/**
* 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 com.opengamma.core.holiday.HolidaySource;
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.FunctionCompilationContext;
import com.opengamma.engine.value.ValuePropertyNames;
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.InflationSwapSecurityConverter;
import com.opengamma.financial.analytics.conversion.TradeConverter;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.ConventionSource;
import com.opengamma.financial.security.swap.YearOnYearInflationSwapSecurity;
import com.opengamma.financial.security.swap.ZeroCouponInflationSwapSecurity;
/**
* Base function for all inflation swap pricing and risk functions that use
* curves constructed using the discounting method.
*/
public abstract class DiscountingInflationFunction extends DiscountingFunction {
/**
* @param valueRequirements The value requirements, not null
*/
public DiscountingInflationFunction(final String... valueRequirements) {
super(valueRequirements);
}
@Override
protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
final InflationSwapSecurityConverter swapConverter = new InflationSwapSecurityConverter(conventionSource, regionSource, holidaySource);
final FutureTradeConverter futureTradeConverter = new FutureTradeConverter(securitySource, holidaySource, conventionSource, conventionBundleSource,
regionSource);
return new TradeConverter(futureTradeConverter, swapConverter);
}
/**
* Base compiled function for all pricing and risk functions that use a curves constructed
* using the discounting method.
*/
protected abstract class DiscountingInflationCompiledFunction extends DiscountingCompiledFunction {
/**
* @param tradeToDefinitionConverter Converts targets to definitions, not null
* @param definitionToDerivativeConverter Converts definitions to derivatives, not null
* @param withCurrency True if the result properties set the {@link ValuePropertyNames#CURRENCY} property
*/
protected DiscountingInflationCompiledFunction(final TradeConverter tradeToDefinitionConverter,
final FixedIncomeConverterDataProvider definitionToDerivativeConverter, final boolean withCurrency) {
super(tradeToDefinitionConverter, definitionToDerivativeConverter, withCurrency);
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
return security instanceof ZeroCouponInflationSwapSecurity ||
security instanceof YearOnYearInflationSwapSecurity;
}
}
}