/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.hullwhitediscounting;
import static com.opengamma.engine.value.ValueRequirementNames.CONVEXITY_ADJUSTMENT;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.ConvexityAdjustmentHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
import com.opengamma.core.security.Security;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.CompiledFunctionDefinition;
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.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.security.future.DeliverableSwapFutureSecurity;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
/**
* Calculates the convexity adjustment of instruments that have been priced using
* the Hull-White one factor method.
*/
public class HullWhiteConvexityAdjustmentFunction extends HullWhiteDiscountingFunction {
/** The convexity adjustment calculator */
private static final InstrumentDerivativeVisitor<HullWhiteOneFactorProviderInterface, Double> CALCULATOR =
ConvexityAdjustmentHullWhiteCalculator.getInstance();
/**
* Sets the value requirements to {@link ValueRequirementNames#CONVEXITY_ADJUSTMENT}
*/
public HullWhiteConvexityAdjustmentFunction() {
super(CONVEXITY_ADJUSTMENT);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new HullWhiteCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@Override
protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative, final FXMatrix fxMatrix) {
final HullWhiteOneFactorProviderInterface data = getMergedProviders(inputs, fxMatrix);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final double convexityAdjustment = derivative.accept(CALCULATOR, data);
final ValueProperties properties = desiredValue.getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(CONVEXITY_ADJUSTMENT, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, convexityAdjustment));
}
@Override
public boolean canApplyTo(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
return security instanceof DeliverableSwapFutureSecurity ||
security instanceof InterestRateFutureSecurity;
}
};
}
}