/**
* 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.ValuePropertyNames.CALCULATION_METHOD;
import static com.opengamma.engine.value.ValueRequirementNames.PRESENT_VALUE;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import cern.jet.random.engine.MersenneTwister;
import cern.jet.random.engine.MersenneTwister64;
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.montecarlo.provider.HullWhiteMonteCarloMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
import com.opengamma.analytics.math.random.NormalRandomNumberGenerator;
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.FinancialSecurityUtils;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Calculates the present value of instruments using curves constructed using
* the Hull-White one-factor discounting method.
*/
public class HullWhiteMonteCarloDiscountingPVFunction extends HullWhiteDiscountingFunction {
/** The present value calculator */
private static final HullWhiteMonteCarloMethod CALCULATOR = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0,
new MersenneTwister(MersenneTwister64.DEFAULT_SEED)), 125000);
/**
* Sets the value requirements to {@link ValueRequirementNames#PRESENT_VALUE}
*/
public HullWhiteMonteCarloDiscountingPVFunction() {
super(PRESENT_VALUE);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new HullWhiteCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@Override
public boolean canApplyTo(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
if (security instanceof SwaptionSecurity) {
final SwaptionSecurity swaptionSecurity = (SwaptionSecurity) security;
return !swaptionSecurity.isCashSettled();
}
return false;
}
@Override
protected ValueProperties.Builder getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
return super.getResultProperties(compilationContext, target)
.with(CALCULATION_METHOD, "Monte Carlo");
}
@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 ValueProperties properties = desiredValue.getConstraints().copy().get();
final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
final MultipleCurrencyAmount mca = CALCULATOR.presentValue(derivative, currency, data);
final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, mca.getAmount(currency)));
}
};
}
}