/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.horizon;
import static com.opengamma.financial.analytics.model.horizon.ThetaPropertyNamesAndValues.PROPERTY_DAYS_TO_MOVE_FORWARD;
import static com.opengamma.financial.analytics.model.horizon.ThetaPropertyNamesAndValues.PROPERTY_THETA_CALCULATION_METHOD;
import static com.opengamma.financial.analytics.model.horizon.ThetaPropertyNamesAndValues.THETA_CONSTANT_SPREAD;
import java.util.Collections;
import java.util.HashMap;
import java.util.Map;
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.ZonedDateTime;
import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.definition.ForexDefinition;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.horizon.ConstantSpreadHorizonThetaCalculator;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
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.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.CurrencyPairsFunction;
import com.opengamma.financial.analytics.conversion.ForexSecurityConverter;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.analytics.model.forex.forward.FXForwardMultiValuedFunction;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* @deprecated The parent class of this function is deprecated
*/
@Deprecated
public class FXForwardConstantSpreadThetaFunction extends FXForwardMultiValuedFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(FXForwardConstantSpreadThetaFunction.class);
/**
* Sets the value requirement name to {@link ValueRequirementNames#VALUE_THETA}
*/
public FXForwardConstantSpreadThetaFunction() {
super(ValueRequirementNames.VALUE_THETA);
}
@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 FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
if (now.isAfter(security.accept(ForexVisitors.getExpiryVisitor()))) {
throw new OpenGammaRuntimeException("FX forward " + payCurrency.getCode() + "/" + receiveCurrency + " has expired");
}
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String payCurveName = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE);
final String receiveCurveName = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE);
final String payCurveConfig = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
final String receiveCurveConfig = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
final String fullPayCurveName = payCurveName + "_" + payCurrency.getCode();
final String fullReceiveCurveName = receiveCurveName + "_" + receiveCurrency.getCode();
final YieldAndDiscountCurve payFundingCurve = getPayCurve(inputs, payCurrency, payCurveName, payCurveConfig);
final YieldAndDiscountCurve receiveFundingCurve = getReceiveCurve(inputs, receiveCurrency, receiveCurveName, receiveCurveConfig);
final YieldAndDiscountCurve[] curves;
final Map<String, Currency> curveCurrency = new HashMap<>();
curveCurrency.put(fullPayCurveName, payCurrency);
curveCurrency.put(fullReceiveCurveName, receiveCurrency);
final String[] allCurveNames;
final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS);
if (baseQuotePairsObject == null) {
throw new OpenGammaRuntimeException("Could not get base/quote pair data");
}
final CurrencyPairs baseQuotePairs = (CurrencyPairs) baseQuotePairsObject;
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(payCurrency, receiveCurrency);
if (baseQuotePair == null) {
throw new OpenGammaRuntimeException("Could not get base/quote pair for currency pair (" + payCurrency + ", " + receiveCurrency + ")");
}
if (baseQuotePair.getBase().equals(payCurrency)) { // To get Base/quote in market standard order.
curves = new YieldAndDiscountCurve[] {payFundingCurve, receiveFundingCurve};
allCurveNames = new String[] {fullPayCurveName, fullReceiveCurveName};
} else {
curves = new YieldAndDiscountCurve[] {receiveFundingCurve, payFundingCurve};
allCurveNames = new String[] {fullReceiveCurveName, fullPayCurveName};
}
final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
final ForexDefinition definition = (ForexDefinition) security.accept(converter);
final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
final ValueProperties.Builder properties = getResultProperties(target, desiredValue);
final ValueSpecification spec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get());
final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
final MultipleCurrencyAmount theta = calculator.getTheta(definition, now, allCurveNames, yieldCurves, Integer.parseInt(daysForward));
return Collections.singleton(new ComputedValue(spec, theta));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> payCurveNames = constraints.getValues(ValuePropertyNames.PAY_CURVE);
if (payCurveNames == null || payCurveNames.size() != 1) {
return null;
}
final Set<String> receiveCurveNames = constraints.getValues(ValuePropertyNames.RECEIVE_CURVE);
if (receiveCurveNames == null || receiveCurveNames.size() != 1) {
return null;
}
final Set<String> payCurveConfigNames = constraints.getValues(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
if (payCurveConfigNames == null || payCurveConfigNames.size() != 1) {
return null;
}
final Set<String> receiveCurveConfigNames = constraints.getValues(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
if (receiveCurveConfigNames == null || receiveCurveConfigNames.size() != 1) {
return null;
}
final Set<String> daysForwardNames = constraints.getValues(PROPERTY_DAYS_TO_MOVE_FORWARD);
if (daysForwardNames == null || daysForwardNames.size() != 1) {
return null;
}
final String payCurveName = payCurveNames.iterator().next();
final String receiveCurveName = receiveCurveNames.iterator().next();
final String payCurveCalculationConfig = payCurveConfigNames.iterator().next();
final String receiveCurveCalculationConfig = receiveCurveConfigNames.iterator().next();
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final ValueRequirement payFundingCurve = YieldCurveFunctionUtils.getCurveRequirementForFXForward(ComputationTargetSpecification.of(payCurrency), payCurveName, payCurveCalculationConfig, true);
final ValueRequirement receiveFundingCurve = YieldCurveFunctionUtils.getCurveRequirementForFXForward(ComputationTargetSpecification.of(receiveCurrency),
receiveCurveName, receiveCurveCalculationConfig, false);
final ValueProperties optionalProperties = ValueProperties.builder()
.with(PROPERTY_DAYS_TO_MOVE_FORWARD, daysForwardNames)
.withOptional(PROPERTY_DAYS_TO_MOVE_FORWARD)
.get();
final ValueRequirement pairQuoteRequirement = new ValueRequirement(ValueRequirementNames.CURRENCY_PAIRS, ComputationTargetSpecification.NULL, optionalProperties);
return Sets.newHashSet(payFundingCurve, receiveFundingCurve, pairQuoteRequirement);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
String currencyPairConfigName = null;
String payCurveName = null;
String payCurveCalculationConfig = null;
String receiveCurveName = null;
String receiveCurveCalculationConfig = null;
String daysForward = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification specification = entry.getKey();
final ValueRequirement requirement = entry.getValue();
if (specification.getValueName().equals(ValueRequirementNames.CURRENCY_PAIRS)) {
currencyPairConfigName = specification.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
daysForward = requirement.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
} else if (requirement.getValueName().equals(ValueRequirementNames.YIELD_CURVE)) {
final ValueProperties constraints = requirement.getConstraints();
if (constraints.getProperties().contains(ValuePropertyNames.PAY_CURVE)) {
payCurveName = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE));
payCurveCalculationConfig = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
} else if (constraints.getProperties().contains(ValuePropertyNames.RECEIVE_CURVE)) {
receiveCurveName = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE));
receiveCurveCalculationConfig = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
}
}
}
assert currencyPairConfigName != null;
final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(payCurrency, receiveCurrency);
if (baseQuotePair == null) {
s_logger.error("Could not get base/quote pair for currency pair (" + payCurrency + ", " + receiveCurrency + ")");
return null;
}
final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(target,
payCurveName, receiveCurveName, payCurveCalculationConfig, receiveCurveCalculationConfig, baseQuotePair, daysForward).get());
return Collections.singleton(resultSpec);
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target) {
final ValueProperties.Builder properties = super.getResultProperties(target)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.withAny(PROPERTY_DAYS_TO_MOVE_FORWARD);
return properties;
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final String payCurveName, final String receiveCurveName,
final String payCurveCalculationConfig, final String receiveCurveCalculationConfig, final CurrencyPair baseQuotePair) {
throw new IllegalStateException("Should never get here");
}
/**
* Gets the result properties with property values set.
*
* @param target The target
* @param payCurveName The name of the pay curve
* @param payCurveCalculationConfig The name of the pay curve calculation configuration
* @param receiveCurveName The name of the receive curve
* @param receiveCurveCalculationConfig The name of the receive curve calculation configuration
* @param baseQuotePair The base / counter information for the currency pair
* @param daysForward The number of days forward
* @return The result properties
*/
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final String payCurveName, final String receiveCurveName,
final String payCurveCalculationConfig, final String receiveCurveCalculationConfig, final CurrencyPair baseQuotePair, final String daysForward) {
final ValueProperties.Builder properties = super.getResultProperties(target, payCurveName, receiveCurveName, payCurveCalculationConfig, receiveCurveCalculationConfig,
baseQuotePair)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.with(PROPERTY_DAYS_TO_MOVE_FORWARD, daysForward);
return properties;
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue) {
final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
final ValueProperties.Builder properties = super.getResultProperties(target, desiredValue)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.with(PROPERTY_DAYS_TO_MOVE_FORWARD, daysForward);
return properties;
}
@Override
protected Set<ComputedValue> getResult(final Forex fxForward, final YieldCurveBundle data, final ComputationTarget target, final Set<ValueRequirement> desiredValues, final FunctionInputs inputs,
final ValueSpecification spec, final FunctionExecutionContext executionContext) {
throw new NotImplementedException("Should never get here");
}
}