/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model;
import static com.opengamma.engine.value.ValueRequirementNames.MARGIN_PRICE;
import java.util.Collections;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.Instant;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.MarginPriceVisitor;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.position.Trade;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.Security;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.engine.ComputationTarget;
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.ValueRequirement;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.FutureTradeConverter;
import com.opengamma.financial.analytics.conversion.InterestRateFutureOptionSecurityConverter;
import com.opengamma.financial.analytics.conversion.InterestRateFutureOptionTradeConverter;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.ConventionSource;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.financial.security.option.IRFutureOptionSecurity;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.async.AsynchronousExecution;
/**
* Provides the reference margin price,
* for futures, options and other exchange traded securities that are margined
*/
public class MarginPriceFunction extends AbstractFunction {
//TODO move from this package
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(MarginPriceFunction.class);
/** The margin price calculator */
private static final MarginPriceVisitor s_priceVisitor = MarginPriceVisitor.getInstance();
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final InterestRateFutureOptionSecurityConverter irFutureOptionConverter = new InterestRateFutureOptionSecurityConverter(holidaySource, conventionSource, regionSource, securitySource);
final InterestRateFutureOptionTradeConverter optionTradeToTxnDefnConverter = new InterestRateFutureOptionTradeConverter(irFutureOptionConverter);
final FutureTradeConverter futureTradeConverter = new FutureTradeConverter(securitySource, holidaySource, conventionSource, conventionBundleSource, regionSource);
final FixedIncomeConverterDataProvider definitionConverter = new FixedIncomeConverterDataProvider(conventionBundleSource, timeSeriesResolver);
return new AbstractInvokingCompiledFunction() {
@Override
public final Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final Trade trade = target.getTrade();
final Security security = trade.getSecurity();
final InstrumentDefinition<?> definition;
if (security instanceof IRFutureOptionSecurity) {
definition = optionTradeToTxnDefnConverter.convert(trade);
} else {
definition = futureTradeConverter.convert(trade);
}
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final InstrumentDerivative derivative = definitionConverter.convert(security, definition, now, timeSeries);
final Double price = derivative.accept(s_priceVisitor);
final ValueSpecification spec = new ValueSpecification(MARGIN_PRICE, target.toSpecification(), desiredValue.getConstraints().copy().get());
return Collections.singleton(new ComputedValue(spec, price));
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.TRADE;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
return security instanceof IRFutureOptionSecurity ||
security instanceof InterestRateFutureSecurity;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(MARGIN_PRICE, target.toSpecification(), createValueProperties().get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext compilationContext, final ComputationTarget target, final ValueRequirement desiredValue) {
try {
final Trade trade = target.getTrade();
final Security security = trade.getSecurity();
Set<ValueRequirement> tsRequirements = null;
if (security instanceof IRFutureOptionSecurity) {
tsRequirements = definitionConverter.getConversionTimeSeriesRequirements(security, optionTradeToTxnDefnConverter.convert(trade));
} else {
tsRequirements = definitionConverter.getConversionTimeSeriesRequirements(security, futureTradeConverter.convert(trade));
}
if (tsRequirements == null) {
return null;
}
return tsRequirements;
} catch (final Exception e) {
s_logger.error(e.getMessage());
return null;
}
}
};
}
}