/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.portfoliotheory;
import java.util.Collections;
import java.util.Set;
import org.apache.commons.lang.Validate;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.equity.capm.CAPMBetaCalculator;
import com.opengamma.analytics.financial.timeseries.analysis.DoubleTimeSeriesStatisticsCalculator;
import com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculator;
import com.opengamma.analytics.financial.timeseries.returns.TimeSeriesReturnCalculatorFactory;
import com.opengamma.analytics.math.statistics.descriptive.StatisticsCalculatorFactory;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
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.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.timeseries.DateConstraint;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.convention.ConventionBundle;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.InMemoryConventionBundleMaster;
import com.opengamma.id.ExternalId;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.TimeSeriesIntersector;
/**
*
*/
public class CAPMBetaModelFunction extends AbstractFunction.NonCompiledInvoker {
private final ComputationTargetType _targetType;
private final String _resolutionKey;
public CAPMBetaModelFunction(final ComputationTargetType targetType, final String resolutionKey) {
Validate.notNull(targetType, "target type");
Validate.notNull(resolutionKey, "resolution key");
_targetType = targetType;
_resolutionKey = resolutionKey;
}
@Override
public ComputationTargetType getTargetType() {
return _targetType;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
return true;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties resultProperties = getResultProperties(desiredValue);
final ValueProperties constraints = desiredValue.getConstraints();
final HistoricalTimeSeries marketTSObject = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
final DoubleTimeSeries<?> assetPnL = (DoubleTimeSeries<?>) inputs.getValue(ValueRequirementNames.PNL_SERIES);
final double fairValue = (Double) inputs.getValue(ValueRequirementNames.FAIR_VALUE);
final TimeSeriesReturnCalculator returnCalculator = getReturnCalculator(constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR));
DoubleTimeSeries<?> marketReturn = returnCalculator.evaluate(marketTSObject.getTimeSeries());
DoubleTimeSeries<?> assetReturn = assetPnL.divide(fairValue);
DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(assetReturn, marketReturn);
assetReturn = series[0];
marketReturn = series[1];
final CAPMBetaCalculator calculator = getBetaCalculator(constraints.getValues(ValuePropertyNames.COVARIANCE_CALCULATOR),
constraints.getValues(ValuePropertyNames.VARIANCE_CALCULATOR));
final double beta = calculator.evaluate(assetReturn, marketReturn);
return Sets.newHashSet(new ComputedValue(new ValueSpecification(ValueRequirementNames.CAPM_BETA, target.toSpecification(), resultProperties), beta));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> samplingPeriodNames = constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD);
if (samplingPeriodNames == null || samplingPeriodNames.size() != 1) {
return null;
}
final String samplingPeriodName = samplingPeriodNames.iterator().next();
final Set<String> scheduleCalculatorName = constraints.getValues(ValuePropertyNames.SCHEDULE_CALCULATOR);
if (scheduleCalculatorName == null || scheduleCalculatorName.size() != 1) {
return null;
}
final Set<String> samplingFunctionName = constraints.getValues(ValuePropertyNames.SAMPLING_FUNCTION);
if (samplingFunctionName == null || samplingFunctionName.size() != 1) {
return null;
}
final Set<String> returnCalculatorName = constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR);
if (returnCalculatorName == null || returnCalculatorName.size() != 1) {
return null;
}
final ValueRequirement pnlSeriesRequirement = new ValueRequirement(ValueRequirementNames.PNL_SERIES, target.toSpecification(), ValueProperties.builder()
.withAny(ValuePropertyNames.CURRENCY)
.with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriodName)
.with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorName.iterator().next())
.with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName.iterator().next())
.with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName.iterator().next()).get());
final ValueRequirement fairValueRequirement = new ValueRequirement(ValueRequirementNames.FAIR_VALUE, target.toSpecification());
final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
final ConventionBundle bundle = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM")); //TODO country-specific
final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(bundle.getCAPMMarket(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, _resolutionKey);
if (timeSeries == null) {
return null;
}
final ValueRequirement timeSeriesRequirement = HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries,
MarketDataRequirementNames.MARKET_VALUE, DateConstraint.VALUATION_TIME.minus(samplingPeriodName), true, DateConstraint.VALUATION_TIME, true);
return ImmutableSet.of(pnlSeriesRequirement, fairValueRequirement, timeSeriesRequirement);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(ValueRequirementNames.CAPM_BETA, target.toSpecification(), getResultProperties()));
}
private ValueProperties getResultProperties() {
return createValueProperties()
.withAny(ValuePropertyNames.SAMPLING_PERIOD)
.withAny(ValuePropertyNames.SCHEDULE_CALCULATOR)
.withAny(ValuePropertyNames.SAMPLING_FUNCTION)
.withAny(ValuePropertyNames.RETURN_CALCULATOR)
.withAny(ValuePropertyNames.COVARIANCE_CALCULATOR)
.withAny(ValuePropertyNames.VARIANCE_CALCULATOR).get();
}
private ValueProperties getResultProperties(final ValueRequirement desiredValue) {
return createValueProperties()
.with(ValuePropertyNames.SAMPLING_PERIOD, desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD))
.with(ValuePropertyNames.SCHEDULE_CALCULATOR, desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR))
.with(ValuePropertyNames.SAMPLING_FUNCTION, desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION))
.with(ValuePropertyNames.RETURN_CALCULATOR, desiredValue.getConstraint(ValuePropertyNames.RETURN_CALCULATOR))
.with(ValuePropertyNames.COVARIANCE_CALCULATOR, desiredValue.getConstraint(ValuePropertyNames.COVARIANCE_CALCULATOR))
.with(ValuePropertyNames.VARIANCE_CALCULATOR, desiredValue.getConstraint(ValuePropertyNames.VARIANCE_CALCULATOR)).get();
}
private TimeSeriesReturnCalculator getReturnCalculator(final Set<String> returnCalculatorNames) {
if (returnCalculatorNames == null || returnCalculatorNames.isEmpty() || returnCalculatorNames.size() != 1) {
throw new OpenGammaRuntimeException("Missing or non-unique return calculator name: " + returnCalculatorNames);
}
return TimeSeriesReturnCalculatorFactory.getReturnCalculator(returnCalculatorNames.iterator().next());
}
private CAPMBetaCalculator getBetaCalculator(final Set<String> covarianceCalculatorNames, final Set<String> varianceCalculatorNames) {
if (covarianceCalculatorNames == null || covarianceCalculatorNames.isEmpty() || covarianceCalculatorNames.size() != 1) {
throw new OpenGammaRuntimeException("Missing or non-unique covariance calculator name: " + covarianceCalculatorNames);
}
if (varianceCalculatorNames == null || varianceCalculatorNames.isEmpty() || varianceCalculatorNames.size() != 1) {
throw new OpenGammaRuntimeException("Missing or non-unique variance calculator name: " + varianceCalculatorNames);
}
final DoubleTimeSeriesStatisticsCalculator covarianceCalculator =
new DoubleTimeSeriesStatisticsCalculator(StatisticsCalculatorFactory.getCalculator(covarianceCalculatorNames.iterator().next()));
final DoubleTimeSeriesStatisticsCalculator varianceCalculator =
new DoubleTimeSeriesStatisticsCalculator(StatisticsCalculatorFactory.getCalculator(varianceCalculatorNames.iterator().next()));
return new CAPMBetaCalculator(covarianceCalculator, varianceCalculator);
}
}