/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.sabrcube;
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.SABRInterestRateDataBundle;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.holiday.HolidaySource;
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.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.CapFloorCMSSpreadSecurityConverter;
import com.opengamma.financial.analytics.conversion.CapFloorSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated;
import com.opengamma.financial.analytics.conversion.SwaptionSecurityConverterDeprecated;
import com.opengamma.financial.analytics.ircurve.YieldCurveFunction;
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.model.sabr.SABRDiscountingFunction;
import com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
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.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.FinancialSecurityVisitor;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.id.ExternalId;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.money.Currency;
/**
* Base class for functions that use a SABR model to price CMS, swaption, cap/floor and cap/floor CMS spread.
*
* @deprecated Use descendants of {@link SABRDiscountingFunction}
*/
@Deprecated
public abstract class SABRFunction extends AbstractFunction.NonCompiledInvoker {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(SABRFunction.class);
/** String labelling the type of SABR calculation (with right extrapolation) */
public static final String SABR_RIGHT_EXTRAPOLATION = "SABRRightExtrapolation";
/** String labelling the type of SABR extrapolation (none) */
public static final String SABR_NO_EXTRAPOLATION = "SABRNoExtrapolation";
/** Converts securities to definitions */
private FinancialSecurityVisitor<InstrumentDefinition<?>> _securityVisitor;
/** The security source */
private SecuritySource _securitySource;
/** Converts definitions to derivatives */
private FixedIncomeConverterDataProvider _definitionConverter;
@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 HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
_securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final SwapSecurityConverterDeprecated swapConverter = new SwapSecurityConverterDeprecated(holidaySource, conventionSource, regionSource, false);
final SwaptionSecurityConverterDeprecated swaptionConverter = new SwaptionSecurityConverterDeprecated(_securitySource, swapConverter);
final CapFloorSecurityConverterDeprecated capFloorVisitor = new CapFloorSecurityConverterDeprecated(holidaySource, conventionSource, regionSource);
final CapFloorCMSSpreadSecurityConverter capFloorCMSSpreadSecurityVisitor = new CapFloorCMSSpreadSecurityConverter(holidaySource, conventionSource, regionSource);
_securityVisitor = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder().swapSecurityVisitor(swapConverter).swaptionVisitor(swaptionConverter).capFloorVisitor(capFloorVisitor)
.capFloorCMSSpreadVisitor(capFloorCMSSpreadSecurityVisitor).create();
_definitionConverter = 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 ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final InstrumentDefinition<?> definition = security.accept(getVisitor());
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String conventionName = currency.getCode() + "_SWAP";
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.getSwapFloatingLegDayCount();
if (dayCount == null) {
throw new OpenGammaRuntimeException("Could not get daycount");
}
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(); //TODO
final int numCurveNames = curveNames.length;
final String[] fullCurveNames = new String[numCurveNames];
for (int i = 0; i < numCurveNames; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final SABRInterestRateDataBundle data = getModelParameters(target, inputs, currency, dayCount, curves, desiredValue);
final InstrumentDerivative derivative = getConverter().convert(security, definition, now, fullCurveNames, timeSeries);
final Object result = getResult(derivative, data, desiredValue);
final ValueProperties properties = getResultProperties(createValueProperties().get(), currency.getCode(), desiredValue);
final ValueSpecification spec = new ValueSpecification(getValueRequirement(), target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, result));
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final String currency = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode();
final ValueProperties properties = getResultProperties(createValueProperties().get(), currency);
return Collections.singleton(new ValueSpecification(getValueRequirement(), target.toSpecification(), properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> cubeNames = constraints.getValues(ValuePropertyNames.CUBE);
if (cubeNames == null || cubeNames.size() != 1) {
return null;
}
final Set<String> fittingMethods = constraints.getValues(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD);
if (fittingMethods == null || fittingMethods.size() != 1) {
return null;
}
final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.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.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 String cubeName = cubeNames.iterator().next();
final String fittingMethod = fittingMethods.iterator().next();
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
requirements.add(getCubeRequirement(cubeName, currency, fittingMethod));
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
try {
final Set<ValueRequirement> timeSeriesRequirements = getConverter().getConversionTimeSeriesRequirements(security, security.accept(getVisitor()));
if (timeSeriesRequirements == null) {
return null;
}
requirements.addAll(timeSeriesRequirements);
return requirements;
} catch (final Exception e) {
s_logger.error(e.getMessage());
return null;
}
}
/**
* Gets the value requirement.
*
* @return The value requirement
*/
protected abstract String getValueRequirement();
/**
* Gets the result.
*
* @param derivative The derivative
* @param data The market data
* @param desiredValue The desired value
* @return The result
*/
protected abstract Object getResult(final InstrumentDerivative derivative, final SABRInterestRateDataBundle data, final ValueRequirement desiredValue);
protected ValueRequirement getCurveRequirement(final String curveName, final String advisoryForward, final String advisoryFunding, final String calculationMethod,
final Currency currency) {
return YieldCurveFunction.getCurveRequirement(currency, curveName, advisoryForward, advisoryFunding, calculationMethod);
}
protected ValueRequirement getCubeRequirement(final String cubeName, final Currency currency, final String fittingMethod) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CUBE, cubeName)
.with(ValuePropertyNames.CURRENCY, Currency.USD.getCode()) // TODO replace when we get more data currency.getCode())
.with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD, fittingMethod).get();
return new ValueRequirement(ValueRequirementNames.SABR_SURFACES, ComputationTargetSpecification.of(currency), properties);
}
protected FinancialSecurityVisitor<InstrumentDefinition<?>> getVisitor() {
return _securityVisitor;
}
protected FixedIncomeConverterDataProvider getConverter() {
return _definitionConverter;
}
protected SecuritySource getSecuritySource() {
return _securitySource;
}
protected abstract SABRInterestRateDataBundle getModelParameters(final ComputationTarget target, final FunctionInputs inputs, final Currency currency,
final DayCount dayCount, final YieldCurveBundle curves, final ValueRequirement desiredValue);
protected abstract ValueProperties getResultProperties(final ValueProperties properties, final String currency);
protected abstract ValueProperties getResultProperties(final ValueProperties properties, final String currency, final ValueRequirement desiredValue);
}