/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.discounting;
import static com.opengamma.engine.value.ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES;
import static com.opengamma.engine.value.ValueRequirementNames.CURVE_BUNDLE;
import java.util.HashSet;
import java.util.Set;
import org.threeten.bp.Instant;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.inflation.MarketQuoteInflationSensitivityBlockCalculator;
import com.opengamma.analytics.financial.provider.calculator.inflation.PresentValueCurveSensitivityDiscountingInflationCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterInflationSensitivityParameterCalculator;
import com.opengamma.engine.ComputationTarget;
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.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
/**
* Calculates the sensitivities of inflation swaps to all curves to which they are sensitive.
*/
public class DiscountingInflationBCSFunction extends DiscountingInflationFunction {
/** The curve sensitivity calculator */
private static final InstrumentDerivativeVisitor<InflationProviderInterface, MultipleCurrencyInflationSensitivity> PVCSDC =
PresentValueCurveSensitivityDiscountingInflationCalculator.getInstance();
/** The parameter sensitivity calculator */
private static final ParameterInflationSensitivityParameterCalculator<InflationProviderInterface> PSC =
new ParameterInflationSensitivityParameterCalculator<>(PVCSDC);
/** The market quote sensitivity calculator */
private static final MarketQuoteInflationSensitivityBlockCalculator<InflationProviderInterface> CALCULATOR =
new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
/**
* Sets the value requirements to {@link ValueRequirementNames#BLOCK_CURVE_SENSITIVITIES}
*/
public DiscountingInflationBCSFunction() {
super(BLOCK_CURVE_SENSITIVITIES);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new DiscountingInflationCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), false) {
@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 Set<ComputedValue> result = new HashSet<>();
final InflationProviderInterface curves = (InflationProviderInterface) inputs.getValue(CURVE_BUNDLE);
final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, curves, blocks);
for (final ValueRequirement desiredValue : desiredValues) {
final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
result.add(new ComputedValue(spec, sensitivities));
}
return result;
}
};
}
}