/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.curve.forward;
import static com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_INTERPOLATOR;
import static com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR;
import static com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR;
import it.unimi.dsi.fastutil.doubles.DoubleArrayList;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.Instant;
import org.threeten.bp.LocalTime;
import org.threeten.bp.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
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.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
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.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.fxforwardcurve.ConfigDBFXForwardCurveDefinitionSource;
import com.opengamma.financial.analytics.fxforwardcurve.ConfigDBFXForwardCurveSpecificationSource;
import com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveDefinition;
import com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveInstrumentProvider;
import com.opengamma.financial.analytics.fxforwardcurve.FXForwardCurveSpecification;
import com.opengamma.id.ExternalId;
import com.opengamma.util.money.UnorderedCurrencyPair;
import com.opengamma.util.time.Tenor;
/**
*
*/
public class FXForwardCurveFromMarketQuotesFunction extends AbstractFunction {
private static final Logger s_logger = LoggerFactory.getLogger(FXForwardCurveFromMarketQuotesFunction.class);
/** Name of the calculation method */
public static final String FX_FORWARD_QUOTES = "FXForwardQuotes";
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final ConfigDBFXForwardCurveDefinitionSource curveDefinitionSource = new ConfigDBFXForwardCurveDefinitionSource(configSource);
final ConfigDBFXForwardCurveSpecificationSource curveSpecificationSource = new ConfigDBFXForwardCurveSpecificationSource(configSource);
return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000)) {
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.UNORDERED_CURRENCY_PAIR;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = createValueProperties()
.withAny(ValuePropertyNames.CURVE)
.withAny(PROPERTY_FORWARD_CURVE_INTERPOLATOR)
.withAny(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR)
.withAny(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR)
.with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, FX_FORWARD_QUOTES).get();
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.FORWARD_CURVE, target.toSpecification(), properties);
return Collections.singleton(spec);
}
@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 Set<String> forwardCurveInterpolatorNames = constraints.getValues(PROPERTY_FORWARD_CURVE_INTERPOLATOR);
if (forwardCurveInterpolatorNames == null || forwardCurveInterpolatorNames.size() != 1) {
return null;
}
final Set<String> forwardCurveLeftExtrapolatorNames = constraints.getValues(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR);
if (forwardCurveLeftExtrapolatorNames == null || forwardCurveLeftExtrapolatorNames.size() != 1) {
return null;
}
final Set<String> forwardCurveRightExtrapolatorNames = constraints.getValues(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR);
if (forwardCurveRightExtrapolatorNames == null || forwardCurveRightExtrapolatorNames.size() != 1) {
return null;
}
final String curveName = curveNames.iterator().next();
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName).get();
return Collections.singleton(new ValueRequirement(ValueRequirementNames.FX_FORWARD_CURVE_MARKET_DATA, target.toSpecification(), properties));
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final DoubleArrayList expiries = new DoubleArrayList();
final DoubleArrayList forwards = new DoubleArrayList();
final UnorderedCurrencyPair currencyPair = UnorderedCurrencyPair.of(target.getUniqueId());
final FXForwardCurveDefinition definition = curveDefinitionSource.getDefinition(curveName, currencyPair.toString());
if (definition == null) {
throw new OpenGammaRuntimeException("Couldn't find FX forward curve definition called " + curveName + " for target " + target);
}
final FXForwardCurveSpecification specification = curveSpecificationSource.getSpecification(curveName, currencyPair.toString());
if (specification == null) {
throw new OpenGammaRuntimeException("Couldn't find FX forward curve specification called " + curveName + " for target " + target);
}
final FXForwardCurveInstrumentProvider provider = specification.getCurveInstrumentProvider();
final Object dataObject = inputs.getValue(ValueRequirementNames.FX_FORWARD_CURVE_MARKET_DATA);
if (dataObject == null) {
throw new OpenGammaRuntimeException("Could not get market data");
}
@SuppressWarnings("unchecked")
final Map<ExternalId, Double> data = (Map<ExternalId, Double>) dataObject;
final String interpolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_INTERPOLATOR);
final String leftExtrapolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR);
final String rightExtrapolatorName = desiredValue.getConstraint(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR);
for (final Tenor tenor : definition.getTenors()) {
final ExternalId identifier = provider.getInstrument(now.toLocalDate(), tenor);
if (data.containsKey(identifier)) {
expiries.add(TimeCalculator.getTimeBetween(now, now.plus(tenor.getPeriod())));
forwards.add(data.get(identifier));
}
}
if (expiries.size() == 0) {
throw new OpenGammaRuntimeException("Could not get any values for FX forwards");
}
final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
final ForwardCurve curve = new ForwardCurve(InterpolatedDoublesCurve.from(expiries, forwards, interpolator));
return Collections.singleton(new ComputedValue(getResultSpec(target, curveName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName), curve));
}
private ValueSpecification getResultSpec(final ComputationTarget target, final String curveName, final String interpolatorName, final String leftExtrapolatorName,
final String rightExtrapolatorName) {
final ValueProperties properties = createValueProperties()
.with(ValuePropertyNames.CURVE, curveName)
.with(PROPERTY_FORWARD_CURVE_INTERPOLATOR, interpolatorName)
.with(PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR, leftExtrapolatorName)
.with(PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR, rightExtrapolatorName)
.with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, FX_FORWARD_QUOTES).get();
return new ValueSpecification(ValueRequirementNames.FORWARD_CURVE, target.toSpecification(), properties);
}
};
}
}