/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.fixedincome;
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.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.position.Trade;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.Security;
import com.opengamma.core.security.SecuritySource;
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.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.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.BondFutureSecurityConverter;
import com.opengamma.financial.analytics.conversion.BondSecurityConverter;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.fixedincome.FixedIncomeInstrumentCurveExposureHelper;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.FinancialSecurityVisitor;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.bond.BondSecurity;
import com.opengamma.financial.security.future.BondFutureSecurity;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
*
*/
@Deprecated
public abstract class BondTradeCurveSpecificFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(BondTradeCurveSpecificFunction.class);
/** The requested curve property */
protected static final String PROPERTY_REQUESTED_CURVE = ValuePropertyNames.OUTPUT_RESERVED_PREFIX + "RequestedCurve";
private final String _valueRequirement;
private FinancialSecurityVisitor<InstrumentDefinition<?>> _visitor;
private FixedIncomeConverterDataProvider _definitionConverter;
public BondTradeCurveSpecificFunction(final String valueRequirement) {
ArgumentChecker.notNull(valueRequirement, "value requirement");
_valueRequirement = valueRequirement;
}
@Override
public void init(final FunctionCompilationContext context) {
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final BondSecurityConverter bondConverter = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
final BondFutureSecurityConverter bondFutureConverter = new BondFutureSecurityConverter(securitySource, bondConverter);
_visitor = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().bondSecurityVisitor(bondConverter)
.bondFutureSecurityVisitor(bondFutureConverter).create();
_definitionConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Trade trade = target.getTrade();
final FinancialSecurity security = (FinancialSecurity) trade.getSecurity();
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
final String fullCurveName = curveName + "_" + currency;
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final InstrumentDefinition<?> definition = security.accept(_visitor);
if (definition == null) {
throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
}
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final String[] fullCurveNames = new String[curveNames.length];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency;
}
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
final InstrumentDerivative derivative = InterestRateInstrumentFunction.getDerivative(security, now, timeSeries, fullCurveNames, definition, _definitionConverter);
final YieldCurveBundle bundle = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final ValueProperties properties = createValueProperties(target, curveName, curveCalculationConfigName).get();
final ValueSpecification resultSpec = new ValueSpecification(_valueRequirement, target.toSpecification(), properties);
return getResults(derivative, fullCurveName, bundle, curveCalculationConfigName, curveCalculationMethod, inputs, target, resultSpec);
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.TRADE;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Trade trade = target.getTrade();
final Security security = trade.getSecurity();
return security instanceof BondSecurity || security instanceof BondFutureSecurity;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = createValueProperties(target).get();
return Collections.singleton(new ValueSpecification(_valueRequirement, target.toSpecification(), properties));
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final ValueProperties.Builder properties = createValueProperties(target);
if (OpenGammaCompilationContext.isPermissive(context)) {
for (final ValueRequirement input : inputs.values()) {
final String curve = input.getConstraint(PROPERTY_REQUESTED_CURVE);
if (curve != null) {
properties.withoutAny(ValuePropertyNames.CURVE).with(ValuePropertyNames.CURVE, curve);
break;
}
}
}
return Collections.singleton(new ValueSpecification(_valueRequirement, target.toSpecification(), properties.get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
Set<String> requestedCurveNames = constraints.getValues(ValuePropertyNames.CURVE);
final boolean permissive = OpenGammaCompilationContext.isPermissive(context);
if (!permissive && ((requestedCurveNames == null) || requestedCurveNames.isEmpty())) {
s_logger.debug("Must specify a curve name");
return null;
}
final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
s_logger.debug("Must specify a curve calculation config");
return null;
}
final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
s_logger.debug("Could not find curve calculation configuration named " + curveCalculationConfigName);
return null;
}
final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
s_logger.error("Security currency and curve calculation config id were not equal; have {} and {}", currency, curveCalculationConfig.getTarget());
return null;
}
final String[] availableCurveNames = curveCalculationConfig.getYieldCurveNames();
if ((requestedCurveNames == null) || requestedCurveNames.isEmpty()) {
requestedCurveNames = Sets.newHashSet(availableCurveNames);
} else {
final Set<String> intersection = YieldCurveFunctionUtils.intersection(requestedCurveNames, availableCurveNames);
if (intersection.isEmpty()) {
s_logger.debug("None of the requested curves {} are available in curve calculation configuration called {}", requestedCurveNames, curveCalculationConfigName);
return null;
}
requestedCurveNames = intersection;
}
final String[] applicableCurveNames = FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, availableCurveNames);
final Set<String> curveNames = YieldCurveFunctionUtils.intersection(requestedCurveNames, applicableCurveNames);
if (curveNames.isEmpty()) {
s_logger.debug("{} {} security is not sensitive to the curves {}", new Object[] {currency, security.getClass(), curveNames });
return null;
}
if (!permissive && (curveNames.size() != 1)) {
s_logger.debug("Must specify single curve name constraint, got {}", curveNames);
return null;
}
final String curve = curveNames.iterator().next();
final Set<ValueRequirement> curveRequirements = YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource);
final Set<ValueRequirement> requirements = Sets.newHashSetWithExpectedSize(curveRequirements.size());
for (final ValueRequirement curveRequirement : curveRequirements) {
final ValueProperties.Builder properties = curveRequirement.getConstraints().copy();
properties.with(PROPERTY_REQUESTED_CURVE, curve).withOptional(PROPERTY_REQUESTED_CURVE);
requirements.add(new ValueRequirement(curveRequirement.getValueName(), curveRequirement.getTargetReference(), properties.get()));
}
try {
final Set<ValueRequirement> timeSeriesRequirements = InterestRateInstrumentFunction.getDerivativeTimeSeriesRequirements(security, security.accept(_visitor), _definitionConverter);
if (timeSeriesRequirements == null) {
return null;
}
requirements.addAll(timeSeriesRequirements);
return requirements;
} catch (final Exception e) {
s_logger.error(e.getMessage());
return null;
}
}
protected abstract Set<ComputedValue> getResults(final InstrumentDerivative derivative, final String curveName, final YieldCurveBundle curves,
final String curveCalculationConfigName, final String curveCalculationMethod, final FunctionInputs inputs, final ComputationTarget target,
final ValueSpecification resultSpec);
protected ValueProperties.Builder createValueProperties(final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CURRENCY, currency)
.with(ValuePropertyNames.CURVE_CURRENCY, currency)
.withAny(ValuePropertyNames.CURVE)
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
return properties;
}
protected ValueProperties.Builder createValueProperties(final ComputationTarget target, final String curveName, final String curveCalculationConfigName) {
final Security security = target.getTrade().getSecurity();
final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CURRENCY, currency)
.with(ValuePropertyNames.CURVE_CURRENCY, currency)
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName);
return properties;
}
protected FixedIncomeConverterDataProvider getConverter() {
return _definitionConverter;
}
protected String getValueRequirement() {
return _valueRequirement;
}
protected FinancialSecurityVisitor<InstrumentDefinition<?>> getVisitor() {
return _visitor;
}
}