/**
* 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.Collections;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
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.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.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.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.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.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.InterestRateFutureSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.InterestRateFutureTradeConverter;
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.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.convention.ConventionBundleSource;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.money.Currency;
/**
* Calculates yield curve node sensitivities for interest rate future.
*
* @deprecated Use {@link DiscountingYCNSFunction}
*/
@Deprecated
public class InterestRateFutureYieldCurveNodeSensitivitiesFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(InterestRateFutureYieldCurveNodeSensitivitiesFunction.class);
private static final PresentValueNodeSensitivityCalculator NSC = PresentValueNodeSensitivityCalculator.getDefaultInstance();
private static final InstrumentSensitivityCalculator CALCULATOR = InstrumentSensitivityCalculator.getInstance();
private static final String VALUE_REQUIREMENT = ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES;
private InterestRateFutureTradeConverter _converter;
private FixedIncomeConverterDataProvider _dataConverter;
@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);
_converter = new InterestRateFutureTradeConverter(new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource));
_dataConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Trade trade = target.getTrade();
final FinancialSecurity security = (FinancialSecurity) trade.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 ValueProperties constraints = desiredValues.iterator().next().getConstraints();
final String curveName = constraints.getValues(ValuePropertyNames.CURVE).iterator().next();
final String fullCurveName = curveName + "_" + currency.getCode();
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
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 String[] fullCurveNames = new String[curveNames.length];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency;
}
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final YieldCurveBundle fixedCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
final InstrumentDefinition<?> definition = _converter.convert(trade);
if (definition == null) {
throw new OpenGammaRuntimeException("Definition for trade " + trade + " was null");
}
final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
if (curveSpecObject == null) {
throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
}
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
final InstrumentDerivative derivative = _dataConverter.convert(security, definition, now, fullCurveNames, timeSeries);
final YieldCurveBundle bundle = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
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, getResultSpec(target, currency, fullCurveName, curveCalculationConfigName));
}
return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fullCurveName, bundle, sensitivities, curveSpec,
getResultSpec(target, currency, curveName, curveCalculationConfigName));
}
@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) {
final Currency ccy = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
return Collections.singleton(getResultSpec(target, ccy));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Trade trade = target.getTrade();
final Security security = trade.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 Set<String> curves = constraints.getValues(ValuePropertyNames.CURVE);
if (curves == null || curves.size() != 1) {
s_logger.error("Must specify a single curve name; have {}", curves);
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;
}
if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
return null;
}
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final String curve = curves.iterator().next();
boolean found = false;
for (final String curveName : curveNames) {
if (curveName.equals(curve)) {
found = true;
}
}
if (!found) {
s_logger.info("Curve named {} is not available in curve calculation configuration called {}", curve, curveCalculationConfigName);
return null;
}
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
if (!curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
requirements.add(getCurveSpecRequirement(currency, curve));
}
requirements.add(getJacobianRequirement(currency, curveCalculationConfigName, curveCalculationMethod));
if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
requirements.add(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
}
final Set<ValueRequirement> timeSeriesRequirements = _dataConverter.getConversionTimeSeriesRequirements(security, _converter.convert(trade));
if (timeSeriesRequirements == null) {
s_logger.error("Could not get time series for conversion of security {}", security);
return null;
}
requirements.addAll(timeSeriesRequirements);
return requirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final Currency ccy = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
String calculationConfig = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> input : inputs.entrySet()) {
if (input.getKey().getValueName().equals(ValueRequirementNames.YIELD_CURVE)) {
calculationConfig = input.getKey().getProperty(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
}
}
assert calculationConfig != null;
return Collections.singleton(getResultSpec(target, ccy, calculationConfig));
}
private ValueSpecification getResultSpec(final ComputationTarget target, final Currency ccy) {
final ValueProperties result = createValueProperties()
.with(ValuePropertyNames.CURRENCY, ccy.getCode())
.with(ValuePropertyNames.CURVE_CURRENCY, ccy.getCode())
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.withAny(ValuePropertyNames.CURVE).get();
return new ValueSpecification(VALUE_REQUIREMENT, target.toSpecification(), result);
}
private ValueSpecification getResultSpec(final ComputationTarget target, final Currency ccy, final String calculationConfig) {
final ValueProperties result = createValueProperties()
.with(ValuePropertyNames.CURRENCY, ccy.getCode())
.with(ValuePropertyNames.CURVE_CURRENCY, ccy.getCode())
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, calculationConfig)
.withAny(ValuePropertyNames.CURVE).get();
return new ValueSpecification(VALUE_REQUIREMENT, target.toSpecification(), result);
}
private ValueSpecification getResultSpec(final ComputationTarget target, final Currency ccy, final String curveName, final String calculationConfig) {
final ValueProperties result = createValueProperties()
.with(ValuePropertyNames.CURRENCY, ccy.getCode())
.with(ValuePropertyNames.CURVE_CURRENCY, ccy.getCode())
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, calculationConfig)
.with(ValuePropertyNames.CURVE, curveName).get();
return new ValueSpecification(VALUE_REQUIREMENT, target.toSpecification(), result);
}
private static ValueRequirement getCurveSpecRequirement(final Currency currency, final String curveName) {
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 ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod).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);
}
}