/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.bondfutureoption;
import java.util.Arrays;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
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.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.position.Trade;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
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.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.YieldCurveNodeSensitivitiesHelper;
import com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePropertiesAndDefaults;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.option.BondFutureOptionSecurity;
import com.opengamma.util.money.Currency;
/**
*
*/
public class BondFutureOptionBlackYCNSFunction extends BondFutureOptionBlackCurveSpecificFunction {
private static final Logger s_logger = LoggerFactory.getLogger(BondFutureOptionBlackYCNSFunction.class);
private static final PresentValueNodeSensitivityCalculator NSC = PresentValueNodeSensitivityCalculator.using(PresentValueCurveSensitivityBlackCalculator.getInstance());
private static final InstrumentSensitivityCalculator CALCULATOR = InstrumentSensitivityCalculator.getInstance();
public BondFutureOptionBlackYCNSFunction() {
super(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative bondFutureOption, final YieldCurveWithBlackCubeBundle data, final MultiCurveCalculationConfig curveCalculationConfig,
final ValueSpecification spec, final FunctionInputs inputs, final Set<ValueRequirement> desiredValues, final BondFutureOptionSecurity security) {
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final YieldCurveWithBlackCubeBundle fixedData = null; //TODO deal with fixed curves
final Object curveSpecObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_SPEC);
if (curveSpecObject == null) {
throw new OpenGammaRuntimeException("Could not get curve specification for " + curveName);
}
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
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;
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
final Object couponSensitivitiesObject = inputs.getValue(ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
if (couponSensitivitiesObject == null) {
throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
}
final DoubleMatrix1D couponSensitivity = new DoubleMatrix1D(FunctionUtils.decodeCouponSensitivities(couponSensitivitiesObject));
sensitivities = CALCULATOR.calculateFromPresentValue(bondFutureOption, fixedData, data, couponSensitivity, jacobian, NSC);
}
sensitivities = CALCULATOR.calculateFromParRate(bondFutureOption, fixedData, data, jacobian, NSC);
final String fullCurveName = curveName + "_" + FinancialSecurityUtils.getCurrency(security).getCode();
return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fullCurveName, data, sensitivities, curveSpec, spec);
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE);
if (curveNames == null || curveNames.size() != 1) {
s_logger.error("Must specify a curve name");
return null;
}
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 String[] yieldCurveNames = curveCalculationConfig.getYieldCurveNames();
final String curve = curveNames.iterator().next();
if (Arrays.binarySearch(yieldCurveNames, curve) < 0) {
s_logger.error("Curve named {} is not available in curve calculation configuration called {}", curve, curveCalculationConfigName);
return null;
}
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
final Trade trade = target.getTrade();
final Currency currency = FinancialSecurityUtils.getCurrency(trade.getSecurity());
requirements.add(getJacobianRequirement(currency, curveCalculationConfigName, curveCalculationMethod));
requirements.add(getCurveSpecRequirement(currency, curve));
if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
requirements.add(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
}
final Set<ValueRequirement> tsRequirements = getDataConverter().getConversionTimeSeriesRequirements(trade.getSecurity(),
getTradeConverter().convert(trade));
if (tsRequirements == null) {
return null;
}
requirements.addAll(tsRequirements);
return requirements;
}
private 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);
}
private 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 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);
}
}