/**
* Copyright (C) 2011 - 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.HashSet;
import java.util.LinkedHashMap;
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.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.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.RegionSource;
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.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.CashSecurityConverter;
import com.opengamma.financial.analytics.conversion.FRASecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.InterestRateFutureSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.SwapSecurityUtils;
import com.opengamma.financial.analytics.fixedincome.FixedIncomeInstrumentCurveExposureHelper;
import com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType;
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.model.multicurve.MultiCurvePricingFunction;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.frequency.Frequency;
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.future.InterestRateFutureSecurity;
import com.opengamma.financial.security.swap.FloatingInterestRateLeg;
import com.opengamma.financial.security.swap.SwapSecurity;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Base function for pricing interest-rate instruments without optionality.
*
* @deprecated Use descendants of {@link MultiCurvePricingFunction}
*/
@Deprecated
public abstract class InterestRateInstrumentFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(InterestRateInstrumentFunction.class);
private FixedIncomeConverterDataProvider _definitionConverter;
private final String _valueRequirementName;
private FinancialSecurityVisitor<InstrumentDefinition<?>> _visitor;
public InterestRateInstrumentFunction(final String valueRequirementName) {
ArgumentChecker.notNull(valueRequirementName, "value requirement name");
_valueRequirementName = valueRequirementName;
}
@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 HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final CashSecurityConverter cashConverter = new CashSecurityConverter(holidaySource, regionSource);
final FRASecurityConverterDeprecated fraConverter = new FRASecurityConverterDeprecated(holidaySource, regionSource, conventionSource);
final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
final InterestRateFutureSecurityConverterDeprecated irFutureConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
_visitor = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().cashSecurityVisitor(cashConverter).fraSecurityVisitor(fraConverter)
.swapSecurityVisitor(swapConverter).interestRateFutureSecurityVisitor(irFutureConverter).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 FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final ValueRequirement desiredValue = desiredValues.iterator().next();
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 int numCurveNames = curveNames.length;
final String[] fullCurveNames = new String[numCurveNames];
for (int i = 0; i < numCurveNames; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
final String[] yieldCurveNames = numCurveNames == 1 ? new String[] {fullCurveNames[0], fullCurveNames[0] } : fullCurveNames;
final String[] curveNamesForSecurity = FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, yieldCurveNames[0], yieldCurveNames[1]);
final YieldCurveBundle bundle = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
final InstrumentDefinition<?> definition = security.accept(_visitor);
if (definition == null) {
throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
}
final InstrumentDerivative derivative = getDerivative(security, now, timeSeries, curveNamesForSecurity, definition, _definitionConverter);
return getComputedValues(derivative, bundle, security, target, curveCalculationConfigName, currency.getCode());
}
@Override
public ComputationTargetType getTargetType() {
return InterestRateInstrumentType.FIXED_INCOME_INSTRUMENT_TARGET_TYPE;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
//TODO remove this when we've checked that removing IR futures from the fixed income instrument types
// doesn't break curves
if (target.getSecurity() instanceof InterestRateFutureSecurity) {
return false;
}
if (security instanceof SwapSecurity) {
try {
final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity(security);
return type == InterestRateInstrumentType.SWAP_FIXED_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD
|| type == InterestRateInstrumentType.SWAP_IBOR_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_OIS;
} catch (final OpenGammaRuntimeException ogre) {
return false;
}
}
return true;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final String currency = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode();
final ValueProperties.Builder properties = getResultProperties(currency);
return Collections.singleton(new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
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.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
s_logger.info("Security currency and curve calculation config id were not equal; have {} and {}", currency, curveCalculationConfig.getTarget());
return null;
}
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
try {
final Set<ValueRequirement> timeSeriesRequirements = 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 FinancialSecurityVisitor<InstrumentDefinition<?>> getVisitor() {
return _visitor;
}
protected FixedIncomeConverterDataProvider getConverter() {
return _definitionConverter;
}
protected String getValueRequirementName() {
return _valueRequirementName;
}
protected abstract Set<ComputedValue> getComputedValues(InstrumentDerivative derivative, YieldCurveBundle bundle, FinancialSecurity security, ComputationTarget target,
String curveCalculationConfigName, String currency);
protected ValueProperties.Builder getResultProperties(final String currency) {
final ValueProperties.Builder properties = createValueProperties()
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.with(ValuePropertyNames.CURRENCY, currency);
return properties;
}
protected ValueProperties.Builder getResultProperties(final String currency, final String curveCalculationConfigName) {
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURRENCY, currency);
return properties;
}
protected ValueSpecification getResultSpec(final ComputationTarget target, final String curveCalculationConfigName, final String currency) {
return new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(currency, curveCalculationConfigName).get());
}
protected static Set<ValueRequirement> getCurveRequirements(final MultiCurveCalculationConfig curveConfig, final ConfigDBCurveCalculationConfigSource configSource) {
final Set<ValueRequirement> requirements = new HashSet<>();
if (curveConfig.getExogenousConfigData() != null) {
final LinkedHashMap<String, String[]> exogenousCurves = curveConfig.getExogenousConfigData();
for (final Map.Entry<String, String[]> entry : exogenousCurves.entrySet()) {
final String exogenousConfigName = entry.getKey();
final MultiCurveCalculationConfig exogenousConfig = configSource.getConfig(exogenousConfigName);
final ComputationTargetSpecification target = exogenousConfig.getTarget();
final String curveCalculationMethod = exogenousConfig.getCalculationMethod();
for (final String exogenousCurveName : entry.getValue()) {
requirements.add(getCurveRequirement(target, exogenousCurveName, exogenousConfigName, curveCalculationMethod));
}
requirements.addAll(getCurveRequirements(exogenousConfig, configSource));
}
}
final String[] yieldCurveNames = curveConfig.getYieldCurveNames();
final String curveCalculationConfigName = curveConfig.getCalculationConfigName();
final String curveCalculationMethod = curveConfig.getCalculationMethod();
final ComputationTargetSpecification target = curveConfig.getTarget();
for (final String yieldCurveName : yieldCurveNames) {
requirements.add(getCurveRequirement(target, yieldCurveName, curveCalculationConfigName, curveCalculationMethod));
}
return requirements;
}
protected static ValueRequirement getCurveRequirement(final ComputationTargetSpecification target, final String yieldCurveName, final String curveCalculationConfigName,
final String curveCalculationMethod) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, yieldCurveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod).get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, target, properties);
}
//TODO won't work if curves have different currencies
protected static YieldCurveBundle getYieldCurves(final FunctionInputs inputs, final MultiCurveCalculationConfig curveConfig, final ConfigDBCurveCalculationConfigSource configSource) {
final YieldCurveBundle curves = new YieldCurveBundle();
if (curveConfig.getExogenousConfigData() != null) {
final LinkedHashMap<String, String[]> exogenousCurves = curveConfig.getExogenousConfigData();
for (final Map.Entry<String, String[]> entry : exogenousCurves.entrySet()) {
final String exogenousConfigName = entry.getKey();
final MultiCurveCalculationConfig exogenousConfig = configSource.getConfig(exogenousConfigName);
final ComputationTargetSpecification target = exogenousConfig.getTarget();
final String exogenousCalculationMethod = exogenousConfig.getCalculationMethod();
for (final String curveName : entry.getValue()) {
final ValueRequirement curveRequirement = getCurveRequirement(target, curveName, exogenousConfigName, exogenousCalculationMethod);
final Object curveObject = inputs.getValue(curveRequirement);
if (curveObject == null) {
throw new OpenGammaRuntimeException("Could not get curve called " + curveName);
}
final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
curves.setCurve(curveName, curve);
}
curves.addAll(getYieldCurves(inputs, exogenousConfig, configSource));
}
}
final String[] curveNames = curveConfig.getYieldCurveNames();
final ComputationTargetSpecification target = curveConfig.getTarget();
for (final String curveName : curveNames) {
final ValueRequirement curveRequirement = getCurveRequirement(target, curveName, curveConfig.getCalculationConfigName(), curveConfig.getCalculationMethod());
final Object curveObject = inputs.getValue(curveRequirement);
if (curveObject == null) {
throw new OpenGammaRuntimeException("Could not get curve called " + curveName);
}
final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
curves.setCurve(curveName, curve);
}
return curves;
}
static InstrumentDerivative getDerivative(final FinancialSecurity security, final ZonedDateTime now, final HistoricalTimeSeriesBundle timeSeries, final String[] curveNames,
final InstrumentDefinition<?> definition, final FixedIncomeConverterDataProvider definitionConverter) {
final InstrumentDerivative derivative;
if (security instanceof SwapSecurity) {
final SwapSecurity swapSecurity = (SwapSecurity) security;
final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType(swapSecurity);
if (type == InterestRateInstrumentType.SWAP_FIXED_IBOR || type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD || type == InterestRateInstrumentType.SWAP_FIXED_OIS) {
final Frequency resetFrequency;
if (swapSecurity.getPayLeg() instanceof FloatingInterestRateLeg) {
resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getPayLeg()).getFrequency();
} else {
resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getReceiveLeg()).getFrequency();
}
derivative = definitionConverter.convert(security, definition, now,
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, curveNames, resetFrequency), timeSeries);
} else {
derivative = definitionConverter.convert(security, definition, now,
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, curveNames), timeSeries);
}
} else {
derivative = definitionConverter.convert(security, definition, now,
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, curveNames), timeSeries);
}
return derivative;
}
static Set<ValueRequirement> getDerivativeTimeSeriesRequirements(final FinancialSecurity security, final InstrumentDefinition<?> definition,
final FixedIncomeConverterDataProvider definitionConverter) {
return definitionConverter.getConversionTimeSeriesRequirements(security, definition);
}
}