/**
* 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.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.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.swaption.SwaptionCashFixedIborDefinition;
import com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle;
import com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.RegionSource;
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.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.SwaptionSecurityConverterDeprecated;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.swaption.SwaptionUtils;
import com.opengamma.financial.convention.ConventionBundleSource;
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.option.SwaptionSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
*
*/
public class SwaptionConstantSpreadThetaFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(SwaptionConstantSpreadThetaFunction.class);
private FinancialSecurityVisitor<InstrumentDefinition<?>> _visitor;
@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 SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
final SwaptionSecurityConverterDeprecated swaptionConverter = new SwaptionSecurityConverterDeprecated(securitySource, swapConverter);
_visitor = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().swaptionVisitor(swaptionConverter).create();
ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceName, currency));
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
}
final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
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(); //TODO
final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final InstrumentDefinition<?> definition = security.accept(_visitor);
if (definition == null) {
throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
}
final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
SwaptionUtils.getSwapGenerator(security, definition, securitySource));
final YieldCurveWithBlackSwaptionBundle blackData = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
if (security.isCashSettled()) {
final SwaptionCashFixedIborDefinition cashSettled = (SwaptionCashFixedIborDefinition) definition;
final MultipleCurrencyAmount theta = calculator.getTheta(cashSettled, now, curveNames, blackData, Integer.parseInt(daysForward));
return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, surfaceName, currency.getCode(), daysForward), theta));
}
final SwaptionPhysicalFixedIborDefinition physicallySettled = (SwaptionPhysicalFixedIborDefinition) definition;
final MultipleCurrencyAmount theta = calculator.getTheta(physicallySettled, now, curveNames, blackData, Integer.parseInt(daysForward));
return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, surfaceName, currency.getCode(), daysForward), theta));
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.SWAPTION_SECURITY;
}
@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 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(target.getSecurity());
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());
}
final Set<String> surfaceNames = desiredValue.getConstraints().getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final String surfaceName = surfaceNames.iterator().next();
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
requirements.add(getVolatilityRequirement(surfaceName, FinancialSecurityUtils.getCurrency(target.getSecurity())));
requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
return requirements;
}
private ValueProperties.Builder getResultProperties(final String currency) {
final ValueProperties.Builder properties = createValueProperties()
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.withAny(ValuePropertyNames.SURFACE)
.with(ValuePropertyNames.CURRENCY, currency)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.withAny(PROPERTY_DAYS_TO_MOVE_FORWARD);
return properties;
}
private ValueProperties.Builder getResultProperties(final String currency, final String curveCalculationConfig, final String surfaceName, final String daysForward) {
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(ValuePropertyNames.CURRENCY, currency)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.with(PROPERTY_DAYS_TO_MOVE_FORWARD, daysForward);
return properties;
}
private ValueRequirement getVolatilityRequirement(final String surface, final Currency currency) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.SURFACE, surface)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.SWAPTION_ATM).get();
return new ValueRequirement(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE, ComputationTargetSpecification.of(currency), properties);
}
private ValueSpecification getResultSpec(final ComputationTarget target, final String curveCalculationConfig, final String surfaceName, final String currency, final String daysForward) {
return new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), getResultProperties(currency, curveCalculationConfig, surfaceName, daysForward).get());
}
}