/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.future;
import java.util.HashSet;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
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.YieldCurveBundle;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.position.Trade;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.Security;
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.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.InterestRateFutureSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.InterestRateFutureTradeConverter;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.multicurve.MultiCurvePricingFunction;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Base class for functions that calculate price and risk for interest rate futures
*
* @deprecated Use descendants of {@link MultiCurvePricingFunction}
*/
@Deprecated
public abstract class InterestRateFutureFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(InterestRateFutureFunction.class);
private InterestRateFutureTradeConverter _converter;
private FixedIncomeConverterDataProvider _dataConverter;
private ConfigDBCurveCalculationConfigSource _curveConfigSource;
private final String _valueRequirement;
public InterestRateFutureFunction(final String valueRequirement) {
ArgumentChecker.notNull(valueRequirement, "value requirement");
_valueRequirement = valueRequirement;
}
@Override
public void init(final FunctionCompilationContext context) {
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
_converter = new InterestRateFutureTradeConverter(new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource));
_dataConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
_curveConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final Trade trade = target.getTrade();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final MultiCurveCalculationConfig curveCalculationConfig = _curveConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
final String currency = FinancialSecurityUtils.getCurrency(trade.getSecurity()).getCode();
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final String[] yieldCurveNames = curveNames.length == 1 ? new String[] {curveNames[0], curveNames[0] } : curveNames;
final String[] fullYieldCurveNames = new String[yieldCurveNames.length];
for (int i = 0; i < yieldCurveNames.length; i++) {
fullYieldCurveNames[i] = yieldCurveNames[i] + "_" + currency;
}
final YieldCurveBundle data = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, _curveConfigSource);
final InstrumentDefinition<InstrumentDerivative> irFutureDefinition = _converter.convert(trade);
final InstrumentDerivative irFuture = _dataConverter.convert(trade.getSecurity(), irFutureDefinition, now, fullYieldCurveNames, timeSeries);
final ValueSpecification spec = getSpecification(target, curveCalculationConfigName);
return getResults(irFuture, data, spec);
}
protected abstract Set<ComputedValue> getResults(final InstrumentDerivative irFuture, final YieldCurveBundle data, final ValueSpecification spec);
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.TRADE;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
return target.getTrade().getSecurity() instanceof InterestRateFutureSecurity;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Sets.newHashSet(getSpecification(target));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> curveCalculationConfigNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
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.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
return null;
}
final Trade trade = target.getTrade();
final Security security = trade.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
s_logger.error("Security currency and curve calculation config id were not equal; have {} and {}", currency, curveCalculationConfig.getTarget());
}
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
final Set<ValueRequirement> timeSeriesRequirements = _dataConverter.getConversionTimeSeriesRequirements(security, _converter.convert(trade));
if (timeSeriesRequirements == null) {
return null;
}
requirements.addAll(timeSeriesRequirements);
return requirements;
}
private ValueSpecification getSpecification(final ComputationTarget target) {
return new ValueSpecification(_valueRequirement, target.toSpecification(),
createValueProperties()
.with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode())
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG).get());
}
private ValueSpecification getSpecification(final ComputationTarget target, final String curveCalculationConfig) {
return new ValueSpecification(_valueRequirement, target.toSpecification(),
createValueProperties()
.with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode())
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig).get());
}
}