/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.horizon;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_CALCULATION_CONFIG;
import static com.opengamma.engine.value.ValueRequirementNames.HISTORICAL_TIME_SERIES;
import static com.opengamma.financial.analytics.model.horizon.ThetaPropertyNamesAndValues.PROPERTY_DAYS_TO_MOVE_FORWARD;
import static com.opengamma.financial.analytics.model.horizon.ThetaPropertyNamesAndValues.PROPERTY_THETA_CALCULATION_METHOD;
import static com.opengamma.financial.analytics.model.horizon.ThetaPropertyNamesAndValues.THETA_CONSTANT_SPREAD;
import java.util.Collections;
import java.util.HashSet;
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.horizon.ConstantSpreadHorizonThetaCalculator;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.instrument.swap.SwapDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
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.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.FixingTimeSeriesVisitor;
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.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.frequency.Frequency;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.FinancialSecurityVisitor;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.swap.FloatingInterestRateLeg;
import com.opengamma.financial.security.swap.SwapSecurity;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.timeseries.precise.zdt.ZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
*
*/
public class SwapConstantSpreadThetaFunction extends AbstractFunction.NonCompiledInvoker {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(SwapConstantSpreadThetaFunction.class);
/** Converts securities to definitions */
private FinancialSecurityVisitor<InstrumentDefinition<?>> _visitor;
/** Converts definitions to derivatives */
private FixedIncomeConverterDataProvider _definitionConverter;
@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 SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
_visitor = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().swapSecurityVisitor(swapConverter).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 SwapSecurity security = (SwapSecurity) target.getSecurity();
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
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 Currency currency = FinancialSecurityUtils.getCurrency(security);
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 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 ZonedDateTimeDoubleTimeSeries[] fixingSeries = new ZonedDateTimeDoubleTimeSeries[] {FixingTimeSeriesVisitor.convertTimeSeries(
(HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES)) };
final String[] yieldCurveNames = numCurveNames == 1 ? new String[] {fullCurveNames[0], fullCurveNames[0] } : fullCurveNames;
final String[] curveNamesForSecurity = FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, yieldCurveNames[0], yieldCurveNames[1]);
final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
if (definition instanceof SwapDefinition) {
final MultipleCurrencyAmount theta = calculator.getTheta((SwapDefinition) definition, now, curveNamesForSecurity, bundle, fixingSeries, Integer.parseInt(daysForward));
return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, currency.getCode(), daysForward), theta));
}
throw new OpenGammaRuntimeException("Can only handle fixed / float ibor and ois swaps; have " + definition.getClass());
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.SWAP_SECURITY;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
if (!(target.getSecurity() instanceof SwapSecurity
&& InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) target.getSecurity()))) {
return false;
}
final InterestRateInstrumentType type = InterestRateInstrumentType.getInstrumentTypeFromSecurity((FinancialSecurity) target.getSecurity());
return type == InterestRateInstrumentType.SWAP_FIXED_IBOR ||
type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD ||
type == InterestRateInstrumentType.SWAP_FIXED_OIS;
}
@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(ValueRequirementNames.VALUE_THETA, 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> daysForwardNames = desiredValue.getConstraints().getValues(PROPERTY_DAYS_TO_MOVE_FORWARD);
if (daysForwardNames == null || daysForwardNames.size() != 1) {
return null;
}
final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
return null;
}
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
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.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
return null;
}
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 = YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource);
final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final ConventionBundleSource conventions = OpenGammaCompilationContext.getConventionBundleSource(context);
try {
final Set<ValueRequirement> fixingRequirements = getDerivativeTimeSeriesRequirements(security, security.accept(_visitor), _definitionConverter);
if (fixingRequirements == null) {
return null;
}
final Set<ValueRequirement> timeSeriesRequirements = new HashSet<>();
for (final ValueRequirement fixingRequirement : fixingRequirements) {
final ValueProperties properties = fixingRequirement.getConstraints().copy()
.with(PROPERTY_DAYS_TO_MOVE_FORWARD, daysForwardNames)
.withOptional(PROPERTY_DAYS_TO_MOVE_FORWARD)
.with(CURVE_CALCULATION_CONFIG, curveCalculationConfigNames)
.withOptional(CURVE_CALCULATION_CONFIG)
.get();
timeSeriesRequirements.add(new ValueRequirement(fixingRequirement.getValueName(), fixingRequirement.getTargetReference(), properties));
}
requirements.addAll(timeSeriesRequirements);
return requirements;
} catch (final Exception e) {
s_logger.error(e.getMessage());
return null;
}
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
String curveCalculationConfig = null;
String daysForward = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> input : inputs.entrySet()) {
final ValueSpecification specification = input.getKey();
final ValueRequirement requirement = input.getValue();
if (requirement.getValueName().equals(HISTORICAL_TIME_SERIES)) {
curveCalculationConfig = requirement.getConstraint(CURVE_CALCULATION_CONFIG);
daysForward = requirement.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
break;
}
}
if (curveCalculationConfig == null) {
return null;
}
final Currency currency = FinancialSecurityUtils.getCurrency(target.getSecurity());
return Collections.singleton(getResultSpec(target, curveCalculationConfig, currency.getCode(), daysForward));
}
/**
* Gets the result properties.
* @param currency The currency
* @return The result properties
*/
private ValueProperties.Builder getResultProperties(final String currency) {
final ValueProperties.Builder properties = createValueProperties()
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.with(ValuePropertyNames.CURRENCY, currency)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.withAny(PROPERTY_DAYS_TO_MOVE_FORWARD);
return properties;
}
/**
* Gets the result properties.
* @param currency The currency
* @param curveCalculationConfig The curve calculation configuration
* @param daysForward The days forward
* @return The result properties
*/
private ValueProperties.Builder getResultProperties(final String currency, final String curveCalculationConfig, final String daysForward) {
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(ValuePropertyNames.CURRENCY, currency)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.with(PROPERTY_DAYS_TO_MOVE_FORWARD, daysForward);
return properties;
}
/**
* Gets the result specification.
* @param target The target
* @param curveCalculationConfig The curve calculation configuration
* @param currency The currency
* @param daysForward The days forward
* @return The result properties
*/
private ValueSpecification getResultSpec(final ComputationTarget target, final String curveCalculationConfig, final String currency, final String daysForward) {
return new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), getResultProperties(currency, curveCalculationConfig, daysForward).get());
}
private static InstrumentDerivative getDerivative(final FinancialSecurity security, final ZonedDateTime now, final HistoricalTimeSeriesBundle timeSeries, final String[] curveNames,
final InstrumentDefinition<?> definition, final FixedIncomeConverterDataProvider definitionConverter) {
final InstrumentDerivative derivative;
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);
}
return derivative;
}
/**
* Gets the fixing time series requirements for a swap
* @param security The security
* @param definition The definition
* @param definitionConverter The definition converter
* @return The set of fixing time series requirements
*/
private static Set<ValueRequirement> getDerivativeTimeSeriesRequirements(final FinancialSecurity security, final InstrumentDefinition<?> definition,
final FixedIncomeConverterDataProvider definitionConverter) {
return definitionConverter.getConversionTimeSeriesRequirements(security, definition);
}
}