/**
* 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.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.LocalDate;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.horizon.ConstantSpreadHorizonThetaCalculator;
import com.opengamma.analytics.financial.instrument.future.InterestRateFutureTransactionDefinition;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries;
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.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.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.InterestRateFutureSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.InterestRateFutureTradeConverter;
import com.opengamma.financial.analytics.fixedincome.FixedIncomeInstrumentCurveExposureHelper;
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.timeseries.DateConstraint;
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.HistoricalTimeSeriesResolutionResult;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.time.DateUtils;
/**
*
*/
public class InterestRateFutureConstantSpreadThetaFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(InterestRateFutureConstantSpreadThetaFunction.class);
private InterestRateFutureTradeConverter _converter;
@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 InterestRateFutureSecurityConverterDeprecated securityConverter = new InterestRateFutureSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
_converter = new InterestRateFutureTradeConverter(securityConverter);
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 InterestRateFutureSecurity security = (InterestRateFutureSecurity) trade.getSecurity();
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
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 YieldCurveBundle bundle = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
final InterestRateFutureTransactionDefinition definition = _converter.convert(trade);
if (definition == null) {
throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
}
final String[] yieldCurveNames = curveNames.length == 1 ? new String[] {curveNames[0], curveNames[0] } : curveNames;
final String[] curveNamesForSecurity = FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, yieldCurveNames[0], yieldCurveNames[1]);
final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
final LocalDate startDate = DateUtils.previousWeekDay(now.toLocalDate().minusMonths(1));
final HistoricalTimeSeries ts = (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
if (ts == null) {
throw new OpenGammaRuntimeException("Could not get price time series for " + security);
}
final int length = ts.getTimeSeries().size();
if (length == 0) {
throw new OpenGammaRuntimeException("Price time series for " + security.getExternalIdBundle() + " was empty between " + startDate + " and " + now.toLocalDate());
}
final double lastMarginPrice = ts.getTimeSeries().getLatestValue();
final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
final MultipleCurrencyAmount theta = calculator.getTheta(definition, now, curveNamesForSecurity, bundle, lastMarginPrice, Integer.parseInt(daysForward));
return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, currency, daysForward), theta));
}
@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 String currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode();
final ValueProperties.Builder properties = getResultProperties(currency);
return Collections.singleton(new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get()));
}
@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 Set<String> daysForwardNames = desiredValue.getConstraints().getValues(PROPERTY_DAYS_TO_MOVE_FORWARD);
if (daysForwardNames == null || daysForwardNames.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 Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
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 = YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource);
final ValueRequirement requirement = getTimeSeriesRequirement(context, target.getTrade().getSecurity());
if (requirement == null) {
return null;
}
requirements.add(requirement);
return requirements;
}
private ValueRequirement getTimeSeriesRequirement(final FunctionCompilationContext context, final Security security) {
final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(security.getExternalIdBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null);
if (timeSeries == null) {
return null;
}
return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE,
DateConstraint.VALUATION_TIME.minus(Period.ofMonths(1)).previousWeekDay(), true, DateConstraint.VALUATION_TIME, true);
}
private ValueProperties.Builder getResultProperties(final String currency) {
final ValueProperties.Builder properties = createValueProperties()
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.with(ValuePropertyNames.CURRENCY, currency)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.withAny(PROPERTY_DAYS_TO_MOVE_FORWARD);
return properties;
}
private ValueProperties.Builder getResultProperties(final String currency, final String curveCalculationConfig, final String daysForward) {
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(ValuePropertyNames.CURRENCY, currency)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.with(PROPERTY_DAYS_TO_MOVE_FORWARD, daysForward);
return properties;
}
private ValueSpecification getResultSpec(final ComputationTarget target, final String curveCalculationConfig, final String currency, final String daysForward) {
return new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), getResultProperties(currency, curveCalculationConfig, daysForward).get());
}
}