/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.sabr;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValueRequirementNames.PV01;
import static com.opengamma.financial.analytics.model.sabr.SABRPropertyValues.PROPERTY_MU;
import static com.opengamma.financial.analytics.model.sabr.SABRPropertyValues.PROPERTY_STRIKE_CUTOFF;
import java.util.Collections;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.discounting.PV01CurveParametersCalculator;
import com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderInterface;
import com.opengamma.analytics.util.amount.ReferenceAmount;
import com.opengamma.engine.ComputationTarget;
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.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCountFactory;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Calculates the PV01 of instruments using curves constructed using
* the discounting method.
*/
public class RightExtrapolationSABRDiscountingPV01Function extends RightExtrapolationSABRDiscountingFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(RightExtrapolationSABRDiscountingPV01Function.class);
/**
* Sets the value requirements to {@link ValueRequirementNames#PV01}
*/
public RightExtrapolationSABRDiscountingPV01Function() {
super(PV01);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new RightExtrapolationSABRDiscountingCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@Override
protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
final FXMatrix fxMatrix) {
final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Act/360"); //TODO
final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final String desiredCurveName = desiredValue.getConstraint(CURVE);
final ValueProperties properties = desiredValue.getConstraints();
final double cutoffStrike = Double.parseDouble(desiredValue.getConstraint(PROPERTY_STRIKE_CUTOFF));
final double mu = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MU));
final InstrumentDerivativeVisitor<SABRSwaptionProviderInterface, ReferenceAmount<Pair<String, Currency>>> calculator =
new PV01CurveParametersCalculator<>(new PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator(cutoffStrike, mu));
final ReferenceAmount<Pair<String, Currency>> pv01 = derivative.accept(calculator, sabrData);
final Set<ComputedValue> results = new HashSet<>();
boolean curveNameFound = false;
for (final Map.Entry<Pair<String, Currency>, Double> entry : pv01.getMap().entrySet()) {
final String curveName = entry.getKey().getFirst();
if (desiredCurveName.equals(curveName)) {
curveNameFound = true;
}
final ValueProperties curveSpecificProperties = properties.copy()
.withoutAny(CURVE)
.with(CURVE, curveName)
.get();
final ValueSpecification spec = new ValueSpecification(PV01, target.toSpecification(), curveSpecificProperties);
results.add(new ComputedValue(spec, entry.getValue()));
}
if (!curveNameFound) {
s_logger.info("Could not get sensitivities to " + desiredCurveName + " for " + target.getName());
return Collections.emptySet();
}
return results;
}
@Override
protected ValueProperties.Builder getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final ValueProperties.Builder properties = super.getResultProperties(compilationContext, target);
return properties.withAny(CURVE);
}
@Override
protected boolean requirementsSet(final ValueProperties constraints) {
if (super.requirementsSet(constraints)) {
final Set<String> curves = constraints.getValues(CURVE);
if (curves == null) {
return false;
}
return true;
}
return false;
}
};
}
}