/**
* 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.interestrate;
import java.util.HashSet;
import java.util.Set;
import org.threeten.bp.Instant;
import org.threeten.bp.LocalTime;
import org.threeten.bp.ZoneOffset;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.model.interestrate.curve.DiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.core.marketdatasnapshot.SnapshotDataBundle;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.analytics.curve.InterpolatedCurveSpecification;
import com.opengamma.financial.analytics.ircurve.strips.ContinuouslyCompoundedRateNode;
import com.opengamma.financial.analytics.ircurve.strips.CurveNodeWithIdentifier;
import com.opengamma.financial.analytics.ircurve.strips.DiscountFactorNode;
import com.opengamma.financial.analytics.model.InterpolatedDataProperties;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Tenor;
/**
*
*/
public class InterpolatedYieldCurveFunction extends AbstractFunction {
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext compilationContext, final Instant atInstant) {
final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
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) {
String curveName = null;
String curveCalculationConfig = null;
for (final ValueRequirement desiredValue : desiredValues) {
if (desiredValue.getValueName().equals(ValueRequirementNames.YIELD_CURVE)) {
curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
curveCalculationConfig = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
break;
}
}
final Object specificationObject = inputs.getValue(ValueRequirementNames.CURVE_SPECIFICATION);
if (specificationObject == null) {
throw new OpenGammaRuntimeException("Could not get curve specification");
}
if (!(specificationObject instanceof InterpolatedCurveSpecification)) {
throw new OpenGammaRuntimeException("Curve specification was not an InterpolatedCurveSpecification");
}
final Object dataObject = inputs.getValue(ValueRequirementNames.CURVE_MARKET_DATA);
if (dataObject == null) {
throw new OpenGammaRuntimeException("Could not get yield curve data");
}
final InterpolatedCurveSpecification specification = (InterpolatedCurveSpecification) specificationObject;
final SnapshotDataBundle marketData = (SnapshotDataBundle) dataObject;
final int n = marketData.size();
final double[] times = new double[n];
final double[] yields = new double[n];
final double[][] jacobian = new double[n][n];
Boolean isYield = null;
int i = 0;
for (final CurveNodeWithIdentifier node : specification.getNodes()) {
if (node.getCurveNode() instanceof ContinuouslyCompoundedRateNode) {
if (i == 0) {
isYield = true;
} else {
if (!isYield) {
throw new OpenGammaRuntimeException("Was expecting only continuously-compounded rate nodes; have " + node.getCurveNode());
}
}
} else if (node.getCurveNode() instanceof DiscountFactorNode) {
if (i == 0) {
isYield = false;
} else {
if (isYield) {
throw new OpenGammaRuntimeException("Was expecting only discount factor nodes; have " + node.getCurveNode());
}
}
} else {
throw new OpenGammaRuntimeException("Can only handle discount factor or continuously-compounded rate nodes; have " + node.getCurveNode());
}
//TODO add check to make sure it's only discounting or rate curve nodes
final Double marketValue = marketData.getDataPoint(node.getIdentifier());
final Tenor maturity = node.getCurveNode().getResolvedMaturity();
if (marketValue == null) {
throw new OpenGammaRuntimeException("Could not get market data for " + node);
}
times[i] = DateUtils.estimatedDuration(maturity.getPeriod()).toDays() / 365.0; //TODO check if this is correct
yields[i] = marketValue;
jacobian[i][i] = 1;
i++;
}
final String interpolatorName = specification.getInterpolatorName();
final String rightExtrapolatorName = specification.getRightExtrapolatorName();
final String leftExtrapolatorName = specification.getLeftExtrapolatorName();
final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
final InterpolatedDoublesCurve curve = InterpolatedDoublesCurve.from(times, yields, interpolator, curveName);
final ValueProperties curveProperties = createValueProperties()
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, InterpolatedDataProperties.CALCULATION_METHOD_NAME).get();
final ValueProperties jacobianProperties = createValueProperties()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, InterpolatedDataProperties.CALCULATION_METHOD_NAME).get();
final ValueSpecification curveSpec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE, target.toSpecification(), curveProperties);
final ValueSpecification jacobianSpec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_JACOBIAN, target.toSpecification(), jacobianProperties);
final YieldAndDiscountCurve yieldCurve = isYield ? YieldCurve.from(curve) : DiscountCurve.from(curve);
return Sets.newHashSet(new ComputedValue(curveSpec, yieldCurve), new ComputedValue(jacobianSpec, jacobian));
}
//TODO should eventually be NULL?
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.CURRENCY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties curveProperties = createValueProperties()
.withAny(ValuePropertyNames.CURVE)
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, InterpolatedDataProperties.CALCULATION_METHOD_NAME)
.get();
final ValueProperties jacobianProperties = createValueProperties()
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, InterpolatedDataProperties.CALCULATION_METHOD_NAME)
.get();
final ValueSpecification curveSpec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE, target.toSpecification(), curveProperties);
final ValueSpecification jacobianSpec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_JACOBIAN, target.toSpecification(), jacobianProperties);
return Sets.newHashSet(curveSpec, jacobianSpec);
}
@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 Set<ValueRequirement> requirements = new HashSet<>();
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName).get();
requirements.add(new ValueRequirement(ValueRequirementNames.CURVE_MARKET_DATA, ComputationTargetSpecification.NULL, properties));
requirements.add(new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties));
return requirements;
}
};
}
}