/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.pnl;
import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.core.position.Position;
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.CompiledFunctionDefinition;
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.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.fx.FXForwardSecurity;
import com.opengamma.financial.security.fx.NonDeliverableFXForwardSecurity;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;
/**
* Produces the aggregated P&L series across both curves for an FX Forward.
*/
public class FXForwardYieldCurvesPnLFunction extends AbstractFunction {
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
final CurrencyPairs currencyPairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
return new Compiled(currencyPairs);
}
/**
* The compiled form.
*/
protected class Compiled extends AbstractInvokingCompiledFunction {
private final CurrencyPairs _currencyPairs;
public Compiled(final CurrencyPairs currencyPairs) {
_currencyPairs = currencyPairs;
}
// CompiledFunctionDefinition
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.POSITION;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getPosition().getSecurity();
return security instanceof FXForwardSecurity || security instanceof NonDeliverableFXForwardSecurity;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Sets.newHashSet(new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), ValueProperties.all().withoutAny(ValuePropertyNames.CURVE_CURRENCY)));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
String resultCurrency;
if (resultCurrencies == null || resultCurrencies.size() != 1) {
final CurrencyPair baseQuotePair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency baseCurrency = baseQuotePair.getBase();
resultCurrency = baseCurrency.getCode();
} else {
resultCurrency = Iterables.getOnlyElement(resultCurrencies);
}
final ComputationTargetSpecification targetSpec = target.toSpecification();
final ValueRequirement payPnLSeriesRequirement = getPnLSeriesRequirement(payCurrency, targetSpec, constraints);
final ValueRequirement receivePnLSeriesRequirement = getPnLSeriesRequirement(receiveCurrency, targetSpec, constraints);
return ImmutableSet.of(payPnLSeriesRequirement, receivePnLSeriesRequirement);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final ValueProperties.Builder builder = createValueProperties();
for (final ValueSpecification inputSpec : inputs.keySet()) {
for (final String propertyName : inputSpec.getProperties().getProperties()) {
if (ValuePropertyNames.FUNCTION.equals(propertyName)) {
continue;
}
final Set<String> values = inputSpec.getProperties().getValues(propertyName);
if (values == null || values.isEmpty()) {
builder.withAny(propertyName);
} else {
builder.with(propertyName, values);
}
}
}
return ImmutableSet.of(new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), builder.get()));
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final Position position = target.getPosition();
final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency currencyBase = currencyPair.getBase();
LocalDateDoubleTimeSeries payPnLSeries = null;
LocalDateDoubleTimeSeries receivePnLSeries = null;
for (final ComputedValue input : inputs.getAllValues()) {
if (!ValueRequirementNames.PNL_SERIES.equals(input.getSpecification().getValueName())) {
continue;
}
final LocalDateDoubleTimeSeries pnlSeries = (LocalDateDoubleTimeSeries) input.getValue();
final Currency pnlSeriesCurveCurrency = Currency.of(input.getSpecification().getProperty(ValuePropertyNames.CURVE_CURRENCY));
if (pnlSeriesCurveCurrency.equals(payCurrency)) {
payPnLSeries = pnlSeries;
} else if (pnlSeriesCurveCurrency.equals(receiveCurrency)) {
receivePnLSeries = pnlSeries;
}
}
if (payPnLSeries == null || receivePnLSeries == null) {
throw new OpenGammaRuntimeException("Unable to find both pay and receive curve P&L series in inputs");
}
final DoubleTimeSeries<?> result = payPnLSeries.add(receivePnLSeries);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), desiredValue.getConstraints());
return Collections.singleton(new ComputedValue(resultSpec, result));
}
private ValueRequirement getPnLSeriesRequirement(final Currency currency, final ComputationTargetSpecification targetSpec, final ValueProperties constraints) {
final ValueProperties newConstraints = constraints.copy()
.with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
.get();
return new ValueRequirement(ValueRequirementNames.PNL_SERIES, targetSpec, newConstraints);
}
}
}