/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.bond;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.bond.BondFixedTransactionDefinition;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.bond.definition.BondFixedTransaction;
import com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.position.Trade;
import com.opengamma.core.region.RegionSource;
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.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.BondSecurityConverter;
import com.opengamma.financial.analytics.conversion.BondTradeConverter;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.bond.BondSecurity;
import com.opengamma.util.money.Currency;
/**
* Bond present value from a quoted clean price.
*/
public class BondPresentValueFromCleanPriceFunction extends BondFromPriceFunction {
/**
* The method used to compute the present value result.
*/
private static final BondTransactionDiscountingMethod CALCULATOR = BondTransactionDiscountingMethod.getInstance();
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ZonedDateTime date = ZonedDateTime.now(executionContext.getValuationClock());
if (desiredValues.size() != 1) {
throw new OpenGammaRuntimeException("This function " + getShortName() + " only provides a single output");
}
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String riskFreeCurveName = desiredValue.getConstraint(BondFunction.PROPERTY_RISK_FREE_CURVE);
final Object riskFreeCurveObject = inputs.getValue(getCurveRequirement(target, riskFreeCurveName));
if (riskFreeCurveObject == null) {
throw new OpenGammaRuntimeException("Risk free curve was null");
}
final Object cleanPriceObject = inputs.getValue(getCleanPriceRequirement(target, desiredValue));
if (cleanPriceObject == null) {
throw new OpenGammaRuntimeException("Could not get clean price requirement");
}
final Double cleanPrice = (Double) cleanPriceObject;
final String creditCurveName = riskFreeCurveName;
final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName);
final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties.get());
final YieldAndDiscountCurve riskFreeCurve = (YieldAndDiscountCurve) riskFreeCurveObject;
final YieldCurveBundle data = new YieldCurveBundle(new String[] {riskFreeCurveName, riskFreeCurveName }, new YieldAndDiscountCurve[] {riskFreeCurve, riskFreeCurve });
return Sets.newHashSet(new ComputedValue(resultSpec, getValue(executionContext, date, riskFreeCurveName, creditCurveName, target, data, cleanPrice)));
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties.Builder properties = getResultProperties();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties.get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> riskFreeCurves = desiredValue.getConstraints().getValues(BondFunction.PROPERTY_RISK_FREE_CURVE);
if (riskFreeCurves == null || riskFreeCurves.size() != 1) {
return null;
}
final Set<String> creditCurves = desiredValue.getConstraints().getValues(BondFunction.PROPERTY_CREDIT_CURVE);
if (creditCurves == null || creditCurves.size() != 1) {
return null;
}
final String riskFreeCurveName = riskFreeCurves.iterator().next();
return Sets.newHashSet(getCurveRequirement(target, riskFreeCurveName), getCleanPriceRequirement(target, desiredValue));
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
String curveName = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> input : inputs.entrySet()) {
if (ValueRequirementNames.YIELD_CURVE.equals(input.getKey().getValueName())) {
curveName = input.getKey().getProperty(ValuePropertyNames.CURVE);
}
}
assert curveName != null;
final String riskFreeCurveName = curveName;
final String creditCurveName = riskFreeCurveName;
final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName);
return Collections.singleton(new ValueSpecification(ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties.get()));
}
@Override
protected ValueRequirement getCurveRequirement(final ComputationTarget target, final String curveName) {
final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
final ValueProperties.Builder properties = ValueProperties.with(ValuePropertyNames.CURVE, curveName);
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetSpecification.of(currency), properties.get());
}
@Override
protected ValueRequirement getCleanPriceRequirement(final ComputationTarget target, final ValueRequirement desiredValue) {
Trade trade = target.getTrade();
return new ValueRequirement(ValueRequirementNames.MARKET_CLEAN_PRICE, ComputationTargetType.SECURITY, trade.getSecurity().getUniqueId(), ValueProperties.builder().get());
}
@Override
protected String getCalculationMethodName() {
return BondFunction.FROM_CLEAN_PRICE_METHOD;
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.TRADE;
}
@Override
public boolean canApplyTo(FunctionCompilationContext context, ComputationTarget target) {
Trade trade = target.getTrade();
return trade.getSecurity() instanceof BondSecurity;
}
@Override
protected ValueProperties.Builder getResultProperties() {
return createValueProperties()
.withAny(BondFunction.PROPERTY_RISK_FREE_CURVE)
.withAny(BondFunction.PROPERTY_CREDIT_CURVE)
.with(ValuePropertyNames.CALCULATION_METHOD, getCalculationMethodName());
}
@Override
protected ValueProperties.Builder getResultProperties(final String riskFreeCurveName, final String creditCurveName, String curveName) {
throw new UnsupportedOperationException();
}
protected ValueProperties.Builder getResultProperties(final String riskFreeCurveName, final String creditCurveName) {
return createValueProperties()
.with(BondFunction.PROPERTY_RISK_FREE_CURVE, riskFreeCurveName)
.with(BondFunction.PROPERTY_CREDIT_CURVE, creditCurveName)
.with(ValuePropertyNames.CALCULATION_METHOD, getCalculationMethodName());
}
@Override
protected double getValue(FunctionExecutionContext context, ZonedDateTime date, String riskFreeCurveName, String creditCurveName, ComputationTarget target, YieldCurveBundle data, double price) {
final Trade trade = target.getTrade();
final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
BondTradeConverter visitor = new BondTradeConverter(new BondSecurityConverter(holidaySource, conventionSource, regionSource));
final BondFixedTransactionDefinition definition = visitor.convert(trade);
BondFixedTransaction derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
return CALCULATOR.presentValueFromCleanPrice(derivative, data, price);
}
}