/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.varianceswap;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Clock;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle;
import com.opengamma.analytics.financial.instrument.varianceswap.VarianceSwapDefinition;
import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurface;
import com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceStrike;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.financial.varianceswap.VarianceSwap;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.conversion.EquityVarianceSwapConverter;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.timeseries.DateConstraint;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.equity.EquityVarianceSwapSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.ArgumentChecker;
/**
* Base class for Functions for EquityVarianceSwapSecurity. These functions price using Static Replication
*/
public abstract class EquityVarianceSwapStaticReplicationFunction extends AbstractFunction.NonCompiledInvoker {
private final String _valueRequirementName;
private EquityVarianceSwapConverter _converter;
/** CalculationMethod constraint used in configuration to choose this model */
public static final String CALCULATION_METHOD = "StaticReplication";
/** Method may be Strike or Moneyness */
//TODO confirm
public static final String STRIKE_PARAMETERIZATION_METHOD = "StrikeParameterizationMethod";
public EquityVarianceSwapStaticReplicationFunction(final String valueRequirementName) {
ArgumentChecker.notNull(valueRequirementName, "value requirement name");
_valueRequirementName = valueRequirementName;
}
@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 String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String curveCalculationConfig = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
// 1. Build the analytic derivative to be priced
final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock).minusYears(2); //TODO remove me - just for testing
final VarianceSwapDefinition defn = security.accept(_converter);
final HistoricalTimeSeries timeSeries = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
final VarianceSwap deriv = defn.toDerivative(now, timeSeries.getTimeSeries());
// 2. Build up the market data bundle
final Object volSurfaceObject = inputs.getValue(getVolatilitySurfaceRequirement(security, surfaceName));
if (volSurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get Volatility Surface");
}
final VolatilitySurface volSurface = (VolatilitySurface) volSurfaceObject;
//TODO no choice of other surfaces
final BlackVolatilitySurface<?> blackVolSurf = new BlackVolatilitySurfaceStrike(volSurface.getSurface());
final Object discountObject = inputs.getValue(getDiscountCurveRequirement(security, curveName, curveCalculationConfig));
if (discountObject == null) {
throw new OpenGammaRuntimeException("Could not get Discount Curve");
}
if (!(discountObject instanceof YieldCurve)) { //TODO: make it more generic
throw new IllegalArgumentException("Can only handle YieldCurve");
}
final YieldCurve discountCurve = (YieldCurve) discountObject;
final Object spotObject = inputs.getValue(getSpotRequirement(security));
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get Underlying's Spot value");
}
final double spot = (Double) spotObject;
final double expiry = TimeCalculator.getTimeBetween(ZonedDateTime.now(executionContext.getValuationClock()), security.getLastObservationDate());
final double discountFactor = discountCurve.getDiscountFactor(expiry);
ArgumentChecker.isTrue(Double.doubleToLongBits(discountFactor) != 0, "The discount curve has returned a zero value for a discount bond. Check rates.");
final ForwardCurve forwardCurve = new ForwardCurve(spot, discountCurve.getCurve()); //TODO change this
final StaticReplicationDataBundle market = new StaticReplicationDataBundle(blackVolSurf, discountCurve, forwardCurve);
final ValueSpecification resultSpec = getValueSpecification(target, curveName, curveCalculationConfig, surfaceName);
// 3. Compute and return the value (ComputedValue)
return computeValues(resultSpec, inputs, deriv, market);
}
protected abstract Set<ComputedValue> computeValues(final ValueSpecification resultSpec, final FunctionInputs inputs, final VarianceSwap derivative, final StaticReplicationDataBundle market);
protected ValueSpecification getValueSpecification(final ComputationTarget target) {
final ValueProperties properties = getValueProperties(target);
return new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
}
protected ValueSpecification getValueSpecification(final ComputationTarget target, final String curveName, final String curveCalculationConfig, final String surfaceName) {
final ValueProperties properties = getValueProperties(target, curveName, curveCalculationConfig, surfaceName);
return new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
}
protected ValueProperties getValueProperties(final ComputationTarget target) {
final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
return createValueProperties()
.with(ValuePropertyNames.CURRENCY, security.getCurrency().getCode())
.with(ValuePropertyNames.CALCULATION_METHOD, CALCULATION_METHOD)
.withAny(ValuePropertyNames.CURVE)
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.withAny(ValuePropertyNames.SURFACE).get();
}
protected ValueProperties getValueProperties(final ComputationTarget target, final String curveName, final String curveCalculationConfig, final String surfaceName) {
final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
return createValueProperties()
.with(ValuePropertyNames.CURRENCY, security.getCurrency().getCode())
.with(ValuePropertyNames.CALCULATION_METHOD, CALCULATION_METHOD)
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(ValuePropertyNames.SURFACE, surfaceName).get();
}
private ValueRequirement getSpotRequirement(final EquityVarianceSwapSecurity security) {
final ExternalId id = security.getSpotUnderlyingId();
return new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, id);
}
// Note that createValueProperties is _not_ used - use will mean the engine can't find the requirement
private ValueRequirement getDiscountCurveRequirement(final EquityVarianceSwapSecurity security, final String curveName, final String curveCalculationConfig) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig).get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetSpecification.of(security.getCurrency()), properties);
}
private ValueRequirement getVolatilitySurfaceRequirement(final EquityVarianceSwapSecurity security, final String surfaceName) {
final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.EQUITY_OPTION)
.get();
final ExternalId id = security.getSpotUnderlyingId();
final ExternalId newId = id.getScheme().equals(ExternalSchemes.BLOOMBERG_TICKER) ? ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER_WEAK.getName(), id.getValue()) :
ExternalId.of(id.getScheme().getName(), id.getValue());
return new ValueRequirement(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE, ComputationTargetType.PRIMITIVE, newId, properties);
}
private ValueRequirement getTimeSeriesRequirement(final FunctionCompilationContext context, final EquityVarianceSwapSecurity security) {
final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getSpotUnderlyingId().toBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
if (timeSeries == null) {
return null;
}
return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, DateConstraint.NULL, true, DateConstraint.VALUATION_TIME, true);
}
@Override
public void init(final FunctionCompilationContext context) {
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
_converter = new EquityVarianceSwapConverter(holidaySource);
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.EQUITY_VARIANCE_SWAP_SECURITY;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE);
if (curveNames == null || curveNames.size() != 1) {
return null;
}
final Set<String> curveCalculationConfigs = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigs == null || curveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final String curveName = Iterables.getOnlyElement(curveNames);
final String curveCalculationConfig = Iterables.getOnlyElement(curveCalculationConfigs);
final String surfaceName = Iterables.getOnlyElement(surfaceNames);
final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
final Set<ValueRequirement> requirements = Sets.newHashSetWithExpectedSize(4);
requirements.add(getDiscountCurveRequirement(security, curveName, curveCalculationConfig));
requirements.add(getSpotRequirement(security));
requirements.add(getVolatilitySurfaceRequirement(security, surfaceName));
final ValueRequirement requirement = getTimeSeriesRequirement(context, security);
if (requirement == null) {
return null;
}
requirements.add(requirement);
return requirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(getValueSpecification(target));
}
}