/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.bond;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedSecurity;
import com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.RegionSource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.BondSecurityConverter;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.bond.BondSecurity;
/**
*
*/
public class BondZSpreadFromMarketCleanPriceFunction extends BondFromPriceFunction {
private static final BondSecurityDiscountingMethod CALCULATOR = BondSecurityDiscountingMethod.getInstance();
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties.Builder properties = getResultProperties();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.Z_SPREAD, target.toSpecification(), properties.get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> riskFreeCurves = desiredValue.getConstraints().getValues(BondFunction.PROPERTY_RISK_FREE_CURVE);
if (riskFreeCurves == null || riskFreeCurves.size() != 1) {
return null;
}
final Set<String> curves = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
if (curves == null || curves.size() != 1) {
return null;
}
final Set<String> creditCurves = desiredValue.getConstraints().getValues(BondFunction.PROPERTY_CREDIT_CURVE);
if (creditCurves == null || creditCurves.size() != 1) {
return null;
}
final String riskFreeCurveName = riskFreeCurves.iterator().next();
final String curveName = curves.iterator().next();
return Sets.newHashSet(getCurveRequirement(target, riskFreeCurveName), getCurveRequirement(target, curveName), getCleanPriceRequirement(target, desiredValue));
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
String curveName = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> input : inputs.entrySet()) {
if (ValueRequirementNames.YIELD_CURVE.equals(input.getKey().getValueName())) {
curveName = input.getKey().getProperty(ValuePropertyNames.CURVE);
}
}
assert curveName != null;
final String riskFreeCurveName = curveName;
final String creditCurveName = riskFreeCurveName;
final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, curveName);
return Collections.singleton(new ValueSpecification(ValueRequirementNames.Z_SPREAD, target.toSpecification(), properties.get()));
}
@Override
protected ValueRequirement getCleanPriceRequirement(final ComputationTarget target, final ValueRequirement desiredValue) {
return new ValueRequirement(ValueRequirementNames.MARKET_CLEAN_PRICE, target.toSpecification());
}
@Override
protected String getCalculationMethodName() {
return BondFunction.FROM_CLEAN_PRICE_METHOD;
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.BOND_SECURITY;
}
@Override
protected ValueProperties.Builder getResultProperties() {
return createValueProperties()
.withAny(BondFunction.PROPERTY_RISK_FREE_CURVE)
.withAny(BondFunction.PROPERTY_CREDIT_CURVE)
.withAny(ValuePropertyNames.CURVE)
.with(ValuePropertyNames.CALCULATION_METHOD, getCalculationMethodName());
}
@Override
protected ValueProperties.Builder getResultProperties(final String riskFreeCurveName, final String creditCurveName, final String curveName) {
return createValueProperties()
.with(BondFunction.PROPERTY_RISK_FREE_CURVE, riskFreeCurveName)
.with(BondFunction.PROPERTY_CREDIT_CURVE, creditCurveName)
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CALCULATION_METHOD, getCalculationMethodName());
}
@Override
protected double getValue(FunctionExecutionContext context, ZonedDateTime date, String riskFreeCurveName, String creditCurveName, ComputationTarget target, YieldCurveBundle data, double price) {
BondSecurity bond = (BondSecurity) target.getSecurity();
final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
BondSecurityConverter visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bond.accept(visitor);
BondFixedSecurity derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
return CALCULATOR.zSpreadFromCurvesAndClean(derivative, data, price);
}
}