/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.pnl;
import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY;
import static com.opengamma.engine.value.ValueRequirementNames.HISTORICAL_FX_TIME_SERIES;
import static com.opengamma.engine.value.ValueRequirementNames.RETURN_SERIES;
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.Instant;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.core.position.Position;
import com.opengamma.core.security.Security;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
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.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.analytics.model.CalculationPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.forex.ConventionBasedFXRateFunction;
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.financial.security.fx.NonDeliverableFXForwardSecurity;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.money.UnorderedCurrencyPair;
/**
* Function that calculates the P&L for an FX forward due to movements in the underlying spot rate.
*/
public class FXForwardCurrencyExposurePnLFunction extends AbstractFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(FXForwardCurrencyExposurePnLFunction.class);
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
final CurrencyPairs currencyPairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
return new Compiled(currencyPairs);
}
/**
* Compiled function that calculates the P&L for an FX forward due to movements in the underlying spot rate.
*/
protected class Compiled extends AbstractInvokingCompiledFunction {
/** The currency pairs */
private final CurrencyPairs _currencyPairs;
/**
* @param currencyPairs The currency pairs, not null
*/
public Compiled(final CurrencyPairs currencyPairs) {
ArgumentChecker.notNull(currencyPairs, "currency pairs");
_currencyPairs = currencyPairs;
}
// CompiledFunctionDefinition
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.POSITION;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getPosition().getSecurity();
return security instanceof FXForwardSecurity || security instanceof NonDeliverableFXForwardSecurity;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Sets.newHashSet(new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), ValueProperties.all()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> payCurveNames = constraints.getValues(ValuePropertyNames.PAY_CURVE);
if (payCurveNames == null || payCurveNames.size() != 1) {
return null;
}
final Set<String> payCurveCalculationConfigs = constraints.getValues(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
if (payCurveCalculationConfigs == null || payCurveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> receiveCurveNames = constraints.getValues(ValuePropertyNames.RECEIVE_CURVE);
if (receiveCurveNames == null || receiveCurveNames.size() != 1) {
return null;
}
final Set<String> receiveCurveCalculationConfigs = constraints.getValues(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
if (receiveCurveCalculationConfigs == null || receiveCurveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> calculationMethods = constraints.getValues(ValuePropertyNames.CALCULATION_METHOD);
if (calculationMethods == null || calculationMethods.size() != 1) {
final ValueProperties newConstraints = constraints.copy()
.withoutAny(ValuePropertyNames.CALCULATION_METHOD)
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING)
.get();
return Collections.singleton(new ValueRequirement(ValueRequirementNames.PNL_SERIES, target.toSpecification(), newConstraints));
}
final Set<ValueRequirement> requirements = new HashSet<>();
final String calculationMethod = Iterables.getOnlyElement(calculationMethods);
final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
if (CalculationPropertyNamesAndValues.DISCOUNTING.equals(calculationMethod)) {
requirements.add(new ValueRequirement(ValueRequirementNames.FX_CURRENCY_EXPOSURE, ComputationTargetSpecification.of(target.getPosition().getSecurity()),
ValueProperties.builder()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.DISCOUNTING)
.with(ValuePropertyNames.PAY_CURVE, payCurveNames.iterator().next())
.with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, payCurveCalculationConfigs.iterator().next())
.with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveNames.iterator().next())
.with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, receiveCurveCalculationConfigs.iterator().next()).get()));
} else if (CalculationPropertyNamesAndValues.FORWARD_POINTS.equals(calculationMethod)) {
final Set<String> forwardCurveNames = constraints.getValues(ValuePropertyNames.FORWARD_CURVE_NAME);
if (forwardCurveNames == null || forwardCurveNames.size() != 1) {
return null;
}
final String forwardCurveName = Iterables.getOnlyElement(forwardCurveNames);
requirements.add(new ValueRequirement(ValueRequirementNames.FX_CURRENCY_EXPOSURE, ComputationTargetSpecification.of(target.getPosition().getSecurity()),
ValueProperties.builder()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.FORWARD_POINTS)
.with(ValuePropertyNames.PAY_CURVE, payCurveNames.iterator().next())
.with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, payCurveCalculationConfigs.iterator().next())
.with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveNames.iterator().next())
.with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, receiveCurveCalculationConfigs.iterator().next())
.with(ValuePropertyNames.FORWARD_CURVE_NAME, forwardCurveName).get()));
} else {
return null;
}
final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final String resultCurrency;
final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency baseCurrency = baseQuotePair.getBase();
final Currency nonBaseCurrency = baseQuotePair.getCounter();
if (resultCurrencies != null && resultCurrencies.size() == 1) {
final Currency ccy = Currency.of(Iterables.getOnlyElement(resultCurrencies));
if (!(ccy.equals(payCurrency) || ccy.equals(receiveCurrency))) {
requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(baseCurrency, ccy)));
resultCurrency = ccy.getCode();
} else if (ccy.equals(nonBaseCurrency)) {
requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(nonBaseCurrency, baseCurrency)));
resultCurrency = nonBaseCurrency.getCode();
} else {
requirements.add(ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(UnorderedCurrencyPair.of(baseCurrency, nonBaseCurrency)));
resultCurrency = baseCurrency.getCode();
}
} else {
resultCurrency = baseCurrency.getCode();
}
final ValueProperties fxSpotConstraints = desiredValue.getConstraints().copy()
.withoutAny(ValuePropertyNames.PAY_CURVE)
.withoutAny(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG)
.withoutAny(ValuePropertyNames.RECEIVE_CURVE)
.withoutAny(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG)
.withoutAny(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS)
.withoutAny(ValuePropertyNames.CURVE_CURRENCY)
.withoutAny(ValuePropertyNames.CALCULATION_METHOD)
.withoutAny(ValuePropertyNames.FORWARD_CURVE_NAME)
.with(CURRENCY, resultCurrency).withOptional(CURRENCY)
.get();
final ComputationTargetSpecification fxSpotReturnSeriesSpec = ComputationTargetType.UNORDERED_CURRENCY_PAIR.specification(UnorderedCurrencyPair.of(payCurrency, receiveCurrency));
requirements.add(new ValueRequirement(ValueRequirementNames.RETURN_SERIES, fxSpotReturnSeriesSpec, fxSpotConstraints));
return requirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
if (inputs.size() == 1) {
final ValueSpecification input = Iterables.getOnlyElement(inputs.keySet());
if (ValueRequirementNames.PNL_SERIES.equals(input.getValueName())) {
return Collections.singleton(input);
}
}
final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(security.getPayCurrency(), security.getReceiveCurrency());
if (currencyPair == null) {
return null;
}
final Currency currencyBase = currencyPair.getBase();
String resultCurrency = null;
final ValueProperties.Builder builder = createValueProperties();
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification inputSpec = entry.getKey();
final ValueRequirement inputReq = entry.getValue();
if (inputReq.getValueName().equals(RETURN_SERIES)) {
final Set<String> resultCurrencies = inputReq.getConstraints().getValues(CURRENCY);
if (resultCurrencies != null && resultCurrencies.size() == 1) {
resultCurrency = inputReq.getConstraint(CURRENCY);
} else {
resultCurrency = currencyBase.getCode();
}
}
for (final String propertyName : inputSpec.getProperties().getProperties()) {
if (ValuePropertyNames.FUNCTION.equals(propertyName)) {
continue;
}
final Set<String> values = inputSpec.getProperties().getValues(propertyName);
if (values == null || values.isEmpty()) {
builder.withAny(propertyName);
} else {
builder.with(propertyName, values);
}
}
}
if (resultCurrency == null) {
return null;
}
builder.with(ValuePropertyNames.CURRENCY, resultCurrency)
.with(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS, ValueRequirementNames.FX_CURRENCY_EXPOSURE);
return ImmutableSet.of(new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), builder.get()));
}
// FunctionInvoker
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Position position = target.getPosition();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
final FXForwardSecurity security = (FXForwardSecurity) position.getSecurity();
final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
final Currency payCurrency = security.getPayCurrency();
final Currency receiveCurrency = security.getReceiveCurrency();
final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency baseCurrency = currencyPair.getBase();
final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
final double exposure = mca.getAmount(currencyNonBase);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), desiredValue.getConstraints());
if (resultCurrencies == null || resultCurrencies.size() != 1) {
s_logger.warn("No Currency property - returning result in base currency");
final LocalDateDoubleTimeSeries fxSpotReturnSeries = (LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.RETURN_SERIES);
final LocalDateDoubleTimeSeries pnlSeries = fxSpotReturnSeries.multiply(position.getQuantity().doubleValue() * exposure); // The P/L time series is in the base currency
return Collections.singleton(new ComputedValue(spec, pnlSeries));
}
final Currency resultCurrency = Currency.of(Iterables.getOnlyElement(resultCurrencies));
final LocalDateDoubleTimeSeries conversionTS = (LocalDateDoubleTimeSeries) inputs.getValue(HISTORICAL_FX_TIME_SERIES);
if (conversionTS == null) {
throw new OpenGammaRuntimeException("Asked for result in " + resultCurrency + " but could not get " + baseCurrency + "/" + resultCurrency + " conversion series");
}
if (resultCurrency.equals(baseCurrency)) {
final LocalDateDoubleTimeSeries fxSpotReturnSeries = (LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.RETURN_SERIES);
final LocalDateDoubleTimeSeries convertedSeries = conversionTS.reciprocal().multiply(position.getQuantity().doubleValue() * exposure); // The P/L time series is in the base currency
final LocalDateDoubleTimeSeries pnlSeries = fxSpotReturnSeries.multiply(convertedSeries); // The P/L time series is in the base currency
return Collections.singleton(new ComputedValue(spec, pnlSeries));
}
final LocalDateDoubleTimeSeries fxSpotReturnSeries = (LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.RETURN_SERIES);
final LocalDateDoubleTimeSeries convertedSeries = conversionTS.multiply(position.getQuantity().doubleValue() * exposure); // The P/L time series is in the base currency
final LocalDateDoubleTimeSeries pnlSeries = convertedSeries.multiply(fxSpotReturnSeries);
return Collections.singleton(new ComputedValue(spec, pnlSeries));
}
}
}