/**
* 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.Collections;
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.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.YieldCurveWithBlackCubeBundle;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
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.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.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.CalculationPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.black.BlackDiscountingIRFutureOptionFunction;
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.option.IRFutureOptionSecurity;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
* Base class for a range of functions computing values on an IRFuturesOption using the Black Model
*
* @deprecated Use classes that descend from {@link BlackDiscountingIRFutureOptionFunction}
*/
@Deprecated
public abstract class InterestRateFutureOptionBlackFunction extends AbstractFunction.NonCompiledInvoker {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(InterestRateFutureOptionBlackFunction.class);
/** The name of the value that will be calculated */
private final String _valueRequirementName;
/** Converts a {@link Trade} to an {@link InstrumentDefinition} */
private InterestRateFutureOptionTradeConverterDeprecated _converter;
/** Converts an {@link InstrumentDefinition} to an {@link InstrumentDerivative} */
private FixedIncomeConverterDataProvider _dataConverter;
/**
* @param valueRequirementName The value requirement name, not null
*/
public InterestRateFutureOptionBlackFunction(final String valueRequirementName) {
ArgumentChecker.notNull(valueRequirementName, "value requirement name");
_valueRequirementName = valueRequirementName;
}
@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) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final Trade trade = target.getTrade();
final IRFutureOptionSecurity security = (IRFutureOptionSecurity) trade.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String surfaceNameWithPrefix = surfaceName + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target); // Done to enable standard and midcurve options to share the same default name
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[Math.max(2, curveNames.length)];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
if (curveNames.length == 1) { // MultiCurveCalculationConfig contains just a single curve for discounting and forwarding
fullCurveNames[1] = fullCurveNames[0];
}
final YieldCurveBundle curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceNameWithPrefix, currency));
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
}
final InstrumentDefinition<?> irFutureOptionDefinition = _converter.convert(trade);
final InstrumentDerivative irFutureOption = _dataConverter.convert(security, irFutureOptionDefinition, now, fullCurveNames, timeSeries);
final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), desiredValue.getConstraints());
final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), curves);
return getResult(irFutureOption, data, spec, desiredValues);
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.TRADE;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
return target.getTrade().getSecurity() instanceof IRFutureOptionSecurity;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final String currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode();
return Collections.singleton(new ValueSpecification(_valueRequirementName, target.toSpecification(), getResultProperties(currency).get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
s_logger.info("Could not find {} requirement. Looking for a default..", ValuePropertyNames.SURFACE);
return null;
}
final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
return null;
}
final String surfaceName = surfaceNames.iterator().next() + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target);
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());
return null;
}
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
requirements.add(getVolatilityRequirement(surfaceName, currency));
try {
final Set<ValueRequirement> tsRequirements = _dataConverter.getConversionTimeSeriesRequirements(target.getTrade().getSecurity(), _converter.convert(target.getTrade()));
if (tsRequirements == null) {
return null;
}
requirements.addAll(tsRequirements);
} catch (final Exception e) {
s_logger.error(e.getMessage());
return null;
}
return requirements;
}
/**
* Calculates the result
*
* @param irFutureOption The IR future option
* @param data The data used in pricing
* @param spec The value specification of the result
* @param desiredValues The constraints on the function
* @return The result
*/
protected abstract Set<ComputedValue> getResult(final InstrumentDerivative irFutureOption, final YieldCurveWithBlackCubeBundle data,
final ValueSpecification spec, Set<ValueRequirement> desiredValues);
protected ValueProperties.Builder getResultProperties(final String currency) {
return createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.withAny(ValuePropertyNames.SURFACE)
.with(ValuePropertyNames.CURRENCY, currency);
}
protected ValueRequirement getVolatilityRequirement(final String surface, final Currency currency) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.SURFACE, surface)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION).get();
return new ValueRequirement(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE, ComputationTargetSpecification.of(currency), properties);
}
}