/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.forex.forward;
import static com.opengamma.engine.value.ValuePropertyNames.PAY_CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG;
import static com.opengamma.engine.value.ValuePropertyNames.RECEIVE_CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG;
import java.util.Collections;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.calculator.MarketQuoteSensitivityCalculator;
import com.opengamma.analytics.financial.curve.interestrate.sensitivity.ParameterSensitivityCalculator;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity;
import com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivityIRSCalculator;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.CurrencyPairsFunction;
import com.opengamma.financial.analytics.ircurve.InterpolatedYieldCurveSpecificationWithSecurities;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.FunctionUtils;
import com.opengamma.financial.analytics.model.YieldCurveNodeSensitivitiesHelper;
import com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveFunction;
import com.opengamma.financial.analytics.model.curve.interestrate.ImpliedDepositCurveFunction;
import com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePropertiesAndDefaults;
import com.opengamma.financial.analytics.model.discounting.DiscountingYCNSFunction;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.fx.FXForwardSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
/**
* Calculates yield curve node sensitivities for FX forwards.
*
* @deprecated Use {@link DiscountingYCNSFunction}
*/
@Deprecated
public class FXForwardYCNSFunction extends FXForwardSingleValuedFunction {
private static final Logger s_logger = LoggerFactory.getLogger(FXForwardYCNSFunction.class);
private static final MarketQuoteSensitivityCalculator CALCULATOR =
new MarketQuoteSensitivityCalculator(new ParameterSensitivityCalculator(PresentValueCurveSensitivityIRSCalculator.getInstance()));
public FXForwardYCNSFunction() {
super(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES);
}
@Override
public void init(final FunctionCompilationContext context) {
ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
}
@Override
protected Set<ComputedValue> getResult(final Forex fxForward, final YieldCurveBundle data, final ComputationTarget target, final Set<ValueRequirement> desiredValues,
final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
final FXForwardSecurity security = (FXForwardSecurity) target.getSecurity();
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final String payCurveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
final String receiveCurveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
final String curveCurrency = desiredValue.getConstraint(ValuePropertyNames.CURVE_CURRENCY);
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final Object curveSensitivitiesObject = inputs.getValue(ValueRequirementNames.FX_CURVE_SENSITIVITIES);
final String resultCurveConfigName;
final String payCurrency = security.getPayCurrency().getCode();
if (curveCurrency.equals(payCurrency)) {
resultCurveConfigName = payCurveCalculationConfigName;
} else {
resultCurveConfigName = receiveCurveCalculationConfigName;
}
if (curveSensitivitiesObject == null) {
throw new OpenGammaRuntimeException("Could not get curve sensitivities");
}
final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
if (curveSpecObject == null) {
throw new OpenGammaRuntimeException("Could not get yield curve spec");
}
final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig resultCurveCalculationConfig = curveCalculationConfigSource.getConfig(resultCurveConfigName);
final String calculationMethod = resultCurveCalculationConfig.getCalculationMethod();
final String fullCurveName = curveName + "_" + curveCurrency;
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
final MultipleCurrencyInterestRateCurveSensitivity curveSensitivities = (MultipleCurrencyInterestRateCurveSensitivity) curveSensitivitiesObject;
final Map<String, List<DoublesPair>> sensitivitiesForCurrency = curveSensitivities.getSensitivity(Currency.of(curveCurrency)).getSensitivities();
final YieldCurveBundle dataForCurrency = new YieldCurveBundle();
dataForCurrency.setCurve(fullCurveName, data.getCurve(fullCurveName));
return getResult(inputs, calculationMethod, fullCurveName, dataForCurrency, curveSpec, sensitivitiesForCurrency, spec);
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE);
if (curveNames == null || curveNames.size() != 1) {
s_logger.error("Did not specify a curve name for requirement {}", desiredValue);
return null;
}
final Set<String> currencies = constraints.getValues(ValuePropertyNames.CURVE_CURRENCY);
if (currencies == null || currencies.size() != 1) {
s_logger.error("Did not specify a curve currency for requirement {}", desiredValue);
return null;
}
final String payCurveName = Iterables.getOnlyElement(constraints.getValues(PAY_CURVE));
final String receiveCurveName = Iterables.getOnlyElement(constraints.getValues(RECEIVE_CURVE));
final String payCurveCalculationConfig = Iterables.getOnlyElement(constraints.getValues(PAY_CURVE_CALCULATION_CONFIG));
final String receiveCurveCalculationConfig = Iterables.getOnlyElement(constraints.getValues(RECEIVE_CURVE_CALCULATION_CONFIG));
final String currency = Iterables.getOnlyElement(currencies);
final String curveName = Iterables.getOnlyElement(curveNames);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final String resultCurrency, resultCurveName, resultCurveConfigName;
if (!(curveName.equals(payCurveName) || curveName.equals(receiveCurveName))) {
s_logger.info("Curve name {} did not match either pay curve name {} or receive curve name {}", new Object[] {curveName, payCurveName, receiveCurveName });
return null;
}
if (currency.equals(payCurrency.getCode())) {
resultCurrency = payCurrency.getCode();
resultCurveName = payCurveName;
resultCurveConfigName = payCurveCalculationConfig;
} else if (currency.equals(receiveCurrency.getCode())) {
resultCurrency = receiveCurrency.getCode();
resultCurveName = receiveCurveName;
resultCurveConfigName = receiveCurveCalculationConfig;
} else {
return null;
}
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig resultCurveCalculationConfig = curveCalculationConfigSource.getConfig(resultCurveConfigName);
if (resultCurveCalculationConfig == null) {
s_logger.error("Could not find curve calculation configuration named " + resultCurveConfigName + " for currency " + resultCurrency);
return null;
}
final String resultCurveCalculationMethod = resultCurveCalculationConfig.getCalculationMethod();
requirements.add(getCurveSensitivitiesRequirement(payCurveName, payCurveCalculationConfig, receiveCurveName, receiveCurveCalculationConfig, target,
currency));
if (resultCurveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
return null;
}
requirements.add(getCurveSpecRequirement(resultCurrency, resultCurveName));
requirements.add(getJacobianRequirement(Currency.of(resultCurrency), resultCurveConfigName, resultCurveCalculationConfig.getCalculationMethod()));
if (resultCurveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
requirements.add(getCouponSensitivitiesRequirement(Currency.of(resultCurrency), resultCurveConfigName));
}
return requirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
String currencyPairConfigName = null;
String payCurveName = null;
String payCurveCalculationConfig = null;
String payCurveCalculationMethod = null;
String receiveCurveName = null;
String receiveCurveCalculationConfig = null;
String receiveCurveCalculationMethod = null;
String currency = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification specification = entry.getKey();
final ValueRequirement requirement = entry.getValue();
if (specification.getValueName().equals(ValueRequirementNames.CURRENCY_PAIRS)) {
currencyPairConfigName = specification.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
} else if (requirement.getValueName().equals(ValueRequirementNames.YIELD_CURVE)) {
final ValueProperties constraints = requirement.getConstraints();
if (constraints.getProperties().contains(ValuePropertyNames.PAY_CURVE)) {
payCurveName = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE));
payCurveCalculationConfig = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
payCurveCalculationMethod = specification.getProperty(ValuePropertyNames.CURVE_CALCULATION_METHOD);
} else if (constraints.getProperties().contains(ValuePropertyNames.RECEIVE_CURVE)) {
receiveCurveName = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE));
receiveCurveCalculationConfig = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
receiveCurveCalculationMethod = specification.getProperty(ValuePropertyNames.CURVE_CALCULATION_METHOD);
}
} else if (requirement.getValueName().equals(ValueRequirementNames.FX_CURVE_SENSITIVITIES)) {
currency = requirement.getConstraint(ValuePropertyNames.CURVE_CURRENCY);
}
}
if (currencyPairConfigName == null) {
return null;
}
final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final String curve, curveCalculationMethod;
if (payCurrency.getCode().equals(currency)) {
curve = payCurveName;
curveCalculationMethod = payCurveCalculationMethod;
} else {
curve = receiveCurveName;
curveCalculationMethod = receiveCurveCalculationMethod;
}
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(payCurrency, receiveCurrency);
if (baseQuotePair == null) {
s_logger.error("Could not get base/quote pair for currency pair (" + payCurrency + ", " + receiveCurrency + ")");
return null;
}
final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(payCurveName,
receiveCurveName, payCurveCalculationConfig, receiveCurveCalculationConfig, currency, curve, curveCalculationMethod).get());
return Collections.singleton(resultSpec);
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target) {
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING, MultiYieldCurvePropertiesAndDefaults.PAR_RATE_STRING,
ImpliedDepositCurveFunction.IMPLIED_DEPOSIT)
.withAny(ValuePropertyNames.PAY_CURVE)
.withAny(ValuePropertyNames.RECEIVE_CURVE)
.withAny(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG)
.withAny(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG)
.withAny(ValuePropertyNames.CURRENCY)
.withAny(ValuePropertyNames.CURVE_CURRENCY)
.withAny(ValuePropertyNames.CURVE);
return properties;
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final String payCurve, final String receiveCurve,
final String payCurveCalculationConfig, final String receiveCurveCalculationConfig, final CurrencyPair baseQuotePair) {
throw new UnsupportedOperationException();
}
protected ValueProperties.Builder getResultProperties(final String payCurve, final String receiveCurve,
final String payCurveCalculationConfig, final String receiveCurveCalculationConfig,
final String currency, final String curve, final String curveCalculationMethod) {
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod)
.with(ValuePropertyNames.PAY_CURVE, payCurve)
.with(ValuePropertyNames.RECEIVE_CURVE, receiveCurve)
.with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, payCurveCalculationConfig)
.with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, receiveCurveCalculationConfig)
.with(ValuePropertyNames.CURVE_CURRENCY, currency)
.with(ValuePropertyNames.CURVE, curve)
.with(ValuePropertyNames.CURRENCY, currency);
return properties;
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue) {
final String payCurveName = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE);
final String receiveCurveName = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE);
final String payCurveCalculationConfig = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
final String receiveCurveCalculationConfig = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String currency = desiredValue.getConstraint(ValuePropertyNames.CURVE_CURRENCY);
final String curveCalculationMethod = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_METHOD);
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod)
.with(ValuePropertyNames.PAY_CURVE, payCurveName)
.with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveName)
.with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, payCurveCalculationConfig)
.with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, receiveCurveCalculationConfig)
.with(ValuePropertyNames.CURVE_CURRENCY, currency)
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CURRENCY, currency);
return properties;
}
private static ValueRequirement getCurveSpecRequirement(final String currency, final String curveName) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName).get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, ComputationTargetSpecification.of(Currency.of(currency)), properties);
}
private static ValueRequirement getCurveSensitivitiesRequirement(final String payCurveName, final String payCurveCalculationConfig, final String receiveCurveName,
final String receiveCurveCalculationConfig, final ComputationTarget target, final String curveCurrency) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.PAY_CURVE, payCurveName)
.with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveName)
.with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, payCurveCalculationConfig)
.with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, receiveCurveCalculationConfig)
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING)
.with(ValuePropertyNames.CURVE_CURRENCY, curveCurrency).withOptional(ValuePropertyNames.CURVE_CURRENCY)
.get();
return new ValueRequirement(ValueRequirementNames.FX_CURVE_SENSITIVITIES, target.toSpecification(), properties);
}
private static ValueRequirement getJacobianRequirement(final Currency currency, final String curveCalculationConfigName, final String curveCalculationMethod) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod).get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(currency), properties);
}
private static ValueRequirement getCouponSensitivitiesRequirement(final Currency currency, final String curveCalculationConfigName) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING).get();
return new ValueRequirement(ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY, ComputationTargetSpecification.of(currency), properties);
}
private static Set<ComputedValue> getResult(final FunctionInputs inputs, final String calculationMethod,
final String fullCurveName, final YieldCurveBundle interpolatedCurveForCurrency, final InterpolatedYieldCurveSpecificationWithSecurities curveSpec,
final Map<String, List<DoublesPair>> sensitivitiesForCurrency, final ValueSpecification spec) {
final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
if (jacobianObject == null) {
throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
}
final double[][] array = FunctionUtils.decodeJacobian(jacobianObject);
final DoubleMatrix2D jacobian = new DoubleMatrix2D(array);
if (calculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PAR_RATE_STRING) || calculationMethod.equals(ImpliedDepositCurveFunction.IMPLIED_DEPOSIT)) {
final DoubleMatrix1D result = CALCULATOR.calculateFromParRate(sensitivitiesForCurrency, interpolatedCurveForCurrency, jacobian);
return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fullCurveName, interpolatedCurveForCurrency, result, curveSpec, spec);
}
final Object couponSensitivityObject = inputs.getValue(ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
if (couponSensitivityObject == null) {
throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
}
final DoubleMatrix1D couponSensitivity = (DoubleMatrix1D) couponSensitivityObject;
final DoubleMatrix1D result = CALCULATOR.calculateFromPresentValue(sensitivitiesForCurrency, interpolatedCurveForCurrency, couponSensitivity, jacobian);
return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fullCurveName, interpolatedCurveForCurrency, result, curveSpec, spec);
}
}