/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.swaption.basicblack;
import java.util.Arrays;
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.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivityBlackCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueNodeSensitivityCalculator;
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.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.surface.ConstantDoublesSurface;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.ircurve.InterpolatedYieldCurveSpecificationWithSecurities;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.FunctionUtils;
import com.opengamma.financial.analytics.model.InterpolatedDataProperties;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.YieldCurveNodeSensitivitiesHelper;
import com.opengamma.financial.analytics.model.black.ConstantBlackDiscountingYCNSSwaptionFunction;
import com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveFunction;
import com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePropertiesAndDefaults;
import com.opengamma.financial.analytics.model.swaption.SwaptionUtils;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.util.money.Currency;
/**
* Calculates the yield curve node sensitivities of a swaption using the Black method with no volatility modelling assumptions. The implied volatility is read directly from the market data system.
* Note that this function produces the sensitivities with respect to a single, named curve.
* <p>
* Produces a result for {@link ValueRequirementNames#YIELD_CURVE_NODE_SENSITIVITIES} using {@link InstrumentSensitivityCalculator} with {@link PresentValueCurveSensitivityBlackCalculator}
*
* @deprecated Use {@link ConstantBlackDiscountingYCNSSwaptionFunction}
*/
@Deprecated
public class SwaptionBasicBlackYieldCurveNodeSensitivitiesFunction extends SwaptionBasicBlackCurveSpecificFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(SwaptionBasicBlackYieldCurveNodeSensitivitiesFunction.class);
/** The node sensitivity calculator */
private static final PresentValueNodeSensitivityCalculator NSC = PresentValueNodeSensitivityCalculator.using(PresentValueCurveSensitivityBlackCalculator.getInstance());
/** The instrument sensitivity calculator */
private static final InstrumentSensitivityCalculator CALCULATOR = InstrumentSensitivityCalculator.getInstance();
/**
* Sets {@link ValueRequirementNames#YIELD_CURVE_NODE_SENSITIVITIES} as the result.
*/
public SwaptionBasicBlackYieldCurveNodeSensitivitiesFunction() {
super(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String fullCurveName = curveName + "_" + currency.getCode();
final Object volatilityObject = inputs.getValue(MarketDataRequirementNames.IMPLIED_VOLATILITY);
if (volatilityObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility");
}
final double volatility = (Double) volatilityObject;
final VolatilitySurface volatilitySurface = new VolatilitySurface(ConstantDoublesSurface.from(volatility));
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
}
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
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);
}
String[] curveNames = curveCalculationConfig.getYieldCurveNames();
if (curveNames.length == 1) {
curveNames = new String[] {curveNames[0], curveNames[0] };
}
final String[] fullCurveNames = new String[curveNames.length];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
throw new UnsupportedOperationException("Cannot handle FX implied curves");
}
final InstrumentDefinition<?> definition = security.accept(getVisitor());
final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames); //TODO
final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
if (curveSpecObject == null) {
throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
}
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, curveName);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
SwaptionUtils.getSwapGenerator(security, definition, securitySource));
final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final YieldCurveBundle knownCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
final YieldCurveWithBlackSwaptionBundle knownData = knownCurves == null ? null : new YieldCurveWithBlackSwaptionBundle(parameters, knownCurves);
if (curveCalculationMethod.equals(InterpolatedDataProperties.CALCULATION_METHOD_NAME)) {
final DoubleMatrix1D sensitivities = CALCULATOR.calculateFromSimpleInterpolatedCurve(swaption, data, NSC);
return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fullCurveName, data, sensitivities, curveSpec, spec);
}
final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
if (jacobianObject == null) {
throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
}
final double[][] array = FunctionUtils.decodeJacobian(jacobianObject);
final DoubleMatrix2D jacobian = new DoubleMatrix2D(array);
DoubleMatrix1D sensitivities;
if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
final Object couponSensitivityObject = inputs.getValue(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
if (couponSensitivityObject == null) {
throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
}
final DoubleMatrix1D couponSensitivity = (DoubleMatrix1D) couponSensitivityObject;
sensitivities = CALCULATOR.calculateFromPresentValue(swaption, knownData, data, couponSensitivity, jacobian, NSC);
} else {
sensitivities = CALCULATOR.calculateFromParRate(swaption, knownData, data, jacobian, NSC);
}
return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fullCurveName, data, sensitivities, curveSpec, spec);
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.SWAPTION_SECURITY;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE);
if (curveNames == null || curveNames.size() != 1) {
s_logger.error("Did not specify a curve name for requirement {}", desiredValue);
return null;
}
final String curveName = Iterables.getOnlyElement(curveNames);
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());
return null;
}
final String[] configCurveNames = curveCalculationConfig.getYieldCurveNames();
if (Arrays.binarySearch(configCurveNames, curveName) < 0) {
s_logger.error("Curve named {} is not available in curve calculation configuration called {}", curveName, curveCalculationConfigName);
return null;
}
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
if (!curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
requirements.add(getCurveSpecRequirement(currency, curveName));
}
requirements.add(getJacobianRequirement(currency, curveCalculationConfigName, curveCalculationMethod));
if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
requirements.add(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
}
requirements.add(getVolatilityRequirement(ComputationTargetSpecification.of(target.getSecurity())));
return requirements;
}
private static ValueRequirement getVolatilityRequirement(final ComputationTargetSpecification target) {
return new ValueRequirement(MarketDataRequirementNames.IMPLIED_VOLATILITY, target, ValueProperties.builder().get());
}
private static ValueRequirement getJacobianRequirement(final Currency currency, final String curveCalculationConfigName, final String curveCalculationMethod) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod).get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(currency), properties);
}
private static ValueRequirement getCouponSensitivitiesRequirement(final Currency currency, final String curveCalculationConfigName) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING).get();
return new ValueRequirement(ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY, ComputationTargetSpecification.of(currency), properties);
}
private static ValueRequirement getCurveSpecRequirement(final Currency currency, final String curveName) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName).get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, ComputationTargetSpecification.of(currency), properties);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative swaption, final YieldCurveWithBlackSwaptionBundle data, final String curveName, final ValueSpecification spec,
final String curveCalculationConfigName, final String curveCalculationMethod, final FunctionInputs inputs, final ComputationTarget target) {
throw new UnsupportedOperationException();
}
}