/**
* 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.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.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueNodeSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
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.InterpolatedYieldCurveSpecificationWithSecurities;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.FunctionUtils;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.model.YieldCurveNodeSensitivitiesHelper;
import com.opengamma.financial.analytics.model.curve.interestrate.FXImpliedYieldCurveFunction;
import com.opengamma.financial.analytics.model.curve.interestrate.MultiYieldCurvePropertiesAndDefaults;
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 the calculation of yield curve node sensitivities of instruments priced using the SABR model.
*
* @deprecated Use descendants of {@link SABRDiscountingFunction}
*/
@Deprecated
public abstract class SABRYCNSFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(SABRYCNSFunction.class);
private static final InstrumentSensitivityCalculator CALCULATOR = InstrumentSensitivityCalculator.getInstance();
private static final String PROPERTY_REQUESTED_CURVE = ValuePropertyNames.OUTPUT_RESERVED_PREFIX + "RequestedCurve";
private FinancialSecurityVisitor<InstrumentDefinition<?>> _securityVisitor;
private SecuritySource _securitySource;
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 ValueRequirement desiredValue = desiredValues.iterator().next();
final PresentValueNodeSensitivityCalculator nodeCalculator = getNodeSensitivityCalculator(desiredValue);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final ValueProperties constraints = desiredValues.iterator().next().getConstraints();
final String curveName = constraints.getValues(ValuePropertyNames.CURVE).iterator().next();
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
if (curveSpecObject == null) {
throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
}
final InstrumentDefinition<?> definition = security.accept(_securityVisitor);
if (definition == null) {
throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
}
final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(executionContext);
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();
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 String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final YieldCurveBundle knownCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
final SABRInterestRateDataBundle data = getModelParameters(target, inputs, currency, dayCount, curves, desiredValue);
final SABRInterestRateDataBundle knownData = knownCurves == null ? null : getModelParameters(target, inputs, currency, dayCount, knownCurves, desiredValue);
final InstrumentDerivative derivative = _definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries); //TODO
final ValueProperties properties = createValueProperties(target, desiredValue).get();
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
if (jacobianObject == null) {
throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
}
final double[][] array = FunctionUtils.decodeJacobian(jacobianObject);
final DoubleMatrix2D jacobian = new DoubleMatrix2D(array);
DoubleMatrix1D sensitivities;
if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
final Object couponSensitivityObject = inputs.getValue(ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
if (couponSensitivityObject == null) {
throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY);
}
final DoubleMatrix1D couponSensitivity = (DoubleMatrix1D) couponSensitivityObject;
sensitivities = CALCULATOR.calculateFromPresentValue(derivative, knownData, data, couponSensitivity, jacobian, nodeCalculator);
} else {
sensitivities = CALCULATOR.calculateFromParRate(derivative, knownData, data, jacobian, nodeCalculator);
}
final String fullCurveName = curveName + "_" + currency.getCode();
return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fullCurveName, data, sensitivities, curveSpec, spec);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final Currency ccy = FinancialSecurityUtils.getCurrency(target.getSecurity());
final ValueProperties properties = createValueProperties(ccy).get();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties));
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final ValueProperties.Builder properties = createValueProperties(FinancialSecurityUtils.getCurrency(target.getSecurity()));
if (OpenGammaCompilationContext.isPermissive(context)) {
for (final ValueRequirement input : inputs.values()) {
final String curve = input.getConstraint(PROPERTY_REQUESTED_CURVE);
if (curve != null) {
properties.withoutAny(ValuePropertyNames.CURVE).with(ValuePropertyNames.CURVE, curve);
break;
}
}
}
return Collections.singleton(new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties.get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
Set<String> requestedCurveNames = constraints.getValues(ValuePropertyNames.CURVE);
final boolean permissive = OpenGammaCompilationContext.isPermissive(context);
if (!permissive && ((requestedCurveNames == null) || requestedCurveNames.isEmpty())) {
s_logger.error("Must ask for a single named curve");
return null;
}
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[] availableCurveNames = curveCalculationConfig.getYieldCurveNames();
if ((requestedCurveNames == null) || requestedCurveNames.isEmpty()) {
requestedCurveNames = Sets.newHashSet(availableCurveNames);
} else {
final Set<String> intersection = YieldCurveFunctionUtils.intersection(requestedCurveNames, availableCurveNames);
if (intersection.isEmpty()) {
s_logger.error("None of the requested curves {} are available in curve calculation configuration called {}", requestedCurveNames, curveCalculationConfigName);
return null;
}
requestedCurveNames = intersection;
}
if (!permissive && (requestedCurveNames.size() != 1)) {
s_logger.error("Must specify single curve name constraint, got {}", requestedCurveNames);
return null;
}
final String curveName = requestedCurveNames.iterator().next();
final String cubeName = cubeNames.iterator().next();
final String fittingMethod = fittingMethods.iterator().next();
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Set<ValueRequirement> curveRequirements = YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource);
final Set<ValueRequirement> requirements = Sets.newHashSetWithExpectedSize(curveRequirements.size() + 3);
for (final ValueRequirement curveRequirement : curveRequirements) {
final ValueProperties.Builder properties = curveRequirement.getConstraints().copy();
properties.with(PROPERTY_REQUESTED_CURVE, curveName).withOptional(PROPERTY_REQUESTED_CURVE);
requirements.add(new ValueRequirement(curveRequirement.getValueName(), curveRequirement.getTargetReference(), properties.get()));
}
requirements.add(getCubeRequirement(cubeName, currency, fittingMethod));
final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
if (!curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
requirements.add(getCurveSpecRequirement(currency, curveName));
}
requirements.add(getJacobianRequirement(currency, curveCalculationConfigName, curveCalculationMethod));
if (curveCalculationMethod.equals(MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING)) {
requirements.add(getCouponSensitivitiesRequirement(currency, curveCalculationConfigName));
}
final Set<ValueRequirement> timeSeriesRequirements = _definitionConverter.getConversionTimeSeriesRequirements(security, security.accept(_securityVisitor));
if (timeSeriesRequirements == null) {
return null;
}
requirements.addAll(timeSeriesRequirements);
return requirements;
}
protected abstract SABRInterestRateDataBundle getModelParameters(final ComputationTarget target, final FunctionInputs inputs, final Currency currency,
final DayCount dayCount, final YieldCurveBundle curves, final ValueRequirement desiredValue);
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.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 abstract ValueProperties.Builder createValueProperties(final Currency currency);
protected abstract ValueProperties.Builder createValueProperties(final ComputationTarget target, final ValueRequirement desiredValue);
protected abstract PresentValueNodeSensitivityCalculator getNodeSensitivityCalculator(final ValueRequirement desiredValue);
private static ValueRequirement getCurveSpecRequirement(final Currency currency, final String curveName) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName).get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_SPEC, ComputationTargetSpecification.of(currency), properties);
}
private static ValueRequirement getCouponSensitivitiesRequirement(final Currency currency, final String curveCalculationConfigName) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, MultiYieldCurvePropertiesAndDefaults.PRESENT_VALUE_STRING).get();
return new ValueRequirement(ValueRequirementNames.PRESENT_VALUE_COUPON_SENSITIVITY, ComputationTargetSpecification.of(currency), properties);
}
private static ValueRequirement getJacobianRequirement(final Currency currency, final String curveCalculationConfigName, final String curveCalculationMethod) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod).get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE_JACOBIAN, ComputationTargetSpecification.of(currency), properties);
}
}