoneyMarket;
} else if (SwapSecurity.SECURITY_TYPE.equals(strip.getSecurity().getSecurityType())) {
instruments[i] = ISDAInstrumentTypes.Swap;
swapIvl = getFixedLegPaymentTenor((SwapSecurity) strip.getSecurity());
} else {
throw new OpenGammaRuntimeException("Unexpected curve instument type, can only handle cash and swaps, got: " + strip.getSecurity());
}
tenors[i] = strip.getTenor().getPeriod();
values[i] = rate;
i++;
}
final ISDACompliantYieldCurve yieldCurve = ISDACompliantYieldCurveBuild.build(valuationDate.toLocalDate(), spotDate, instruments, tenors, values, MONEY_MARKET_DCC, SWAP_DCC, swapIvl, CURVE_DCC, badDayConv);
final ValueProperties properties = createValueProperties()
.with(ValuePropertyNames.CURVE, curveName)
.with(ISDAFunctionConstants.ISDA_CURVE_OFFSET, offsetString)
.with(ISDAFunctionConstants.ISDA_CURVE_DATE, spotDateString)
.with(ISDAFunctionConstants.ISDA_IMPLEMENTATION, ISDAFunctionConstants.ISDA_IMPLEMENTATION_NEW)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME).get();
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, yieldCurve));
}
private Period getFixedLegPaymentTenor(final SwapSecurity swap) {
if (swap.getReceiveLeg() instanceof FixedInterestRateLeg) {
FixedInterestRateLeg fixLeg = (FixedInterestRateLeg) swap.getReceiveLeg();
return PeriodFrequency.convertToPeriodFrequency(fixLeg.getFrequency()).getPeriod();
} else if (swap.getPayLeg() instanceof FixedInterestRateLeg) {
FixedInterestRateLeg fixLeg = (FixedInterestRateLeg) swap.getPayLeg();
return PeriodFrequency.convertToPeriodFrequency(fixLeg.getFrequency()).getPeriod();
} else {
throw new OpenGammaRuntimeException("Got a swap without a fixed leg " + swap);
}
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.CURRENCY;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
return Currency.OBJECT_SCHEME.equals(target.getUniqueId().getScheme());
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
@SuppressWarnings("synthetic-access")
final ValueProperties properties = createValueProperties()
.withAny(ValuePropertyNames.CURVE)
.withAny(ISDAFunctionConstants.ISDA_CURVE_OFFSET)
.withAny(ISDAFunctionConstants.ISDA_CURVE_DATE)
.with(ISDAFunctionConstants.ISDA_IMPLEMENTATION, ISDAFunctionConstants.ISDA_IMPLEMENTATION_NEW)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
.get();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.YIELD_CURVE, target.toSpecification(), properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE);
if (curveNames == null || curveNames.size() != 1) {
return null;
}
final String curveName = Iterables.getOnlyElement(curveNames);
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName).get();
// look up yield curve specification - dont rely on YieldCurveSpecificationFunction as that may have been compiled before the yield curve was created
// this is a slight performance hit over the standard curve spec handling but shouldn't be an issue
//TODO: should use versionOf rather than latest but we dont access to the valuation clock here
final YieldCurveDefinition curveDefinition = configSource.getLatestByName(YieldCurveDefinition.class, curveName);
if (curveDefinition == null) {
return null;
}
final Set<ValueRequirement> requirements = Sets.newHashSetWithExpectedSize(2);
final ComputationTargetSpecification targetSpec = target.toSpecification();
requirements.add(new ValueRequirement(ValueRequirementNames.YIELD_CURVE_MARKET_DATA, targetSpec, properties));
requirements.add(new ValueRequirement(ValueRequirementNames.TARGET, ComputationTargetType.of(YieldCurveDefinition.class), curveDefinition.getUniqueId()));
return requirements;
}
private InterpolatedYieldCurveSpecificationWithSecurities getCurveWithSecurities(final InterpolatedYieldCurveSpecification curveSpec, final FunctionExecutionContext executionContext,
final SnapshotDataBundle marketData) {
//TODO: Move this to a seperate function
final FixedIncomeStripIdentifierAndMaturityBuilder builder = new FixedIncomeStripIdentifierAndMaturityBuilder(OpenGammaExecutionContext.getRegionSource(executionContext),
OpenGammaExecutionContext.getConventionBundleSource(executionContext), executionContext.getSecuritySource(), OpenGammaExecutionContext.getHolidaySource(executionContext));
final InterpolatedYieldCurveSpecificationWithSecurities curveSpecificationWithSecurities = builder.resolveToSecurity(curveSpec, marketData);
return curveSpecificationWithSecurities;
}
private InterpolatedYieldCurveSpecification getCurveSpecification(final YieldCurveDefinition curveDefinition, final LocalDate curveDate) {
final InterpolatedYieldCurveSpecification curveSpec = curveSpecBuilder.buildCurve(curveDate, curveDefinition);
return curveSpec;
}
};
}