/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.black;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_EXPOSURES;
import static com.opengamma.engine.value.ValuePropertyNames.SURFACE;
import static com.opengamma.engine.value.ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_DEFINITION;
import static com.opengamma.engine.value.ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.DISCOUNTING;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.PROPERTY_CURVE_TYPE;
import static com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues.CONSTANT_BLACK;
import static com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL;
import java.util.Collections;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.DoubleLabelledMatrix1D;
import com.opengamma.financial.analytics.curve.CurveDefinition;
import com.opengamma.financial.analytics.model.multicurve.MultiCurveUtils;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Calculates the yield curve node sensitivities of swaptions using
* curves constructed using the discounting method.
*/
public class ConstantBlackDiscountingYCNSSwaptionFunction extends ConstantBlackDiscountingSwaptionFunction {
/**
* Sets the value requirements to {@link ValueRequirementNames#YIELD_CURVE_NODE_SENSITIVITIES}
*/
public ConstantBlackDiscountingYCNSSwaptionFunction() {
super(YIELD_CURVE_NODE_SENSITIVITIES);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new BlackDiscountingCompiledFunction(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 MultipleCurrencyParameterSensitivity sensitivities = (MultipleCurrencyParameterSensitivity) inputs.getValue(BLOCK_CURVE_SENSITIVITIES);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final String curveName = desiredValue.getConstraint(CURVE);
final Map<Pair<String, Currency>, DoubleMatrix1D> entries = sensitivities.getSensitivities();
for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
if (curveName.equals(entry.getKey().getFirst())) {
final ValueProperties properties = desiredValue.getConstraints().copy()
.with(CURVE, curveName)
.get();
final CurveDefinition curveDefinition = (CurveDefinition) inputs.getValue(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL,
ValueProperties.builder().with(CURVE, curveName).get()));
final ValueSpecification spec = new ValueSpecification(YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
final DoubleLabelledMatrix1D ycns = MultiCurveUtils.getLabelledMatrix(entry.getValue(), curveDefinition);
return Collections.singleton(new ComputedValue(spec, ycns));
}
}
throw new OpenGammaRuntimeException("Could not get sensitivities to " + curveName + " for " + target.getName());
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext compilationContext, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveNames = constraints.getValues(CURVE);
if (curveNames == null || curveNames.size() != 1) {
return null;
}
final Set<String> curveExposureConfigs = constraints.getValues(CURVE_EXPOSURES);
if (curveExposureConfigs == null) {
return null;
}
final Set<String> surfaces = constraints.getValues(SURFACE);
if (surfaces == null) {
return null;
}
final ValueProperties properties = ValueProperties
.with(PROPERTY_CURVE_TYPE, DISCOUNTING)
.with(CURVE_EXPOSURES, curveExposureConfigs)
.with(SURFACE, surfaces)
.with(PROPERTY_VOLATILITY_MODEL, CONSTANT_BLACK)
.get();
final ValueProperties curveProperties = ValueProperties
.with(CURVE, curveNames)
.get();
final Set<ValueRequirement> requirements = new HashSet<>();
final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
requirements.add(new ValueRequirement(CURVE_DEFINITION, ComputationTargetSpecification.NULL, curveProperties));
requirements.add(new ValueRequirement(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties));
requirements.addAll(getFXRequirements(security, securitySource));
final Set<ValueRequirement> tsRequirements = getTimeSeriesRequirements(context, target);
if (tsRequirements == null) {
return null;
}
requirements.addAll(tsRequirements);
return requirements;
}
@Override
protected ValueProperties.Builder getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final ValueProperties.Builder properties = super.getResultProperties(compilationContext, target);
return properties.withAny(CURVE);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext compilationContext, final ComputationTarget target,
final Map<ValueSpecification, ValueRequirement> inputs) {
String curveName = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueRequirement requirement = entry.getValue();
if (requirement.getValueName().equals(CURVE_DEFINITION)) {
curveName = requirement.getConstraint(CURVE);
break;
}
}
if (curveName == null) {
return null;
}
final ValueProperties.Builder properties = getResultProperties(compilationContext, target)
.withoutAny(CURVE)
.with(CURVE, curveName);
return Collections.singleton(new ValueSpecification(YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties.get()));
}
};
}
}