/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.irfutureoption;
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.ZonedDateTime;
import com.google.common.collect.Iterables;
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.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
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.core.security.SecuritySource;
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.ComputationTargetRequirement;
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.InterestRateFutureOptionSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.InterestRateFutureOptionTradeConverterDeprecated;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.volatility.surface.SABRFittingPropertyUtils;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.analytics.volatility.fittedresults.SABRFittedSurfaces;
import com.opengamma.financial.convention.ConventionBundle;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.InMemoryConventionBundleMaster;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.financial.security.option.IRFutureOptionSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;
/**
* Base class functions that calculate analytic values for interest rate future options using the SABR model.
*/
public abstract class IRFutureOptionSABRFunction extends AbstractFunction.NonCompiledInvoker {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(IRFutureOptionSABRFunction.class);
/** The SABR function */
private static final SABRHaganVolatilityFunction SABR_FUNCTION = new SABRHaganVolatilityFunction();
/** Converts a {@link Trade} to an {@link InstrumentDefinition} */
private InterestRateFutureOptionTradeConverterDeprecated _converter;
/** Converts an {@link InstrumentDefinition} to {@link InstrumentDerivative} */
private FixedIncomeConverterDataProvider _dataConverter;
/** The values that the function can calculate */
private final String[] _valueRequirementNames;
/**
* @param valueRequirementNames The value requirement names, not null or empty
*/
public IRFutureOptionSABRFunction(final String... valueRequirementNames) {
ArgumentChecker.notEmpty(valueRequirementNames, "value requirement names");
_valueRequirementNames = valueRequirementNames;
}
@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 SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
_converter = new InterestRateFutureOptionTradeConverterDeprecated(
new InterestRateFutureOptionSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, securitySource));
_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) throws AsynchronousExecution {
final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
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 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 curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
final Currency currency = FinancialSecurityUtils.getCurrency(trade.getSecurity());
final String conventionName = currency.getCode() + "_IR_FUTURE";
final ConventionBundle convention = conventionSource.getConventionBundle(ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, conventionName));
if (convention == null) {
throw new OpenGammaRuntimeException("Could not get convention named " + conventionName);
}
final DayCount dayCount = convention.getDayCount();
if (dayCount == null) {
throw new OpenGammaRuntimeException("Could not get daycount");
}
final SABRInterestRateDataBundle data = new SABRInterestRateDataBundle(getModelParameters(target, inputs, dayCount), curves);
final InstrumentDefinition<InstrumentDerivative> irFutureOptionDefinition = (InstrumentDefinition<InstrumentDerivative>) _converter.convert(trade);
final InstrumentDerivative irFutureOption = _dataConverter.convert(trade.getSecurity(), irFutureOptionDefinition, now, curveNames, timeSeries);
return getResult(executionContext, desiredValues, inputs, target, irFutureOption, data);
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.TRADE;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
if (!(security instanceof IRFutureOptionSecurity)) {
return false;
}
// REVIEW Andrew 2012-01-17 -- This shouldn't be necessary; the securities in the master should be logically correct and not refer to incorrect or missing underlyings
final ExternalId identifier = ((IRFutureOptionSecurity) security).getUnderlyingId();
final ComputationTargetRequirement underlyingTarget = new ComputationTargetRequirement(ComputationTargetType.SECURITY, identifier);
final ComputationTargetSpecification underlyingSpecification = context.getComputationTargetResolver().getSpecificationResolver().getTargetSpecification(underlyingTarget);
if (underlyingSpecification == null) {
s_logger.error("Loader error: " + security.getName() + " - cannot resolve underlying identifier " + identifier);
return false;
}
final ComputationTarget underlying = context.getComputationTargetResolver().resolve(underlyingSpecification);
if (underlying == null) {
s_logger.error("Loader error: " + security.getName() + " - cannot resolve underlying " + underlyingSpecification);
return false;
}
final Security underlyingSecurity = underlying.getSecurity();
if (!(underlying.getValue() instanceof InterestRateFutureSecurity)) {
s_logger.error("Loader error: " + security.getName() + " - IRateFutureOption has an underlying that is not an IRFuture: " + underlyingSecurity.getName());
return false;
}
return true;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = ValueProperties.all();
final Set<ValueSpecification> results = new HashSet<>();
for (final String valueRequirement : _valueRequirementNames) {
results.add(new ValueSpecification(valueRequirement, target.toSpecification(), properties));
}
return results;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> calculationMethod = constraints.getValues(ValuePropertyNames.CALCULATION_METHOD);
if (calculationMethod != null && calculationMethod.size() == 1) {
if (!Iterables.getOnlyElement(calculationMethod).equals(SmileFittingPropertyNamesAndValues.SABR)) {
return null;
}
}
final Set<String> curveCalculationConfigs = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigs == null || curveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final Set<String> fittingMethods = constraints.getValues(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD);
if (fittingMethods == null || fittingMethods.size() != 1) {
return null;
}
final String curveCalculationConfig = Iterables.getOnlyElement(curveCalculationConfigs);
final String surfaceName = Iterables.getOnlyElement(surfaceNames) + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target);
final Trade trade = target.getTrade();
final Currency currency = FinancialSecurityUtils.getCurrency(trade.getSecurity());
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.addAll(getCurveRequirement(trade, curveCalculationConfig, context));
final ValueRequirement surfaceRequirement = SABRFittingPropertyUtils.getSurfaceRequirement(desiredValue, surfaceName, currency, InstrumentTypeProperties.IR_FUTURE_OPTION);
if (surfaceRequirement == null) {
return null;
}
requirements.add(surfaceRequirement);
// REVIEW Andrew 2012-01-17 -- This check shouldn't be necessary; we know the security is a IRFutureOptionSecurity because of #canApplyTo
/*
final SecuritySource secSource = context.getSecuritySource();
final Security secFromIdBundle = secSource.getSingle(security.getExternalIdBundle());
if (!(secFromIdBundle instanceof IRFutureOptionSecurity)) {
// s_logger.error("Loader error: " + secFromIdBundle.toString() + " has been loaded as an InterestRateFutureOption.");
return null;
}
*/
final Set<ValueRequirement> timeSeriesRequirement = getTimeSeriesRequirement(trade);
if (timeSeriesRequirement == null) {
return null;
}
requirements.addAll(timeSeriesRequirement);
return requirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
String surfaceName = null;
boolean curvePropertiesSet = false;
boolean surfacePropertiesSet = false;
ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, SmileFittingPropertyNamesAndValues.SABR)
.with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode());
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification value = entry.getKey();
final String inputName = value.getValueName();
if (inputName.equals(ValueRequirementNames.YIELD_CURVE) && !curvePropertiesSet) {
final ValueProperties curveProperties = value.getProperties().copy()
.withoutAny(ValuePropertyNames.FUNCTION)
.withoutAny(ValuePropertyNames.CURVE)
.withoutAny(ValuePropertyNames.CURRENCY)
.get();
for (final String property : curveProperties.getProperties()) {
properties.with(property, curveProperties.getValues(property));
}
curvePropertiesSet = true;
} else if (inputName.equals(ValueRequirementNames.SABR_SURFACES) && !surfacePropertiesSet) {
final String fullSurfaceName = value.getProperty(ValuePropertyNames.SURFACE);
surfaceName = fullSurfaceName.substring(0, fullSurfaceName.length() - 3);
final ValueProperties surfaceFittingProperties = value.getProperties().copy()
.withoutAny(ValuePropertyNames.FUNCTION)
.withoutAny(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL)
.withoutAny(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE)
.withoutAny(ValuePropertyNames.CURRENCY)
.withoutAny(ValuePropertyNames.SURFACE)
.get();
for (final String property : surfaceFittingProperties.getProperties()) {
properties.with(property, surfaceFittingProperties.getValues(property));
}
surfacePropertiesSet = true;
}
}
assert surfaceName != null;
assert curvePropertiesSet;
assert surfacePropertiesSet;
properties = properties.with(ValuePropertyNames.SURFACE, surfaceName);
final Set<ValueSpecification> results = new HashSet<>();
for (final String valueRequirement : _valueRequirementNames) {
results.add(new ValueSpecification(valueRequirement, target.toSpecification(), properties.get()));
}
return results;
}
/**
* @param context The function execution context
* @param desiredValues The desired values
* @param inputs The function inputs
* @param target The computation target
* @param irFutureOption The derivative form of the interest rate future option
* @param data The SABR parameter surfaces and yield curve data
* @return The results
*/
protected abstract Set<ComputedValue> getResult(FunctionExecutionContext context, Set<ValueRequirement> desiredValues, FunctionInputs inputs,
ComputationTarget target, InstrumentDerivative irFutureOption, SABRInterestRateDataBundle data);
/**
* @return The value requirement names
*/
protected String[] getValueRequirementNames() {
return _valueRequirementNames;
}
private Set<ValueRequirement> getCurveRequirement(final Trade trade, final String curveCalculationConfigName, final FunctionCompilationContext context) {
final Set<ValueRequirement> requirements = new HashSet<>();
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(trade.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());
return null;
}
requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
return requirements;
}
private Set<ValueRequirement> getTimeSeriesRequirement(final Trade trade) {
return _dataConverter.getConversionTimeSeriesRequirements(trade.getSecurity(), _converter.convert(trade));
}
private SABRInterestRateParameters getModelParameters(final ComputationTarget target, final FunctionInputs inputs, final DayCount dayCount) {
final Object surfacesObject = inputs.getValue(ValueRequirementNames.SABR_SURFACES);
if (surfacesObject == null) {
throw new OpenGammaRuntimeException("Could not get SABR fitted surfaces");
}
final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, SABR_FUNCTION);
}
}