/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.riskfactors;
import java.util.Collections;
import java.util.HashSet;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.ImmutableSet;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.position.Portfolio;
import com.opengamma.core.position.PortfolioNode;
import com.opengamma.core.position.Position;
import com.opengamma.core.position.impl.AbstractPortfolioNodeTraversalCallback;
import com.opengamma.core.position.impl.PortfolioNodeTraverser;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.engine.ComputationTargetSpecification;
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.view.ViewCalculationConfiguration;
import com.opengamma.financial.analytics.MissingInputsFunction;
import com.opengamma.financial.analytics.conversion.SwapSecurityUtils;
import com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType;
import com.opengamma.financial.analytics.ircurve.YieldCurveFunction;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.bond.CorporateBondSecurity;
import com.opengamma.financial.security.bond.GovernmentBondSecurity;
import com.opengamma.financial.security.bond.MunicipalBondSecurity;
import com.opengamma.financial.security.capfloor.CapFloorCMSSpreadSecurity;
import com.opengamma.financial.security.capfloor.CapFloorSecurity;
import com.opengamma.financial.security.cash.CashSecurity;
import com.opengamma.financial.security.deposit.ContinuousZeroDepositSecurity;
import com.opengamma.financial.security.deposit.PeriodicZeroDepositSecurity;
import com.opengamma.financial.security.deposit.SimpleZeroDepositSecurity;
import com.opengamma.financial.security.equity.EquitySecurity;
import com.opengamma.financial.security.equity.EquityVarianceSwapSecurity;
import com.opengamma.financial.security.fra.FRASecurity;
import com.opengamma.financial.security.future.AgricultureFutureSecurity;
import com.opengamma.financial.security.future.BondFutureSecurity;
import com.opengamma.financial.security.future.EnergyFutureSecurity;
import com.opengamma.financial.security.future.EquityFutureSecurity;
import com.opengamma.financial.security.future.EquityIndexDividendFutureSecurity;
import com.opengamma.financial.security.future.FXFutureSecurity;
import com.opengamma.financial.security.future.IndexFutureSecurity;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.financial.security.future.MetalFutureSecurity;
import com.opengamma.financial.security.future.StockFutureSecurity;
import com.opengamma.financial.security.fx.FXForwardSecurity;
import com.opengamma.financial.security.fx.NonDeliverableFXForwardSecurity;
import com.opengamma.financial.security.option.CommodityFutureOptionSecurity;
import com.opengamma.financial.security.option.EquityBarrierOptionSecurity;
import com.opengamma.financial.security.option.EquityIndexDividendFutureOptionSecurity;
import com.opengamma.financial.security.option.EquityIndexOptionSecurity;
import com.opengamma.financial.security.option.EquityOptionSecurity;
import com.opengamma.financial.security.option.FXBarrierOptionSecurity;
import com.opengamma.financial.security.option.FXDigitalOptionSecurity;
import com.opengamma.financial.security.option.FXOptionSecurity;
import com.opengamma.financial.security.option.FxFutureOptionSecurity;
import com.opengamma.financial.security.option.IRFutureOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXDigitalOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXOptionSecurity;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.financial.security.swap.InterestRateNotional;
import com.opengamma.financial.security.swap.Notional;
import com.opengamma.financial.security.swap.SwapSecurity;
import com.opengamma.id.ExternalId;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.Pair;
/**
* Default implementation of {@link RiskFactorsGatherer}.
*/
public class DefaultRiskFactorsGatherer extends FinancialSecurityVisitorAdapter<Set<Pair<String, ValueProperties>>> implements RiskFactorsGatherer {
private static final Logger s_logger = LoggerFactory.getLogger(DefaultRiskFactorsGatherer.class);
private final SecuritySource _securities;
private final RiskFactorsConfigurationProvider _configProvider;
public DefaultRiskFactorsGatherer(final SecuritySource securities, final RiskFactorsConfigurationProvider configProvider) {
ArgumentChecker.notNull(securities, "securities");
ArgumentChecker.notNull(configProvider, "configProvider");
_securities = securities;
_configProvider = configProvider;
}
@Override
public Set<ValueRequirement> getPositionRiskFactors(final Position position) {
ArgumentChecker.notNull(position, "position");
final Set<Pair<String, ValueProperties>> securityRiskFactors = ((FinancialSecurity) position.getSecurity()).accept(this);
if (securityRiskFactors.isEmpty()) {
return ImmutableSet.of();
}
final Set<ValueRequirement> results = new HashSet<ValueRequirement>(securityRiskFactors.size());
for (final Pair<String, ValueProperties> securityRiskFactor : securityRiskFactors) {
results.add(getValueRequirement(position, securityRiskFactor.getFirst(), securityRiskFactor.getSecond()));
}
return results;
}
@Override
public Set<ValueRequirement> getPositionRiskFactors(final Portfolio portfolio) {
ArgumentChecker.notNull(portfolio, "portfolio");
final RiskFactorPortfolioTraverser callback = new RiskFactorPortfolioTraverser();
callback.traverse(portfolio.getRootNode());
return callback.getRiskFactors();
}
@Override
public void addPortfolioRiskFactors(final Portfolio portfolio, final ViewCalculationConfiguration calcConfig) {
ArgumentChecker.notNull(portfolio, "portfolio");
ArgumentChecker.notNull(calcConfig, "calcConfig");
final RiskFactorPortfolioTraverser callback = new RiskFactorPortfolioTraverser(calcConfig);
callback.traverse(portfolio.getRootNode());
}
//-------------------------------------------------------------------------
private class RiskFactorPortfolioTraverser extends AbstractPortfolioNodeTraversalCallback {
private final ViewCalculationConfiguration _calcConfig;
private final Set<ValueRequirement> _valueRequirements = new HashSet<ValueRequirement>();
public RiskFactorPortfolioTraverser() {
this(null);
}
public RiskFactorPortfolioTraverser(final ViewCalculationConfiguration calcConfig) {
_calcConfig = calcConfig;
}
public void traverse(final PortfolioNode rootNode) {
PortfolioNodeTraverser.depthFirst(this).traverse(rootNode);
}
public Set<ValueRequirement> getRiskFactors() {
return new HashSet<ValueRequirement>(_valueRequirements);
}
@Override
public void preOrderOperation(final PortfolioNode portfolioNode) {
}
@Override
public void preOrderOperation(final PortfolioNode parentNode, final Position position) {
// REVIEW 2012-09-17 Andrew -- [PLAT-2286] Should we check whether the position has already been visited?
final Set<ValueRequirement> riskFactorRequirements = DefaultRiskFactorsGatherer.this.getPositionRiskFactors(position);
_valueRequirements.addAll(riskFactorRequirements);
if (_calcConfig != null) {
for (final ValueRequirement riskFactorRequirement : riskFactorRequirements) {
_calcConfig.addPortfolioRequirement(position.getSecurity().getSecurityType(),
riskFactorRequirement.getValueName(), riskFactorRequirement.getConstraints());
}
}
}
@Override
public void postOrderOperation(final PortfolioNode parentNode, final Position position) {
}
@Override
public void postOrderOperation(final PortfolioNode portfolioNode) {
}
}
//-------------------------------------------------------------------------
// Securities
@Override
public Set<Pair<String, ValueProperties>> visitCorporateBondSecurity(final CorporateBondSecurity security) {
return ImmutableSet.of(
getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()),
getPresentValue(ValueProperties.builder()),
getPV01(getFundingCurve()));
}
@Override
public Set<Pair<String, ValueProperties>> visitGovernmentBondSecurity(final GovernmentBondSecurity security) {
return ImmutableSet.of(
getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()),
getPresentValue(ValueProperties.builder()),
getPV01(getFundingCurve()));
}
@Override
public Set<Pair<String, ValueProperties>> visitMunicipalBondSecurity(final MunicipalBondSecurity security) {
return ImmutableSet.of(
getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()),
getPresentValue(ValueProperties.builder()),
getPV01(getFundingCurve()));
}
@Override
public Set<Pair<String, ValueProperties>> visitCashSecurity(final CashSecurity security) {
return ImmutableSet.of(
getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()),
getYieldCurveNodeSensitivities(getForwardCurve(security.getCurrency()), security.getCurrency()),
getPresentValue(ValueProperties.builder()),
getPV01(getFundingCurve()),
getPV01(getForwardCurve(security.getCurrency())));
}
@Override
public Set<Pair<String, ValueProperties>> visitEquitySecurity(final EquitySecurity security) {
return ImmutableSet.of();
}
@Override
public Set<Pair<String, ValueProperties>> visitFRASecurity(final FRASecurity security) {
return ImmutableSet.of(
getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()),
getYieldCurveNodeSensitivities(getForwardCurve(security.getCurrency()), security.getCurrency()),
getPresentValue(ValueProperties.builder()),
getPV01(getFundingCurve()),
getPV01(getForwardCurve(security.getCurrency())));
}
@Override
public Set<Pair<String, ValueProperties>> visitSwapSecurity(final SwapSecurity security) {
final ImmutableSet.Builder<Pair<String, ValueProperties>> builder = ImmutableSet.<Pair<String, ValueProperties>>builder();
// At the moment pay and receive must be the same currency, so any one of them is sufficient
final Notional payNotional = security.getPayLeg().getNotional();
final Notional receiveNotional = security.getReceiveLeg().getNotional();
if (payNotional instanceof InterestRateNotional && receiveNotional instanceof InterestRateNotional) {
final Currency ccy = ((InterestRateNotional) payNotional).getCurrency();
builder.add(getYieldCurveNodeSensitivities(getFundingCurve(), ccy));
builder.add(getYieldCurveNodeSensitivities(getForwardCurve(ccy), ccy));
final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType(security);
if (type == InterestRateInstrumentType.SWAP_CMS_CMS ||
type == InterestRateInstrumentType.SWAP_FIXED_CMS ||
type == InterestRateInstrumentType.SWAP_IBOR_CMS) {
builder.add(getVegaQuoteCubeMatrix(ValueProperties.with(ValuePropertyNames.CUBE, "BLOOMBERG")));
} else if (type == InterestRateInstrumentType.SWAP_FIXED_IBOR ||
type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD ||
type == InterestRateInstrumentType.SWAP_IBOR_IBOR) {
builder.add(getPV01(getFundingCurve()));
builder.add(getPV01(getForwardCurve(ccy)));
}
}
builder.add(getPresentValue(ValueProperties.builder()));
return builder.build();
}
@Override
public Set<Pair<String, ValueProperties>> visitEquityIndexOptionSecurity(final EquityIndexOptionSecurity security) {
final ExternalId underlyingId = security.getUnderlyingId();
return ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getEquityValue(ValueRequirementNames.PRESENT_VALUE, underlyingId))
.add(getEquityValue(ValueRequirementNames.VEGA_QUOTE_MATRIX, underlyingId))
.add(getEquityValue(ValueRequirementNames.VEGA_MATRIX, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_VEGA, underlyingId))
.add(getEquityValue(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_DELTA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_GAMMA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_VOMMA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_VANNA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_RHO, underlyingId))
.build();
}
@Override
public Set<Pair<String, ValueProperties>> visitEquityOptionSecurity(final EquityOptionSecurity security) {
final ExternalId underlyingId = security.getUnderlyingId();
return ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getEquityValue(ValueRequirementNames.PRESENT_VALUE, underlyingId))
.add(getEquityValue(ValueRequirementNames.VEGA_QUOTE_MATRIX, underlyingId))
.add(getEquityValue(ValueRequirementNames.VEGA_MATRIX, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_VEGA, underlyingId))
.add(getEquityValue(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_DELTA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_GAMMA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_VOMMA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_VANNA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_RHO, underlyingId))
.build();
}
@Override
public Set<Pair<String, ValueProperties>> visitEquityBarrierOptionSecurity(final EquityBarrierOptionSecurity security) {
final ExternalId underlyingId = security.getUnderlyingId();
return ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getEquityValue(ValueRequirementNames.PRESENT_VALUE, underlyingId))
.add(getEquityValue(ValueRequirementNames.VEGA_QUOTE_MATRIX, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_VEGA, underlyingId))
.add(getEquityValue(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_DELTA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_GAMMA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_VOMMA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_VANNA, underlyingId))
.add(getEquityValue(ValueRequirementNames.VALUE_RHO, underlyingId))
.build();
}
@Override
public Set<Pair<String, ValueProperties>> visitFXOptionSecurity(final FXOptionSecurity security) {
final ImmutableSet.Builder<Pair<String, ValueProperties>> builder = ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getFXPresentValueWithCalculationMethod())
.add(getFXCurrencyExposureWithCalculationMethod())
.add(getFXYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getCallCurrency()), security.getCallCurrency()))
.add(getFXYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getPutCurrency()), security.getPutCurrency()));
final String surfaceName = _configProvider.getFXVanillaOptionSurfaceName(security.getCallCurrency(), security.getPutCurrency());
if (surfaceName != null) {
builder.add(getFXVegaQuoteMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)));
builder.add(getFXVegaMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)));
} else {
s_logger.warn("Could not build surface name for {}", security);
}
return builder.build();
}
@Override
public Set<Pair<String, ValueProperties>> visitNonDeliverableFXDigitalOptionSecurity(final NonDeliverableFXDigitalOptionSecurity security) {
final ImmutableSet.Builder<Pair<String, ValueProperties>> builder = ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getFXPresentValueWithCalculationMethod())
.add(getFXCurrencyExposureWithCalculationMethod())
.add(getFXYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getCallCurrency()), security.getCallCurrency()))
.add(getFXYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getPutCurrency()), security.getPutCurrency()));
final String surfaceName = _configProvider.getFXVanillaOptionSurfaceName(security.getCallCurrency(), security.getPutCurrency());
if (surfaceName != null) {
builder.add(getFXVegaQuoteMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)));
builder.add(getFXVegaMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)));
} else {
s_logger.warn("Could not build surface name for {}", security);
}
return builder.build();
}
@Override
public Set<Pair<String, ValueProperties>> visitNonDeliverableFXOptionSecurity(final NonDeliverableFXOptionSecurity security) {
final ImmutableSet.Builder<Pair<String, ValueProperties>> builder = ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getFXPresentValueWithCalculationMethod())
.add(getFXCurrencyExposureWithCalculationMethod())
.add(getFXYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getCallCurrency()), security.getCallCurrency()))
.add(getFXYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getPutCurrency()), security.getPutCurrency()));
final String surfaceName = _configProvider.getFXVanillaOptionSurfaceName(security.getCallCurrency(), security.getPutCurrency());
if (surfaceName != null) {
builder.add(getFXVegaQuoteMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)));
builder.add(getFXVegaMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)));
} else {
s_logger.warn("Could not build surface name for {}", security);
}
return builder.build();
}
@Override
public Set<Pair<String, ValueProperties>> visitSwaptionSecurity(final SwaptionSecurity security) {
return ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()))
.add(getYieldCurveNodeSensitivities(getForwardCurve(security.getCurrency()), security.getCurrency()))
.addAll(getSabrSensitivities())
.add(getPresentValue(ValueProperties.with(ValuePropertyNames.CUBE, _configProvider.getSwaptionVolatilityCubeName(security.getCurrency()))))
.add(getVegaQuoteCubeMatrix(ValueProperties.with(ValuePropertyNames.CUBE, "BLOOMBERG"))).build();
}
@Override
public Set<Pair<String, ValueProperties>> visitIRFutureOptionSecurity(final IRFutureOptionSecurity security) {
final Currency ccy = security.getCurrency();
final String tickerStr = security.getExternalIdBundle().getValue(ExternalSchemes.BLOOMBERG_TICKER);
final String futurePrefix = tickerStr.substring(0, 2);
final String surfaceName = _configProvider.getIRFutureOptionVolatilitySurfaceName(futurePrefix);
return ImmutableSet.<Pair<String, ValueProperties>>builder()
.addAll(getSabrSensitivities())
.add(getYieldCurveNodeSensitivities(getFundingCurve(), ccy))
.add(getYieldCurveNodeSensitivities(getForwardCurve(ccy), ccy))
.add(getPresentValue(ValueProperties.with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION)))
.add(getVegaQuoteMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION))).build();
}
@Override
public Set<Pair<String, ValueProperties>> visitCommodityFutureOptionSecurity(final CommodityFutureOptionSecurity commodityFutureOptionSecurity) {
s_logger.warn("Commodity Future Option risk factors not implemented");
return Collections.emptySet();
}
@Override
public Set<Pair<String, ValueProperties>> visitFxFutureOptionSecurity(final FxFutureOptionSecurity security) {
s_logger.warn("FX Future Option risk factors not implemented");
return Collections.emptySet(); }
@Override
public Set<Pair<String, ValueProperties>> visitEquityIndexDividendFutureOptionSecurity(final EquityIndexDividendFutureOptionSecurity equityIndexDividendFutureOptionSecurity) {
s_logger.warn("Equity index dividend future option risk factors not implemented");
return Collections.emptySet();
}
@Override
public Set<Pair<String, ValueProperties>> visitFXBarrierOptionSecurity(final FXBarrierOptionSecurity security) {
final ImmutableSet.Builder<Pair<String, ValueProperties>> builder = ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getFXPresentValueWithCalculationMethod())
.add(getFXCurrencyExposureWithCalculationMethod())
.add(getFXYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getCallCurrency()), security.getCallCurrency()))
.add(getFXYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getPutCurrency()), security.getPutCurrency()));
final String surfaceName = _configProvider.getFXVanillaOptionSurfaceName(security.getCallCurrency(), security.getPutCurrency());
if (surfaceName != null) {
builder.add(getFXVegaQuoteMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)));
builder.add(getFXVegaMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)));
} else {
s_logger.warn("Could not build surface name for {}", security);
}
return builder.build();
}
@Override
public Set<Pair<String, ValueProperties>> visitFXDigitalOptionSecurity(final FXDigitalOptionSecurity security) {
final ImmutableSet.Builder<Pair<String, ValueProperties>> builder = ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getFXPresentValueWithCalculationMethod())
.add(getFXCurrencyExposureWithCalculationMethod())
.add(getFXYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getCallCurrency()), security.getCallCurrency()))
.add(getFXYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getPutCurrency()), security.getPutCurrency()));
final String surfaceName = _configProvider.getFXVanillaOptionSurfaceName(security.getCallCurrency(), security.getPutCurrency());
if (surfaceName != null) {
builder.add(getFXVegaQuoteMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)));
builder.add(getFXVegaMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, surfaceName)));
} else {
s_logger.warn("Could not build surface name for {}", security);
}
return builder.build();
}
@Override
public Set<Pair<String, ValueProperties>> visitFXForwardSecurity(final FXForwardSecurity security) {
return ImmutableSet.of(
getFXPresentValue(),
getFXCurrencyExposure(),
getYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getPayCurrency()), security.getPayCurrency()),
getYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getReceiveCurrency()), security.getReceiveCurrency()));
}
// REVIEW jim 23-Jan-2012 -- bit of a leap to copy fx forwards, but there you go.
@Override
public Set<Pair<String, ValueProperties>> visitNonDeliverableFXForwardSecurity(
final NonDeliverableFXForwardSecurity security) {
return ImmutableSet.of(
getFXPresentValue(),
getFXCurrencyExposure(),
getYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getPayCurrency()), security.getPayCurrency()),
getYieldCurveNodeSensitivities(_configProvider.getFXCurve(security.getReceiveCurrency()), security.getReceiveCurrency()));
}
@Override
public Set<Pair<String, ValueProperties>> visitCapFloorSecurity(final CapFloorSecurity security) {
final String cubeName = _configProvider.getSwaptionVolatilityCubeName(security.getCurrency());
return ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()))
.add(getYieldCurveNodeSensitivities(getForwardCurve(security.getCurrency()), security.getCurrency()))
.addAll(getSabrSensitivities())
.add(getVegaQuoteCubeMatrix(ValueProperties.with(ValuePropertyNames.CUBE, cubeName)))
.add(getPresentValue(ValueProperties.with(ValuePropertyNames.CUBE, cubeName))).build();
}
@Override
public Set<Pair<String, ValueProperties>> visitCapFloorCMSSpreadSecurity(final CapFloorCMSSpreadSecurity security) {
final String cubeName = _configProvider.getSwaptionVolatilityCubeName(security.getCurrency());
return ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()))
.add(getYieldCurveNodeSensitivities(getForwardCurve(security.getCurrency()), security.getCurrency()))
.addAll(getSabrSensitivities())
.add(getVegaQuoteCubeMatrix(ValueProperties.with(ValuePropertyNames.CUBE, cubeName)))
.add(getPresentValue(ValueProperties.with(ValuePropertyNames.CUBE, cubeName))).build();
}
@Override
public Set<Pair<String, ValueProperties>> visitEquityVarianceSwapSecurity(final EquityVarianceSwapSecurity security) {
final String ticker = security.getSpotUnderlyingId().getValue();
if (ticker != null) {
return ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getPresentValue(ValueProperties.builder()))
.add(getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()))
.add(getVegaQuoteMatrix(ValueProperties
.with(ValuePropertyNames.SURFACE, "DEFAULT")
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, "EQUITY_OPTION"))).build();
}
s_logger.warn("Could not get underlying ticker for equity variance swap security, so excluding surface");
return ImmutableSet.<Pair<String, ValueProperties>>builder()
.add(getPresentValue(ValueProperties.builder()))
.add(getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency())).build();
}
//-------------------------------------------------------------------------
// Futures
@Override
public Set<Pair<String, ValueProperties>> visitAgricultureFutureSecurity(final AgricultureFutureSecurity security) {
return ImmutableSet.of();
}
@Override
public Set<Pair<String, ValueProperties>> visitBondFutureSecurity(final BondFutureSecurity security) {
return ImmutableSet.of(
getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()),
getPresentValue(ValueProperties.builder()),
getPV01(getFundingCurve()));
}
@Override
public Set<Pair<String, ValueProperties>> visitEnergyFutureSecurity(final EnergyFutureSecurity security) {
return ImmutableSet.of();
}
@Override
public Set<Pair<String, ValueProperties>> visitFXFutureSecurity(final FXFutureSecurity security) {
return ImmutableSet.of();
}
@Override
public Set<Pair<String, ValueProperties>> visitIndexFutureSecurity(final IndexFutureSecurity security) {
return ImmutableSet.of();
}
@Override
public Set<Pair<String, ValueProperties>> visitInterestRateFutureSecurity(final InterestRateFutureSecurity security) {
return ImmutableSet.of(
getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()),
getYieldCurveNodeSensitivities(getForwardCurve(security.getCurrency()), security.getCurrency()),
getPresentValue(ValueProperties.builder()),
getPV01(getFundingCurve()),
getPV01(getForwardCurve(security.getCurrency())));
}
@Override
public Set<Pair<String, ValueProperties>> visitMetalFutureSecurity(final MetalFutureSecurity security) {
return ImmutableSet.of();
}
@Override
public Set<Pair<String, ValueProperties>> visitStockFutureSecurity(final StockFutureSecurity security) {
return ImmutableSet.of();
}
@Override
public Set<Pair<String, ValueProperties>> visitEquityFutureSecurity(final EquityFutureSecurity security) {
return ImmutableSet.of(
getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()),
getPresentValue(ValueProperties.builder()));
}
@Override
public Set<Pair<String, ValueProperties>> visitEquityIndexDividendFutureSecurity(final EquityIndexDividendFutureSecurity security) {
return ImmutableSet.of(
getYieldCurveNodeSensitivities(getFundingCurve(), security.getCurrency()),
getPresentValue(ValueProperties.builder()));
}
@Override
public Set<Pair<String, ValueProperties>> visitSimpleZeroDepositSecurity(final SimpleZeroDepositSecurity security) {
throw new OpenGammaRuntimeException("Simple zero deposit security not supported");
}
@Override
public Set<Pair<String, ValueProperties>> visitPeriodicZeroDepositSecurity(final PeriodicZeroDepositSecurity security) {
throw new OpenGammaRuntimeException("Periodic zero deposit security not supported");
}
@Override
public Set<Pair<String, ValueProperties>> visitContinuousZeroDepositSecurity(final ContinuousZeroDepositSecurity security) {
throw new OpenGammaRuntimeException("Continuous zero deposit security not supported");
}
//-------------------------------------------------------------------------
private Pair<String, ValueProperties> getYieldCurveNodeSensitivities(final String curve, final Currency currency) {
final ValueProperties.Builder constraints = ValueProperties
.with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
.with(ValuePropertyNames.CURVE, curve);
return getRiskFactor(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, constraints);
}
private Pair<String, ValueProperties> getFXYieldCurveNodeSensitivities(final String curve, final Currency currency) {
final ValueProperties.Builder constraints = ValueProperties
.with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
.with(ValuePropertyNames.CURVE, curve)
.with(ValuePropertyNames.CALCULATION_METHOD, _configProvider.getFXCalculationMethod());
return getRiskFactor(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, constraints);
}
//FIXME properties aren't correct
private Pair<String, ValueProperties> getEquityValue(final String requirementName, final ExternalId underlying) {
final com.opengamma.engine.value.ValueProperties.Builder builder = ValueProperties.builder().with(YieldCurveFunction.PROPERTY_FUNDING_CURVE, _configProvider.getEquityFundingCurve())
.with(ValuePropertyNames.SURFACE, _configProvider.getEquityIndexOptionVolatilitySurfaceName(underlying.getValue()))
.with(ValuePropertyNames.CALCULATION_METHOD, _configProvider.getEquityCalculationMethod())
.with(BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SMILE_INTERPOLATOR, _configProvider.getEquitySmileInterpolator());
return getRiskFactor(requirementName, builder);
}
private Pair<String, ValueProperties> getPresentValue(final ValueProperties.Builder constraints) {
return getRiskFactor(ValueRequirementNames.PRESENT_VALUE, constraints);
}
private Pair<String, ValueProperties> getFXPresentValue() {
return getFXPresentValue(ValueProperties.builder());
}
private Pair<String, ValueProperties> getFXPresentValueWithCalculationMethod() {
return getFXPresentValue(ValueProperties.with(ValuePropertyNames.CALCULATION_METHOD, _configProvider.getFXCalculationMethod()));
}
private Pair<String, ValueProperties> getFXPresentValue(final ValueProperties.Builder constraints) {
return getRiskFactor(ValueRequirementNames.FX_PRESENT_VALUE, constraints);
}
private Pair<String, ValueProperties> getFXCurrencyExposure() {
return getFXCurrencyExposure(ValueProperties.builder());
}
private Pair<String, ValueProperties> getFXCurrencyExposureWithCalculationMethod() {
return getFXCurrencyExposure(ValueProperties.with(ValuePropertyNames.CALCULATION_METHOD, _configProvider.getFXCalculationMethod()));
}
private Pair<String, ValueProperties> getFXCurrencyExposure(final ValueProperties.Builder constraints) {
return getRiskFactor(ValueRequirementNames.FX_CURRENCY_EXPOSURE, constraints, false);
}
private Pair<String, ValueProperties> getVegaMatrix(final ValueProperties.Builder constraints) {
return getRiskFactor(ValueRequirementNames.VEGA_MATRIX, constraints, false);
}
private Pair<String, ValueProperties> getFXVegaMatrix(final ValueProperties.Builder constraints) {
return getRiskFactor(ValueRequirementNames.VEGA_MATRIX, constraints.with(ValuePropertyNames.CALCULATION_METHOD, _configProvider.getFXCalculationMethod()), false);
}
private Pair<String, ValueProperties> getVegaQuoteMatrix(final ValueProperties.Builder constraints) {
return getRiskFactor(ValueRequirementNames.VEGA_QUOTE_MATRIX, constraints, false);
}
private Pair<String, ValueProperties> getFXVegaQuoteMatrix(final ValueProperties.Builder constraints) {
return getRiskFactor(ValueRequirementNames.VEGA_QUOTE_MATRIX, constraints.with(ValuePropertyNames.CALCULATION_METHOD, _configProvider.getFXCalculationMethod()), false);
}
private Pair<String, ValueProperties> getVegaQuoteCubeMatrix(final ValueProperties.Builder constraints) {
return getRiskFactor(ValueRequirementNames.VEGA_QUOTE_CUBE, constraints, false);
}
private Pair<String, ValueProperties> getValueDelta() {
return getRiskFactor(ValueRequirementNames.VALUE_DELTA, ValueProperties.builder());
}
private Pair<String, ValueProperties> getPV01(final String curveName) {
final ValueProperties.Builder constraints = ValueProperties
.with(ValuePropertyNames.CURVE, curveName);
return getRiskFactor(ValueRequirementNames.PV01, constraints, true);
}
private Pair<String, ValueProperties> getFXPV01(final String curveName) {
final ValueProperties.Builder constraints = ValueProperties
.with(ValuePropertyNames.CURVE, curveName);
return getRiskFactor(ValueRequirementNames.PV01, constraints.with(ValuePropertyNames.CALCULATION_METHOD, _configProvider.getFXCalculationMethod()), true);
}
private Set<Pair<String, ValueProperties>> getSabrSensitivities() {
return ImmutableSet.of(
getPresentValueSabrAlphaSensitivity(),
getPresentValueSabrRhoSensitivity(),
getPresentValueSabrNuSensitivity());
}
private Pair<String, ValueProperties> getPresentValueSabrAlphaSensitivity() {
return getRiskFactor(ValueRequirementNames.PRESENT_VALUE_SABR_ALPHA_SENSITIVITY);
}
private Pair<String, ValueProperties> getPresentValueSabrRhoSensitivity() {
return getRiskFactor(ValueRequirementNames.PRESENT_VALUE_SABR_RHO_SENSITIVITY);
}
private Pair<String, ValueProperties> getPresentValueSabrNuSensitivity() {
return getRiskFactor(ValueRequirementNames.PRESENT_VALUE_SABR_NU_SENSITIVITY);
}
//-------------------------------------------------------------------------
private Pair<String, ValueProperties> getRiskFactor(final String valueName) {
return getRiskFactor(valueName, ValueProperties.builder(), true);
}
private Pair<String, ValueProperties> getRiskFactor(final String valueName, final ValueProperties.Builder constraints) {
return getRiskFactor(valueName, constraints, true);
}
private Pair<String, ValueProperties> getRiskFactor(final String valueName, final ValueProperties.Builder constraints, final boolean allowCurrencyOverride) {
ArgumentChecker.notNull(valueName, "valueName");
ArgumentChecker.notNull(constraints, "constraints");
if (allowCurrencyOverride && getConfigProvider().getCurrencyOverride() != null) {
constraints.with(ValuePropertyNames.CURRENCY, getConfigProvider().getCurrencyOverride().getCode());
}
constraints.with(ValuePropertyNames.AGGREGATION, MissingInputsFunction.AGGREGATION_STYLE_MISSING).withOptional(ValuePropertyNames.AGGREGATION);
return Pair.of(valueName, constraints.get());
}
private ValueRequirement getValueRequirement(final Position position, final String valueName, final ValueProperties constraints) {
return new ValueRequirement(valueName, ComputationTargetSpecification.of(position), constraints);
}
//-------------------------------------------------------------------------
private String getFundingCurve() {
return getConfigProvider().getFundingCurve();
}
private String getForwardCurve(final Currency currency) {
return getConfigProvider().getForwardCurve(currency);
}
//-------------------------------------------------------------------------
@SuppressWarnings("unused")
private SecuritySource getSecuritySource() {
return _securities;
}
private RiskFactorsConfigurationProvider getConfigProvider() {
return _configProvider;
}
}