@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 String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String interpolatorName =
desiredValue.getConstraint(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_INTERPOLATOR);
final String leftExtrapolatorName =
desiredValue.getConstraint(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR);
final String rightExtrapolatorName =
desiredValue.getConstraint(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR);
final Object objectFuturePriceData =
inputs.getValue(ValueRequirementNames.FUTURE_PRICE_CURVE_DATA);
if (objectFuturePriceData == null) {
throw new OpenGammaRuntimeException("Could not get futures curve " + curveName);
}
final NodalDoublesCurve futurePriceData = (NodalDoublesCurve) objectFuturePriceData;
final Interpolator1D interpolator =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
final ForwardCurve curve =
new ForwardCurve(
InterpolatedDoublesCurve.from(
futurePriceData.getXData(), futurePriceData.getYData(), interpolator));
final ValueProperties properties =
createValueProperties()
.with(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD,
ForwardCurveValuePropertyNames.PROPERTY_FUTURE_PRICE_METHOD)
.with(ValuePropertyNames.CURVE, curveName)
.with(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_INTERPOLATOR,
interpolatorName)
.with(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR,
leftExtrapolatorName)
.with(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR,
rightExtrapolatorName)
.with(
InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE,
InstrumentTypeProperties.EQUITY_FUTURE_PRICE)
.get();
final ValueSpecification resultSpec =
new ValueSpecification(
ValueRequirementNames.FORWARD_CURVE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(resultSpec, curve));
}
// Test in so that it will break when the drift curve is serialized
@Test(expectedExceptions = OpenGammaRuntimeException.class)
public void testDriftCurveNotSerialized1() {
final double spot = 100;
final Curve<Double, Double> driftCurve =
InterpolatedDoublesCurve.from(EXPIRIES, FORWARD, INTERPOLATOR);
final ForwardCurve curve = new ForwardCurve(spot, driftCurve);
cycleObject(ForwardCurve.class, curve);
}
@Test
public void testCurve2() {
final ForwardCurve curve1 =
new ForwardCurve(InterpolatedDoublesCurve.from(EXPIRIES, FORWARD, INTERPOLATOR));
final ForwardCurve curve2 = cycleObject(ForwardCurve.class, curve1);
assertEquals(curve1.getSpot(), curve2.getSpot(), EPS);
assertTrue(curve2.getDriftCurve() instanceof FunctionalDoublesCurve);
assertCurveEquals(curve1.getForwardCurve(), curve2.getForwardCurve());
assertCurveEquals(curve1.getDriftCurve(), curve2.getDriftCurve());
}
public static YieldCurveBundle getBundle() {
YieldCurveBundle bundle = new YieldCurveBundle();
Interpolator1D extrapolator =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.DOUBLE_QUADRATIC, LINEAR_EXTRAPOLATOR, FLAT_EXTRAPOLATOR);
InterpolatedDoublesCurve fCurve =
InterpolatedDoublesCurve.from(FUNDING_CURVE_TIMES, FUNDING_YIELDS, extrapolator);
YieldCurve fundingCurve = YieldCurve.from(fCurve);
bundle.setCurve(FUNDING_CURVE_NAME, fundingCurve);
InterpolatedDoublesCurve lcurve =
InterpolatedDoublesCurve.from(LIBOR_CURVE_TIMES, LIBOR_YIELDS, extrapolator);
YieldCurve liborCurve = YieldCurve.from(lcurve);
bundle.setCurve(LIBOR_CURVE_NAME, liborCurve);
return bundle;
}
@Override
protected Object getResult(
final PDELocalVolatilityCalculator<?> calculator,
final LocalVolatilitySurfaceMoneyness localVolatility,
final ForwardCurve forwardCurve,
final EuropeanVanillaOption option,
final YieldAndDiscountCurve discountingCurve) {
final Interpolator1DDataBundle data =
(Interpolator1DDataBundle)
calculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
return InterpolatedDoublesCurve.from(
data.getKeys(),
data.getValues(),
((LocalVolatilityForwardPDEVolatilityGreeksGridCalculator) calculator).getInterpolator());
}
@Test
public void convertNonEmpty() {
final Map<Double, Double> map = new HashMap<Double, Double>();
map.put(1., 0.03);
map.put(2., 0.04);
map.put(3.5, 0.05);
Map<String, Double> expected = new HashMap<String, Double>();
expected.put("Foo[1.0]", 0.03);
expected.put("Foo[2.0]", 0.04);
expected.put("Foo[3.5]", 0.05);
Map<String, Double> actual =
_converter.convert(
"Foo",
YieldCurve.from(
InterpolatedDoublesCurve.from(
map, Interpolator1DFactory.getInterpolator("Linear"))));
assertEquals(expected, actual);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues)
throws AsynchronousExecution {
final Object originalCurveObject = inputs.getValue(YIELD_CURVE);
if (originalCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get original curve");
}
ValueProperties resultCurveProperties = null;
String absoluteToleranceName = null;
String relativeToleranceName = null;
String iterationsName = null;
String decompositionName = null;
String useFiniteDifferenceName = null;
for (final ValueRequirement desiredValue : desiredValues) {
if (desiredValue.getValueName().equals(YIELD_CURVE)) {
absoluteToleranceName =
desiredValue.getConstraint(
MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE);
relativeToleranceName =
desiredValue.getConstraint(
MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE);
iterationsName =
desiredValue.getConstraint(
MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_MAX_ITERATIONS);
decompositionName =
desiredValue.getConstraint(
MultiYieldCurvePropertiesAndDefaults.PROPERTY_DECOMPOSITION);
useFiniteDifferenceName =
desiredValue.getConstraint(
MultiYieldCurvePropertiesAndDefaults.PROPERTY_USE_FINITE_DIFFERENCE);
resultCurveProperties = desiredValue.getConstraints().copy().get();
break;
}
}
if (resultCurveProperties == null) {
throw new OpenGammaRuntimeException("Could not get result curve properties");
}
final ValueProperties resultJacobianProperties = resultCurveProperties.withoutAny(CURVE);
ZonedDateTime valuationDateTime =
executionContext
.getValuationTime()
.atZone(executionContext.getValuationClock().getZone());
final HolidaySource holidaySource =
OpenGammaExecutionContext.getHolidaySource(executionContext);
final ConventionSource conventionSource =
OpenGammaExecutionContext.getConventionSource(executionContext);
final Calendar calendar = CalendarUtils.getCalendar(holidaySource, _currency);
final DepositConvention convention =
conventionSource.getSingle(
ExternalId.of(SCHEME_NAME, getConventionName(_currency, DEPOSIT)),
DepositConvention.class);
final int spotLag = convention.getSettlementDays();
final ExternalId conventionSettlementRegion = convention.getRegionCalendar();
ZonedDateTime spotDate;
if (spotLag == 0 && conventionSettlementRegion == null) {
spotDate = valuationDateTime;
} else {
spotDate = ScheduleCalculator.getAdjustedDate(valuationDateTime, spotLag, calendar);
;
}
final YieldCurveBundle curves = new YieldCurveBundle();
final String fullYieldCurveName = _originalCurveName + "_" + _currency;
curves.setCurve(fullYieldCurveName, (YieldAndDiscountCurve) originalCurveObject);
final int n = _impliedDefinition.getStrips().size();
final double[] t = new double[n];
final double[] r = new double[n];
int i = 0;
final DayCount dayCount =
DayCountFactory.INSTANCE.getDayCount(
"Act/360"); // TODO: Get the convention from the curve.
final String impliedDepositCurveName = _curveCalculationConfig + "_" + _currency.getCode();
final List<InstrumentDerivative> derivatives = new ArrayList<>();
for (final FixedIncomeStrip strip : _impliedDefinition.getStrips()) {
final Tenor tenor = strip.getCurveNodePointTime();
final ZonedDateTime paymentDate =
ScheduleCalculator.getAdjustedDate(
spotDate, tenor.getPeriod(), MOD_FOL, calendar, true);
final double startTime = TimeCalculator.getTimeBetween(valuationDateTime, spotDate);
final double endTime = TimeCalculator.getTimeBetween(valuationDateTime, paymentDate);
final double accrualFactor = dayCount.getDayCountFraction(spotDate, paymentDate, calendar);
final Cash cashFXCurve =
new Cash(_currency, startTime, endTime, 1, 0, accrualFactor, fullYieldCurveName);
final double parRate = METHOD_CASH.parRate(cashFXCurve, curves);
final Cash cashDepositCurve =
new Cash(_currency, startTime, endTime, 1, 0, accrualFactor, impliedDepositCurveName);
derivatives.add(cashDepositCurve);
t[i] = endTime;
r[i++] = parRate;
}
final CombinedInterpolatorExtrapolator interpolator =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
_interpolatorName, _leftExtrapolatorName, _rightExtrapolatorName);
final double absoluteTolerance = Double.parseDouble(absoluteToleranceName);
final double relativeTolerance = Double.parseDouble(relativeToleranceName);
final int iterations = Integer.parseInt(iterationsName);
final Decomposition<?> decomposition =
DecompositionFactory.getDecomposition(decompositionName);
final boolean useFiniteDifference = Boolean.parseBoolean(useFiniteDifferenceName);
final LinkedHashMap<String, double[]> curveNodes = new LinkedHashMap<>();
final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
curveNodes.put(impliedDepositCurveName, t);
interpolators.put(impliedDepositCurveName, interpolator);
final FXMatrix fxMatrix = new FXMatrix();
final YieldCurveBundle knownCurve = new YieldCurveBundle();
final MultipleYieldCurveFinderDataBundle data =
new MultipleYieldCurveFinderDataBundle(
derivatives, r, knownCurve, curveNodes, interpolators, useFiniteDifference, fxMatrix);
final NewtonVectorRootFinder rootFinder =
new BroydenVectorRootFinder(
absoluteTolerance, relativeTolerance, iterations, decomposition);
final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator =
new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator =
new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
final double[] fittedYields =
rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(r)).getData();
final DoubleMatrix2D jacobianMatrix =
jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
final YieldCurve impliedDepositCurve =
new YieldCurve(
impliedDepositCurveName,
InterpolatedDoublesCurve.from(t, fittedYields, interpolator));
final ValueSpecification curveSpec =
new ValueSpecification(YIELD_CURVE, target.toSpecification(), resultCurveProperties);
final ValueSpecification jacobianSpec =
new ValueSpecification(
YIELD_CURVE_JACOBIAN, target.toSpecification(), resultJacobianProperties);
return Sets.newHashSet(
new ComputedValue(curveSpec, impliedDepositCurve),
new ComputedValue(jacobianSpec, jacobianMatrix));
}