/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.fixedincome;
import java.util.HashSet;
import java.util.Set;
import org.apache.commons.lang.NotImplementedException;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.LocalDate;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueNodeSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.curve.CurveSpecification;
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.InterpolatedDataProperties;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.YieldCurveNodeSensitivitiesHelper;
import com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveFunction;
import com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePropertiesAndDefaults;
import com.opengamma.financial.analytics.model.discounting.DiscountingYCNSFunction;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.util.money.Currency;
/**
* Calculates the yield curve node sensitivities of an interest rate instrument
*
* @deprecated Use {@link DiscountingYCNSFunction}
*/
@Deprecated
public class InterestRateInstrumentYieldCurveNodeSensitivitiesFunction extends InterestRateInstrumentCurveSpecificFunction {
private static final Logger s_logger = LoggerFactory.getLogger(InterestRateInstrumentYieldCurveNodeSensitivitiesFunction.class);
private static final PresentValueNodeSensitivityCalculator NSC = PresentValueNodeSensitivityCalculator.using(PresentValueCurveSensitivitySABRCalculator.getInstance());
private static final InstrumentSensitivityCalculator CALCULATOR = InstrumentSensitivityCalculator.getInstance();
public InterestRateInstrumentYieldCurveNodeSensitivitiesFunction() {
super(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final LocalDate localNow = now.toLocalDate();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final InstrumentDefinition<?> definition = security.accept(getVisitor());
if (definition == null) {
throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
}
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final int length = curveNames.length;
final String[] fullCurveNames = new String[length];
for (int i = 0; i < length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
final InstrumentDerivative derivative = InterestRateInstrumentFunction.getDerivative(security, now, timeSeries, fullCurveNames, definition, getConverter());
final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final YieldCurveBundle fixedCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
final ValueProperties properties = createValueProperties(target, curveName, curveCalculationConfigName).get();
final ValueSpecification resultSpec = new ValueSpecification(getValueRequirement(), target.toSpecification(), properties);
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;
if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
final Object couponSensitivitiesObject = inputs.getValue(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
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(derivative, fixedCurves, curves, couponSensitivity, jacobian, NSC);
} else {
sensitivities = CALCULATOR.calculateFromParRate(derivative, fixedCurves, curves, jacobian, NSC);
}
if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
final Currency domesticCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfig.getTarget().getUniqueId());
final Currency foreignCurrency = ComputationTargetType.CURRENCY.resolve(curveCalculationConfigSource.getConfig(curveCalculationConfig.getExogenousConfigData().keySet().iterator().next())
.getTarget().getUniqueId());
return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(sensitivities, domesticCurrency, foreignCurrency, fullCurveNames, curves, configSource, localNow, resultSpec);
}
final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName, curveCalculationMethod);
final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
if (curveSpecObject == null) {
throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
}
if (curveCalculationMethod.equals(InterpolatedDataProperties.CALCULATION_METHOD_NAME)) {
final CurveSpecification curveSpec = (CurveSpecification) curveSpecObject;
return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(curveName + "_" + currency.getCode(), curves, sensitivities, curveSpec, resultSpec);
}
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(curveName + "_" + currency.getCode(), curves, sensitivities, curveSpec, resultSpec);
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
return null;
}
final boolean permissive = OpenGammaCompilationContext.isPermissive(context);
Set<String> requestedCurveNames = constraints.getValues(ValuePropertyNames.CURVE);
if (!permissive && (requestedCurveNames == null || requestedCurveNames.isEmpty())) {
s_logger.info("Must specify a single curve name; have {}", requestedCurveNames);
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.info("Could not find curve calculation configuration named " + curveCalculationConfigName);
return null;
}
if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
return null;
}
final String[] availableCurveNames = curveCalculationConfig.getYieldCurveNames();
if ((requestedCurveNames == null) || requestedCurveNames.isEmpty()) {
requestedCurveNames = Sets.newHashSet(availableCurveNames);
} else {
final Set<String> intersection = YieldCurveFunctionUtils.intersection(requestedCurveNames, availableCurveNames);
if (intersection.isEmpty()) {
s_logger.info("None of the requested curves {} are available in curve calculation configuration called {}", requestedCurveNames, curveCalculationConfigName);
return null;
}
requestedCurveNames = intersection;
}
if (!permissive && (requestedCurveNames.size() != 1)) {
s_logger.info("Must specify single curve name constraint, got {}", requestedCurveNames);
return null;
}
final String curve = requestedCurveNames.iterator().next();
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
final Set<ValueRequirement> curveRequirements = YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource);
final Set<ValueRequirement> requirements = new HashSet<>();
for (final ValueRequirement curveRequirement : curveRequirements) {
final ValueProperties.Builder properties = curveRequirement.getConstraints().copy();
properties.with(PROPERTY_REQUESTED_CURVE, curve).withOptional(PROPERTY_REQUESTED_CURVE);
requirements.add(new ValueRequirement(curveRequirement.getValueName(), curveRequirement.getTargetReference(), properties.get()));
}
if (!curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
requirements.add(getCurveSpecRequirement(currency, curve, curveCalculationMethod));
}
requirements.add(getJacobianRequirement(currency, curveCalculationConfigName, curveCalculationMethod, curve));
if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
requirements.add(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
}
try {
final Set<ValueRequirement> timeSeriesRequirements = InterestRateInstrumentFunction.getDerivativeTimeSeriesRequirements(security, security.accept(getVisitor()), getConverter());
if (timeSeriesRequirements == null) {
return null;
}
requirements.addAll(timeSeriesRequirements);
} catch (final OpenGammaRuntimeException e) {
s_logger.error("Could not get time series requirements; error was {}", e.getMessage());
return null;
}
return requirements;
}
private static ValueRequirement getCurveSpecRequirement(final Currency currency, final String curveName, final String curveCalculationMethod) {
if (curveCalculationMethod.equals(InterpolatedDataProperties.CALCULATION_METHOD_NAME)) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName)
.get();
return new ValueRequirement(ValueRequirementNames.CURVE_SPECIFICATION, ComputationTargetSpecification.NULL, properties);
}
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName).get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, ComputationTargetSpecification.of(currency), properties);
}
private static ValueRequirement getJacobianRequirement(final Currency currency, final String curveCalculationConfigName, final String curveCalculationMethod,
final String curveName) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod)
.with(ValuePropertyNames.CURVE, curveName).withOptional(ValuePropertyNames.CURVE).get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(currency), properties);
}
private static 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);
}
@Override
protected Set<ComputedValue> getResults(final InstrumentDerivative derivative, final String curveName, final YieldCurveBundle curves, final String curveCalculationConfigName,
final String curveCalculationMethod, final FunctionInputs inputs, final ComputationTarget target, final ValueSpecification resultSpec) {
throw new NotImplementedException();
}
}