/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.portfoliotheory;
import java.util.HashSet;
import java.util.Set;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.riskreward.SharpeRatioCalculator;
import com.opengamma.analytics.financial.timeseries.analysis.DoubleTimeSeriesStatisticsCalculator;
import com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculator;
import com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculatorFactory;
import com.opengamma.analytics.math.statistics.descriptive.StatisticsCalculatorFactory;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
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.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.timeseries.DateConstraint;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.convention.ConventionBundle;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.InMemoryConventionBundleMaster;
import com.opengamma.id.ExternalId;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.TimeSeriesIntersector;
import com.opengamma.util.ArgumentChecker;
/**
*
*/
public abstract class SharpeRatioFunction extends AbstractFunction.NonCompiledInvoker {
private static final double WORKING_DAYS_PER_YEAR = 252; //TODO this should not be hard-coded
private final String _resolutionKey;
public SharpeRatioFunction(final String resolutionKey) {
ArgumentChecker.notNull(resolutionKey, "resolution key");
_resolutionKey = resolutionKey;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
return true;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final ComputationTargetSpecification targetSpec = target.toSpecification();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties constraints = desiredValue.getConstraints();
final HistoricalTimeSeries benchmarkTSObject = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
final Object assetPnLObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec)); //TODO replace with return series when portfolio weights are in
if (assetPnLObject == null) {
throw new OpenGammaRuntimeException("Asset P&L series was null");
}
final Object assetFairValueObject = inputs.getValue(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
if (assetFairValueObject == null) {
throw new OpenGammaRuntimeException("Asset fair value was null");
}
final double fairValue = (Double) assetFairValueObject;
DoubleTimeSeries<?> assetReturnTS = ((DoubleTimeSeries<?>) assetPnLObject).divide(fairValue);
final TimeSeriesReturnCalculator returnCalculator = getReturnCalculator(constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR));
DoubleTimeSeries<?> benchmarkReturnTS = returnCalculator.evaluate(benchmarkTSObject.getTimeSeries());
DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(assetReturnTS, benchmarkReturnTS);
assetReturnTS = series[0];
benchmarkReturnTS = series[1];
final SharpeRatioCalculator calculator = getCalculator(constraints.getValues(ValuePropertyNames.EXCESS_RETURN_CALCULATOR),
constraints.getValues(ValuePropertyNames.STD_DEV_CALCULATOR));
final double ratio = calculator.evaluate(assetReturnTS, benchmarkReturnTS);
final ValueProperties resultProperties = getResultProperties(desiredValues.iterator().next());
return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.SHARPE_RATIO, targetSpec, resultProperties), ratio));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> samplingPeriodNames = constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD);
if (samplingPeriodNames == null || samplingPeriodNames.size() != 1) {
return null;
}
final String samplingPeriodName = samplingPeriodNames.iterator().next();
final Set<String> scheduleCalculatorNames = constraints.getValues(ValuePropertyNames.SCHEDULE_CALCULATOR);
if (scheduleCalculatorNames == null || scheduleCalculatorNames.size() != 1) {
return null;
}
final Set<String> samplingFunctionNames = constraints.getValues(ValuePropertyNames.SAMPLING_FUNCTION);
if (samplingFunctionNames == null || samplingFunctionNames.size() != 1) {
return null;
}
final Set<String> returnCalculatorNames = constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR);
if (returnCalculatorNames == null || returnCalculatorNames.size() != 1) {
return null;
}
final ComputationTargetSpecification targetSpec = target.toSpecification();
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
requirements.add(new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec, ValueProperties.builder()
.withAny(ValuePropertyNames.CURRENCY)
.with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriodName)
.with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorNames.iterator().next())
.with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionNames.iterator().next())
.with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorNames.iterator().next()).get()));
requirements.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, targetSpec));
final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
if (timeSeries == null) {
return null;
}
requirements.add(HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,
DateConstraint.VALUATION_TIME.minus(samplingPeriodName), true, DateConstraint.VALUATION_TIME, true));
return requirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
if (canApplyTo(context, target)) {
return Sets.newHashSet(new ValueSpecification(ValueRequirementNames.SHARPE_RATIO, target.toSpecification(), getResultProperties()));
}
return null;
}
private ValueProperties getResultProperties() {
return createValueProperties()
.withAny(ValuePropertyNames.SAMPLING_PERIOD)
.withAny(ValuePropertyNames.SCHEDULE_CALCULATOR)
.withAny(ValuePropertyNames.SAMPLING_FUNCTION)
.withAny(ValuePropertyNames.RETURN_CALCULATOR)
.withAny(ValuePropertyNames.STD_DEV_CALCULATOR)
.withAny(ValuePropertyNames.EXCESS_RETURN_CALCULATOR).get();
}
private ValueProperties getResultProperties(final ValueRequirement desiredValue) {
return createValueProperties()
.with(ValuePropertyNames.SAMPLING_PERIOD, desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD))
.with(ValuePropertyNames.SCHEDULE_CALCULATOR, desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR))
.with(ValuePropertyNames.SAMPLING_FUNCTION, desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION))
.with(ValuePropertyNames.RETURN_CALCULATOR, desiredValue.getConstraint(ValuePropertyNames.RETURN_CALCULATOR))
.with(ValuePropertyNames.STD_DEV_CALCULATOR, desiredValue.getConstraint(ValuePropertyNames.STD_DEV_CALCULATOR))
.with(ValuePropertyNames.EXCESS_RETURN_CALCULATOR, desiredValue.getConstraint(ValuePropertyNames.EXCESS_RETURN_CALCULATOR)).get();
}
private TimeSeriesReturnCalculator getReturnCalculator(final Set<String> returnCalculatorNames) {
if (returnCalculatorNames == null || returnCalculatorNames.isEmpty() || returnCalculatorNames.size() != 1) {
throw new OpenGammaRuntimeException("Missing or non-unique return calculator name: " + returnCalculatorNames);
}
return TimeSeriesReturnCalculatorFactory.getReturnCalculator(returnCalculatorNames.iterator().next());
}
private SharpeRatioCalculator getCalculator(final Set<String> excessReturnCalculatorNames, final Set<String> stdDevCalculatorNames) {
if (excessReturnCalculatorNames == null || excessReturnCalculatorNames.isEmpty() || excessReturnCalculatorNames.size() != 1) {
throw new OpenGammaRuntimeException("Missing or non-unique excess return calculator name: " + excessReturnCalculatorNames);
}
if (stdDevCalculatorNames == null || stdDevCalculatorNames.isEmpty() || stdDevCalculatorNames.size() != 1) {
throw new OpenGammaRuntimeException("Missing or non-unique standard deviation calculator name: " + stdDevCalculatorNames);
}
final DoubleTimeSeriesStatisticsCalculator excessReturnCalculator =
new DoubleTimeSeriesStatisticsCalculator(StatisticsCalculatorFactory.getCalculator(excessReturnCalculatorNames.iterator().next()));
final DoubleTimeSeriesStatisticsCalculator stdDevCalculator =
new DoubleTimeSeriesStatisticsCalculator(StatisticsCalculatorFactory.getCalculator(stdDevCalculatorNames.iterator().next()));
return new SharpeRatioCalculator(WORKING_DAYS_PER_YEAR, excessReturnCalculator, stdDevCalculator);
}
}