@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));
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = snapshotClock.zonedDateTime();
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency, receiveCurrency;
if (security instanceof FXForwardSecurity) {
final FXForwardSecurity forward = (FXForwardSecurity) security;
payCurrency = forward.getPayCurrency();
receiveCurrency = forward.getReceiveCurrency();
} else {
final NonDeliverableFXForwardSecurity ndf = (NonDeliverableFXForwardSecurity) security;
payCurrency = ndf.getPayCurrency();
receiveCurrency = ndf.getReceiveCurrency();
}
final ForexDefinition definition = (ForexDefinition) security.accept(VISITOR);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String payCurveName = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE);
final String receiveCurveName = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE);
final String payCurveConfig = desiredValue.getConstraint(PAY_CURVE_CALC_CONFIG);
final String receiveCurveConfig = desiredValue.getConstraint(RECEIVE_CURVE_CALC_CONFIG);
final String fullPutCurveName = payCurveName + "_" + payCurrency.getCode();
final String fullCallCurveName = receiveCurveName + "_" + receiveCurrency.getCode();
final YieldAndDiscountCurve payFundingCurve =
getCurve(inputs, payCurrency, payCurveName, payCurveConfig);
final YieldAndDiscountCurve receiveFundingCurve =
getCurve(inputs, receiveCurrency, receiveCurveName, receiveCurveConfig);
final YieldAndDiscountCurve[] curves;
final Map<String, Currency> curveCurrency = new HashMap<String, Currency>();
curveCurrency.put(fullPutCurveName, payCurrency);
curveCurrency.put(fullCallCurveName, receiveCurrency);
final String[] allCurveNames;
if (FXUtils.isInBaseQuoteOrder(
payCurrency, receiveCurrency)) { // To get Base/quote in market standard order.
curves = new YieldAndDiscountCurve[] {payFundingCurve, receiveFundingCurve};
allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
} else {
curves = new YieldAndDiscountCurve[] {receiveFundingCurve, payFundingCurve};
allCurveNames = new String[] {fullCallCurveName, fullPutCurveName};
}
final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
final ValueProperties.Builder properties =
getResultProperties(
payCurveName, receiveCurveName, payCurveConfig, receiveCurveConfig, target);
final ValueSpecification spec =
new ValueSpecification(
ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
final ConstantSpreadHorizonThetaCalculator calculator =
ConstantSpreadHorizonThetaCalculator.getInstance();
final MultipleCurrencyAmount theta =
calculator.getTheta(definition, now, allCurveNames, yieldCurves, DAYS_TO_MOVE_FORWARD);
return Collections.singleton(new ComputedValue(spec, theta));
}
@Override
protected PresentValueNodeSensitivityCalculator getNodeSensitivityCalculator(
final ValueRequirement desiredValue) {
final Double cutoff =
Double.parseDouble(
desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
final Double mu =
Double.parseDouble(
desiredValue.getConstraint(
SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
return PresentValueNodeSensitivityCalculator.using(
new PresentValueCurveSensitivitySABRExtrapolationCalculator(cutoff, mu));
}
private ValueProperties getResultProperties(final ValueRequirement desiredValue) {
return createValueProperties()
.with(
ValuePropertyNames.SAMPLING_PERIOD,
desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD))
.with(
ValuePropertyNames.SCHEDULE_CALCULATOR,
desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR))
.with(
ValuePropertyNames.SAMPLING_FUNCTION,
desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION))
.with(
ValuePropertyNames.RETURN_CALCULATOR,
desiredValue.getConstraint(ValuePropertyNames.RETURN_CALCULATOR))
.with(
ValuePropertyNames.STD_DEV_CALCULATOR,
desiredValue.getConstraint(ValuePropertyNames.STD_DEV_CALCULATOR))
.with(
ValuePropertyNames.EXCESS_RETURN_CALCULATOR,
desiredValue.getConstraint(ValuePropertyNames.EXCESS_RETURN_CALCULATOR))
.with(
ValuePropertyNames.COVARIANCE_CALCULATOR,
desiredValue.getConstraint(ValuePropertyNames.COVARIANCE_CALCULATOR))
.with(
ValuePropertyNames.VARIANCE_CALCULATOR,
desiredValue.getConstraint(ValuePropertyNames.VARIANCE_CALCULATOR))
.get();
}
@Override
protected LocalDateDoubleTimeSeries getReturnSeries(
LocalDateDoubleTimeSeries ts, ValueRequirement desiredValue) {
LocalDateDoubleTimeSeries differenceSeries = super.getReturnSeries(ts, desiredValue);
double lambda =
Double.parseDouble(
desiredValue.getConstraint(
VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
TimeSeriesWeightedVolatilityOperator weightedVol =
new TimeSeriesWeightedVolatilityOperator(lambda);
LocalDateDoubleTimeSeries weightedVolSeries =
(LocalDateDoubleTimeSeries) weightedVol.evaluate(ts);
int n = weightedVolSeries.size();
double endDateWeightedVol = weightedVolSeries.getLatestValueFast();
double[] volWeightedDifferences = new double[n];
for (int i = 0; i < n; i++) {
System.out.println(
differenceSeries.getTimeAtIndex(i)
+ ","
+ differenceSeries.getValueAtIndexFast(i)
+ ","
+ weightedVolSeries.getValueAtIndexFast(i));
volWeightedDifferences[i] =
differenceSeries.getValueAtIndexFast(i)
* endDateWeightedVol
/ weightedVolSeries.getValueAtIndexFast(i);
}
LocalDateDoubleTimeSeries volWeightedDifferenceSeries =
ImmutableLocalDateDoubleTimeSeries.of(
weightedVolSeries.timesArrayFast(), volWeightedDifferences);
return volWeightedDifferenceSeries;
}
@Override
protected Object getResult(
final InstrumentDerivative derivative,
final SABRInterestRateDataBundle data,
final ValueRequirement desiredValue) {
final Double cutoff =
Double.parseDouble(
desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
final Double mu =
Double.parseDouble(
desiredValue.getConstraint(
SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
final PresentValueSABRSensitivitySABRRightExtrapolationCalculator calculator =
new PresentValueSABRSensitivitySABRRightExtrapolationCalculator(cutoff, mu);
return getResultAsMatrix(derivative.accept(calculator, data));
}
@SuppressWarnings("unchecked")
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final HistoricalTimeSeriesSource timeSeriesSource =
OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
final ValueRequirement desiredValue = desiredValues.iterator().next();
Object value = timeSeriesSource.getLatestDataPoint(target.getUniqueId());
if (value == null) {
value = MissingMarketDataSentinel.getInstance();
} else {
final String adjusterString =
desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY);
final HistoricalTimeSeriesAdjustment htsa =
HistoricalTimeSeriesAdjustment.parse(adjusterString);
value = htsa.adjust(((Pair<LocalDate, Double>) value).getValue());
}
return Collections.singleton(
new ComputedValue(
new ValueSpecification(
desiredValue.getValueName(),
desiredValue.getTargetSpecification(),
desiredValue.getConstraints()),
value));
}
@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 surfaceName = desiredValue.getConstraint(SURFACE);
final Object interpolatorObject =
inputs.getValue(getInterpolatorRequirement(target, desiredValue));
if (interpolatorObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface interpolator");
}
final VolatilitySurfaceInterpolator surfaceInterpolator =
(VolatilitySurfaceInterpolator) interpolatorObject;
final SmileSurfaceDataBundle data =
getData(
inputs,
getVolatilityDataRequirement(
target,
surfaceName,
getInstrumentType(),
getSurfaceQuoteType(),
getSurfaceQuoteUnits()),
getForwardCurveRequirement(target, desiredValue));
final BlackVolatilitySurfaceMoneyness impliedVolatilitySurface =
surfaceInterpolator.getVolatilitySurface(data);
final ValueProperties properties = getResultProperties(desiredValue);
final ValueSpecification spec =
new ValueSpecification(
ValueRequirementNames.BLACK_VOLATILITY_SURFACE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, impliedVolatilitySurface));
}
@Override
protected ValueProperties.Builder getResultProperties(
final ComputationTarget target, final ValueRequirement desiredValue) {
final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
final ValueProperties.Builder properties =
super.getResultProperties(target, desiredValue)
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_CONSTANT_SPREAD)
.with(PROPERTY_DAYS_TO_MOVE_FORWARD, daysForward);
return properties;
}
@Override
public Set<ValueSpecification> getResults(
final FunctionCompilationContext context,
final ComputationTarget target,
final Map<ValueSpecification, ValueRequirement> inputs) {
if (inputs.size() == 1) {
final ValueSpecification input = Iterables.getOnlyElement(inputs.keySet());
if (ValueRequirementNames.PNL_SERIES.equals(input.getValueName())) {
return Collections.singleton(input);
}
}
final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
final CurrencyPair currencyPair =
_currencyPairs.getCurrencyPair(security.getPayCurrency(), security.getReceiveCurrency());
if (currencyPair == null) {
return null;
}
final Currency currencyBase = currencyPair.getBase();
String resultCurrency = null;
final ValueProperties.Builder builder = createValueProperties();
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification inputSpec = entry.getKey();
final ValueRequirement inputReq = entry.getValue();
if (inputReq.getValueName().equals(RETURN_SERIES)) {
final Set<String> resultCurrencies = inputReq.getConstraints().getValues(CURRENCY);
if (resultCurrencies != null && resultCurrencies.size() == 1) {
resultCurrency = inputReq.getConstraint(CURRENCY);
} else {
resultCurrency = currencyBase.getCode();
}
}
for (final String propertyName : inputSpec.getProperties().getProperties()) {
if (ValuePropertyNames.FUNCTION.equals(propertyName)) {
continue;
}
final Set<String> values = inputSpec.getProperties().getValues(propertyName);
if (values == null || values.isEmpty()) {
builder.withAny(propertyName);
} else {
builder.with(propertyName, values);
}
}
}
if (resultCurrency == null) {
return null;
}
builder
.with(ValuePropertyNames.CURRENCY, resultCurrency)
.with(
ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS,
ValueRequirementNames.FX_CURRENCY_EXPOSURE);
return ImmutableSet.of(
new ValueSpecification(
ValueRequirementNames.PNL_SERIES, target.toSpecification(), builder.get()));
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String curveCalculationConfig =
desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
// 1. Get the expiry _time_ from the trade
final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity();
final double expiry =
TimeCalculator.getTimeBetween(
executionContext.getValuationClock().zonedDateTime(),
security.getLastObservationDate());
// 2. Get the discount curve and spot value
final Object discountObject =
inputs.getValue(getDiscountRequirement(security, curveName, curveCalculationConfig));
if (discountObject == null) {
throw new OpenGammaRuntimeException("Could not get Discount Curve");
}
final YieldAndDiscountCurve discountCurve = (YieldAndDiscountCurve) discountObject;
final Object spotObject = inputs.getValue(getSpotRequirement(security));
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get Underlying's Spot value");
}
final double spot = (Double) spotObject;
// 3. Compute the forward
final double discountFactor = discountCurve.getDiscountFactor(expiry);
Validate.isTrue(
discountFactor != 0,
"The discount curve has returned a zero value for a discount bond. Check rates.");
final double forward = spot / discountFactor;
final ValueSpecification valueSpec = getValueSpecification(security);
return Collections.singleton(new ComputedValue(valueSpec, forward));
}
@Override
protected ValueProperties.Builder getResultProperties(
final ComputationTarget target,
final ValueRequirement desiredValue,
final CurrencyPair baseQuotePair) {
final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
final ValueProperties.Builder properties =
super.getResultProperties(target, desiredValue, baseQuotePair);
properties
.with(PROPERTY_THETA_CALCULATION_METHOD, THETA_FORWARD_SLIDE_YIELD_CURVES)
.with(PROPERTY_DAYS_TO_MOVE_FORWARD, daysForward);
return properties;
}
@Override
protected ValueProperties.Builder createValueProperties(
final ComputationTarget target, final ValueRequirement desiredValue) {
final String cubeDefinitionName =
desiredValue.getConstraint(SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION);
final String cubeSpecificationName =
desiredValue.getConstraint(SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION);
final String surfaceDefinitionName =
desiredValue.getConstraint(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_DEFINITION);
final String surfaceSpecificationName =
desiredValue.getConstraint(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_SPECIFICATION);
final String currency = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode();
final String curveCalculationConfig =
desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final String fittingMethod =
desiredValue.getConstraint(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD);
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String cutoff =
desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE);
final String mu =
desiredValue.getConstraint(
SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER);
return createValueProperties()
.with(ValuePropertyNames.CURRENCY, currency)
.with(ValuePropertyNames.CURVE_CURRENCY, currency)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(ValuePropertyNames.CURVE, curveName)
.with(SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION, cubeDefinitionName)
.with(SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION, cubeSpecificationName)
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_DEFINITION, surfaceDefinitionName)
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_SPECIFICATION, surfaceSpecificationName)
.with(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE, cutoff)
.with(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER, mu)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD, fittingMethod)
.with(
SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL,
SmileFittingPropertyNamesAndValues.SABR)
.with(ValuePropertyNames.CALCULATION_METHOD, SABRFunction.SABR_RIGHT_EXTRAPOLATION);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = snapshotClock.zonedDateTime();
final HistoricalTimeSeriesBundle timeSeries =
HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final ValueRequirement desiredValue = desiredValues.iterator().next();
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 String[] yieldCurveNames =
curveNames.length == 1 ? new String[] {curveNames[0], curveNames[0]} : curveNames;
final String[] curveNamesForSecurity =
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(
security, yieldCurveNames[0], yieldCurveNames[1]);
final YieldCurveBundle bundle =
YieldCurveFunctionUtils.getAllYieldCurves(
inputs, curveCalculationConfig, curveCalculationConfigSource);
final InstrumentDefinition<?> definition = security.accept(_visitor);
if (definition == null) {
throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
}
final InstrumentDerivative derivative =
getDerivative(
security, now, timeSeries, curveNamesForSecurity, definition, _definitionConverter);
return getComputedValues(
derivative, bundle, security, target, curveCalculationConfigName, currency.getCode());
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext context,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues)
throws AsynchronousExecution {
final MultipleCurrencyParameterSensitivity sensitivities =
(MultipleCurrencyParameterSensitivity) inputs.getValue(BLOCK_CURVE_SENSITIVITIES);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties properties = desiredValue.getConstraints();
final String desiredCurveName = desiredValue.getConstraint(CURVE);
final Map<Pair<String, Currency>, DoubleMatrix1D> entries = sensitivities.getSensitivities();
final Set<ComputedValue> results = new HashSet<>();
for (final Map.Entry<Pair<String, Currency>, DoubleMatrix1D> entry : entries.entrySet()) {
final String curveName = entry.getKey().getFirst();
if (desiredCurveName.equals(curveName)) {
final ValueProperties curveSpecificProperties =
properties.copy().withoutAny(CURVE).with(CURVE, curveName).get();
final CurveDefinition curveDefinition =
(CurveDefinition)
inputs.getValue(
new ValueRequirement(
CURVE_DEFINITION,
ComputationTargetSpecification.NULL,
ValueProperties.builder().with(CURVE, curveName).get()));
final DoubleLabelledMatrix1D ycns =
MultiCurveUtils.getLabelledMatrix(entry.getValue(), curveDefinition);
final ValueSpecification spec =
new ValueSpecification(
YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), curveSpecificProperties);
results.add(new ComputedValue(spec, ycns));
return results;
}
}
s_logger.info(
"Could not get sensitivities to " + desiredCurveName + " for " + target.getName());
return Collections.emptySet();
}
public static ForexOptionDataBundle<?> buildMarketBundle(
final ZonedDateTime now,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
if (now.isAfter(security.accept(ForexVisitors.getExpiryVisitor()))) {
throw new OpenGammaRuntimeException(
"FX option " + putCurrency.getCode() + "/" + callCurrency + " has expired");
}
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
final String callCurveName = desiredValue.getConstraint(CALL_CURVE);
final String putCurveConfig = desiredValue.getConstraint(PUT_CURVE_CALC_CONFIG);
final String callCurveConfig = desiredValue.getConstraint(CALL_CURVE_CALC_CONFIG);
final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS);
if (baseQuotePairsObject == null) {
throw new OpenGammaRuntimeException("Could not get base/quote pair data");
}
final CurrencyPairs baseQuotePairs = (CurrencyPairs) baseQuotePairsObject;
final String fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
final YieldAndDiscountCurve putFundingCurve =
getCurveForCurrency(inputs, putCurrency, putCurveName, putCurveConfig);
final YieldAndDiscountCurve callFundingCurve =
getCurveForCurrency(inputs, callCurrency, callCurveName, callCurveConfig);
final YieldAndDiscountCurve[] curves;
final Map<String, Currency> curveCurrency = new HashMap<>();
curveCurrency.put(fullPutCurveName, putCurrency);
curveCurrency.put(fullCallCurveName, callCurrency);
final String[] allCurveNames;
final Currency ccy1;
final Currency ccy2;
final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get spot requirement");
}
double spot = (Double) spotObject;
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
if (baseQuotePair == null) {
throw new OpenGammaRuntimeException(
"Could not get base/quote pair for currency pair ("
+ putCurrency
+ ", "
+ callCurrency
+ ")");
}
if (baseQuotePair
.getBase()
.equals(putCurrency)) { // To get Base/quote in market standard order.
ccy1 = putCurrency;
ccy2 = callCurrency;
curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve};
allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
} else {
curves = new YieldAndDiscountCurve[] {callFundingCurve, putFundingCurve};
allCurveNames = new String[] {fullCallCurveName, fullPutCurveName};
ccy1 = callCurrency;
ccy2 = putCurrency;
spot = 1. / spot;
}
final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
final Object volatilitySurfaceObject =
inputs.getValue(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA);
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface data");
}
final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
final YieldCurveBundle curvesWithFX =
new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
final Pair<Currency, Currency> currencyPair = Pair.of(ccy1, ccy2);
if (volatilitySurfaceObject instanceof SmileDeltaTermStructureParametersStrikeInterpolation) {
final SmileDeltaTermStructureParametersStrikeInterpolation smiles =
(SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
final SmileDeltaTermStructureDataBundle smileBundle =
new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, currencyPair);
return smileBundle;
}
final BlackForexTermStructureParameters termStructure =
(BlackForexTermStructureParameters) volatilitySurfaceObject;
final YieldCurveWithBlackForexTermStructureBundle flatData =
new YieldCurveWithBlackForexTermStructureBundle(curvesWithFX, termStructure, currencyPair);
return flatData;
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final SecuritySource securitySource =
OpenGammaExecutionContext.getSecuritySource(executionContext);
final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
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);
}
String[] curveNames = curveCalculationConfig.getYieldCurveNames(); // TODO
if (curveNames.length == 1) {
curveNames = new String[] {curveNames[0], curveNames[0]};
}
final String[] fullCurveNames = new String[curveNames.length];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
final YieldCurveBundle curves =
YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final Object volatilitySurfaceObject =
inputs.getValue(getVolatilityRequirement(surfaceName, currency));
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException(
"Expecting an InterpolatedDoublesSurface; got "
+ volatilitySurface.getSurface().getClass());
}
final InstrumentDefinition<?> definition = security.accept(_visitor);
final HistoricalTimeSeriesBundle timeSeries =
HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final InstrumentDerivative swaption =
_definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries);
final ValueProperties properties =
getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName);
final ValueSpecification spec =
new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
final BlackFlatSwaptionParameters parameters =
new BlackFlatSwaptionParameters(
volatilitySurface.getSurface(),
SwaptionUtils.getSwapGenerator(security, definition, securitySource));
final YieldCurveWithBlackSwaptionBundle data =
new YieldCurveWithBlackSwaptionBundle(parameters, curves);
return getResult(swaption, data, spec);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
if (now.isAfter(security.accept(ForexVisitors.getExpiryVisitor()))) {
throw new OpenGammaRuntimeException(
"FX forward " + payCurrency.getCode() + "/" + receiveCurrency + " has expired");
}
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String payCurveName = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE);
final String receiveCurveName = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE);
final String payCurveConfig =
desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
final String receiveCurveConfig =
desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
final String fullPayCurveName = payCurveName + "_" + payCurrency.getCode();
final String fullReceiveCurveName = receiveCurveName + "_" + receiveCurrency.getCode();
final YieldAndDiscountCurve payFundingCurve =
getPayCurve(inputs, payCurrency, payCurveName, payCurveConfig);
final YieldAndDiscountCurve receiveFundingCurve =
getReceiveCurve(inputs, receiveCurrency, receiveCurveName, receiveCurveConfig);
final YieldAndDiscountCurve[] curves;
final Map<String, Currency> curveCurrency = new HashMap<>();
curveCurrency.put(fullPayCurveName, payCurrency);
curveCurrency.put(fullReceiveCurveName, receiveCurrency);
final String[] allCurveNames;
final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS);
if (baseQuotePairsObject == null) {
throw new OpenGammaRuntimeException("Could not get base/quote pair data");
}
final CurrencyPairs baseQuotePairs = (CurrencyPairs) baseQuotePairsObject;
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(payCurrency, receiveCurrency);
if (baseQuotePair == null) {
throw new OpenGammaRuntimeException(
"Could not get base/quote pair for currency pair ("
+ payCurrency
+ ", "
+ receiveCurrency
+ ")");
}
if (baseQuotePair
.getBase()
.equals(payCurrency)) { // To get Base/quote in market standard order.
curves = new YieldAndDiscountCurve[] {payFundingCurve, receiveFundingCurve};
allCurveNames = new String[] {fullPayCurveName, fullReceiveCurveName};
} else {
curves = new YieldAndDiscountCurve[] {receiveFundingCurve, payFundingCurve};
allCurveNames = new String[] {fullReceiveCurveName, fullPayCurveName};
}
final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
final ForexDefinition definition = (ForexDefinition) security.accept(converter);
final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
final ValueProperties.Builder properties = getResultProperties(target, desiredValue);
final ValueSpecification spec =
new ValueSpecification(
getValueRequirementName(), target.toSpecification(), properties.get());
final ConstantSpreadHorizonThetaCalculator calculator =
ConstantSpreadHorizonThetaCalculator.getInstance();
final MultipleCurrencyAmount theta =
calculator.getTheta(
definition, now, allCurveNames, yieldCurves, Integer.parseInt(daysForward));
return Collections.singleton(new ComputedValue(spec, theta));
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = snapshotClock.zonedDateTime();
final SecuritySource securitySource =
OpenGammaExecutionContext.getSecuritySource(executionContext);
final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String forwardCurveName =
desiredValue.getConstraint(YieldCurveFunction.PROPERTY_FORWARD_CURVE);
final String fundingCurveName =
desiredValue.getConstraint(YieldCurveFunction.PROPERTY_FUNDING_CURVE);
final String curveCalculationMethod =
desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_METHOD);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final Object forwardCurveObject =
inputs.getValue(
YieldCurveFunction.getCurveRequirement(
currency,
forwardCurveName,
forwardCurveName,
fundingCurveName,
curveCalculationMethod));
if (forwardCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get forward curve");
}
final Object fundingCurveObject =
inputs.getValue(
YieldCurveFunction.getCurveRequirement(
currency,
fundingCurveName,
forwardCurveName,
fundingCurveName,
curveCalculationMethod));
if (fundingCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get funding curve");
}
final Object volatilitySurfaceObject =
inputs.getValue(getVolatilityRequirement(surfaceName, currency));
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException(
"Expecting an InterpolatedDoublesSurface; got "
+ volatilitySurface.getSurface().getClass());
}
final YieldAndDiscountCurve forwardCurve = (YieldAndDiscountCurve) forwardCurveObject;
final YieldAndDiscountCurve fundingCurve = (YieldAndDiscountCurve) fundingCurveObject;
final InstrumentDefinition<?> definition = security.accept(_visitor);
final InstrumentDerivative swaption =
definition.toDerivative(now, new String[] {fundingCurveName, forwardCurveName});
final ValueProperties properties =
getResultProperties(
currency.getCode(),
forwardCurveName,
fundingCurveName,
curveCalculationMethod,
surfaceName);
final ValueSpecification spec =
new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
final YieldCurveBundle curves =
new YieldCurveBundle(
new String[] {fundingCurveName, forwardCurveName},
new YieldAndDiscountCurve[] {fundingCurve, forwardCurve});
final BlackSwaptionParameters parameters =
new BlackSwaptionParameters(
volatilitySurface.getSurface(),
SwaptionUtils.getSwapGenerator(security, definition, securitySource));
final YieldCurveWithBlackSwaptionBundle data =
new YieldCurveWithBlackSwaptionBundle(parameters, curves);
return getResult(swaption, data, spec);
}
@Override
public Set<ValueSpecification> getResults(
final FunctionCompilationContext context,
final ComputationTarget target,
final Map<ValueSpecification, ValueRequirement> inputs) {
String currencyPairConfigName = null;
String payCurveName = null;
String payCurveCalculationConfig = null;
String receiveCurveName = null;
String receiveCurveCalculationConfig = null;
String daysForward = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification specification = entry.getKey();
final ValueRequirement requirement = entry.getValue();
if (specification.getValueName().equals(ValueRequirementNames.CURRENCY_PAIRS)) {
currencyPairConfigName =
specification.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
daysForward = requirement.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
} else if (requirement.getValueName().equals(ValueRequirementNames.YIELD_CURVE)) {
final ValueProperties constraints = requirement.getConstraints();
if (constraints.getProperties().contains(ValuePropertyNames.PAY_CURVE)) {
payCurveName = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE));
payCurveCalculationConfig =
Iterables.getOnlyElement(
constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
} else if (constraints.getProperties().contains(ValuePropertyNames.RECEIVE_CURVE)) {
receiveCurveName =
Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE));
receiveCurveCalculationConfig =
Iterables.getOnlyElement(
constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
}
}
}
assert currencyPairConfigName != null;
final CurrencyPairs baseQuotePairs =
OpenGammaCompilationContext.getCurrencyPairsSource(context)
.getCurrencyPairs(currencyPairConfigName);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(payCurrency, receiveCurrency);
if (baseQuotePair == null) {
s_logger.error(
"Could not get base/quote pair for currency pair ("
+ payCurrency
+ ", "
+ receiveCurrency
+ ")");
return null;
}
final ValueSpecification resultSpec =
new ValueSpecification(
getValueRequirementName(),
target.toSpecification(),
getResultProperties(
target,
payCurveName,
receiveCurveName,
payCurveCalculationConfig,
receiveCurveCalculationConfig,
baseQuotePair,
daysForward)
.get());
return Collections.singleton(resultSpec);
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final LegacyVanillaCDSSecurity cds = (LegacyVanillaCDSSecurity) target.getSecurity();
final Currency ccy = cds.getNotional().getCurrency();
final CreditCurveIdentifier isdaIdentifier = getISDACurveIdentifier(cds);
final CreditCurveIdentifier spreadIdentifier = getSpreadCurveIdentifier(cds);
final String isdaOffset = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_OFFSET);
if (isdaOffset == null) {
return null;
}
final String isdaCurveDate = desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_DATE);
if (isdaCurveDate == null) {
return null;
}
final String isdaCurveMethod =
desiredValue.getConstraint(ISDAFunctionConstants.ISDA_IMPLEMENTATION);
if (isdaCurveMethod == null) {
return null;
}
// isda curve
final ValueProperties isdaProperties =
ValueProperties.builder()
.with(ValuePropertyNames.CURVE, isdaIdentifier.toString())
.with(
ValuePropertyNames.CURVE_CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
.with(ISDAFunctionConstants.ISDA_CURVE_OFFSET, isdaOffset)
.with(ISDAFunctionConstants.ISDA_CURVE_DATE, isdaCurveDate)
.with(ISDAFunctionConstants.ISDA_IMPLEMENTATION, isdaCurveMethod)
.get();
final ValueRequirement isdaRequirment =
new ValueRequirement(
ValueRequirementNames.YIELD_CURVE,
ComputationTargetType.CURRENCY,
ccy.getUniqueId(),
isdaProperties);
final String quoteConvention =
desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION);
if (quoteConvention == null) {
return null;
}
final String bucketTenors =
desiredValue.getConstraint(ISDAFunctionConstants.ISDA_BUCKET_TENORS);
if (bucketTenors == null) {
return null;
}
// market spreads
final ValueProperties spreadProperties =
ValueProperties.builder()
.with(ISDAFunctionConstants.CDS_QUOTE_CONVENTION, quoteConvention)
.with(
ValuePropertyNames.CURVE_CALCULATION_METHOD, ISDAFunctionConstants.ISDA_METHOD_NAME)
.with(ISDAFunctionConstants.ISDA_CURVE_OFFSET, isdaOffset)
.with(ISDAFunctionConstants.ISDA_CURVE_DATE, isdaCurveDate)
.with(ISDAFunctionConstants.ISDA_IMPLEMENTATION, isdaCurveMethod)
.with(ISDAFunctionConstants.ISDA_BUCKET_TENORS, bucketTenors)
.get();
final ValueRequirement spreadRequirment =
new ValueRequirement(
ValueRequirementNames.BUCKETED_SPREADS, target.toSpecification(), spreadProperties);
final ValueRequirement pillarRequirment =
new ValueRequirement(
ValueRequirementNames.PILLAR_SPREADS, target.toSpecification(), spreadProperties);
final ValueRequirement creditCurveRequirement =
new ValueRequirement(
ValueRequirementNames.HAZARD_RATE_CURVE, target.toSpecification(), spreadProperties);
// get individual spread for this cds (ignore business day adjustment on either)
final Period period =
Period.between(
cds.getStartDate().toLocalDate().withDayOfMonth(20),
cds.getMaturityDate().toLocalDate().withDayOfMonth(20));
final ValueRequirement cdsSpreadRequirement =
new ValueRequirement(
MarketDataRequirementNames.MARKET_VALUE,
ComputationTargetType.PRIMITIVE,
ExternalId.of("Tenor", period.toString()));
final CdsRecoveryRateIdentifier recoveryRateIdentifier =
cds.accept(new CreditSecurityToRecoveryRateVisitor(context.getSecuritySource()));
final ValueRequirement recoveryRateRequirement =
new ValueRequirement(
"PX_LAST", ComputationTargetType.PRIMITIVE, recoveryRateIdentifier.getExternalId());
return Sets.newHashSet(
isdaRequirment,
spreadRequirment,
cdsSpreadRequirement,
creditCurveRequirement,
pillarRequirment,
recoveryRateRequirement);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues)
throws AsynchronousExecution {
final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
final ValueRequirement requirement = desiredValues.iterator().next();
final ValueProperties properties = requirement.getConstraints().copy().get();
final LegacyVanillaCDSSecurity security = (LegacyVanillaCDSSecurity) target.getSecurity();
// LegacyVanillaCreditDefaultSwapDefinition cds =
// _converter.visitLegacyVanillaCDSSecurity(security);
final ValueRequirement desiredValue = desiredValues.iterator().next(); // all same constraints
final String quoteConventionString =
desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION);
final StandardCDSQuotingConvention quoteConvention =
StandardCDSQuotingConvention.parse(quoteConventionString);
final CdsRecoveryRateIdentifier recoveryRateIdentifier =
security.accept(
new CreditSecurityToRecoveryRateVisitor(executionContext.getSecuritySource()));
Object recoveryRateObject =
inputs.getValue(
new ValueRequirement(
"PX_LAST",
ComputationTargetType.PRIMITIVE,
recoveryRateIdentifier.getExternalId()));
if (recoveryRateObject == null) {
throw new OpenGammaRuntimeException("Could not get recovery rate");
// s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
// recoveryRateObject = 0.4;
}
final double recoveryRate = (Double) recoveryRateObject;
// get the isda curve
final Object isdaObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
if (isdaObject == null) {
throw new OpenGammaRuntimeException("Couldn't get isda curve");
}
final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) isdaObject;
// spreads
NodalTenorDoubleCurve spreadObject =
(NodalTenorDoubleCurve) inputs.getValue(ValueRequirementNames.BUCKETED_SPREADS);
if (spreadObject == null) {
throw new OpenGammaRuntimeException("Unable to get spreads");
}
final double[] spreads = ArrayUtils.toPrimitive(spreadObject.getYData());
// final String pillarString = IMMDateGenerator.isIMMDate(security.getMaturityDate()) ?
// requirement.getConstraint(ISDAFunctionConstants.ISDA_BUCKET_TENORS) :
// ISDACompliantCreditCurveFunction.NON_IMM_PILLAR_TENORS;
final ZonedDateTime[] bucketDates =
SpreadCurveFunctions.getPillarDates(now, spreadObject.getXData());
final CDSQuoteConvention[] quotes =
SpreadCurveFunctions.getQuotes(
security.getMaturityDate(), spreads, security.getParSpread(), quoteConvention, false);
// spreads
NodalTenorDoubleCurve pillarObject =
(NodalTenorDoubleCurve) inputs.getValue(ValueRequirementNames.PILLAR_SPREADS);
if (pillarObject == null) {
throw new OpenGammaRuntimeException("Unable to get pillars");
}
// CDS analytics for credit curve (possible performance improvement if earlier result obtained)
// final LegacyVanillaCreditDefaultSwapDefinition curveCDS = cds.withStartDate(now);
// security.setStartDate(now); // needed for curve instruments
final CDSAnalytic[] bucketCDSs = new CDSAnalytic[bucketDates.length];
for (int i = 0; i < bucketCDSs.length; i++) {
// security.setMaturityDate(bucketDates[i]);
final CDSAnalyticVisitor visitor =
new CDSAnalyticVisitor(
now.toLocalDate(),
_holidaySource,
_regionSource,
security.getStartDate().toLocalDate(),
bucketDates[i].toLocalDate(),
recoveryRate);
bucketCDSs[i] = security.accept(visitor);
}
final ZonedDateTime[] pillarDates =
SpreadCurveFunctions.getPillarDates(now, pillarObject.getXData());
final CDSAnalytic[] pillarCDSs = new CDSAnalytic[pillarDates.length];
for (int i = 0; i < pillarCDSs.length; i++) {
// security.setMaturityDate(bucketDates[i]);
final CDSAnalyticVisitor visitor =
new CDSAnalyticVisitor(
now.toLocalDate(),
_holidaySource,
_regionSource,
security.getStartDate().toLocalDate(),
pillarDates[i].toLocalDate(),
recoveryRate);
pillarCDSs[i] = security.accept(visitor);
}
final ISDACompliantCreditCurve creditCurve =
(ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
if (creditCurve == null) {
throw new OpenGammaRuntimeException("Couldnt get credit curve");
}
// final CDSAnalytic analytic = CDSAnalyticConverter.create(cds, now.toLocalDate());
final CDSAnalyticVisitor visitor =
new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, recoveryRate);
final CDSAnalytic analytic = security.accept(visitor);
final BuySellProtection buySellProtection =
security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
// final String term = new Tenor(Period.between(security.getStartDate().toLocalDate(),
// security.getMaturityDate().toLocalDate())).getPeriod().toString();
// final Double cdsQuoteDouble = (Double) inputs.getValue(new
// ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
// ComputationTargetType.PRIMITIVE, ExternalId.of("Tenor", term)));
final Double cdsQuoteDouble = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
if (cdsQuoteDouble == null) {
throw new OpenGammaRuntimeException("Couldn't get spread for " + security);
}
final CDSQuoteConvention quote =
SpreadCurveFunctions.getQuotes(
security.getMaturityDate(),
new double[] {cdsQuoteDouble},
security.getParSpread(),
quoteConvention,
true)[0];
boolean isNonIMMFAndFromPUF =
!IMMDateLogic.isIMMDate(security.getMaturityDate().toLocalDate())
&& quote instanceof PointsUpFront;
boolean isNonIMMAndFromSpread =
!IMMDateLogic.isIMMDate(security.getMaturityDate().toLocalDate())
&& (quote instanceof QuotedSpread || quote instanceof ParSpread);
int buySellPremiumFactor = security.isBuy() ? -1 : 1;
final double notional = security.getNotional().getAmount();
final double coupon = security.getParSpread() * ONE_BPS;
final PointsUpFront puf =
getPointsUpfront(quote, buySellProtection, yieldCurve, analytic, creditCurve);
final double accruedPremiumPrim =
isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 : analytic.getAccruedPremium(coupon);
// final double accruedPremium = isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 :
// analytic.getAccruedPremium(coupon) * notional * buySellPremiumFactor;
final double accruedPremium =
isNonIMMAndFromSpread || isNonIMMFAndFromPUF
? 0
: accruedPremiumPrim * notional * buySellPremiumFactor;
final int accruedDays =
isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 : analytic.getAccuredDays();
final double quotedSpread =
getQuotedSpread(quote, puf, buySellProtection, yieldCurve, analytic).getQuotedSpread();
final double upfrontAmount =
isNonIMMAndFromSpread
? 0
: getUpfrontAmount(analytic, puf, notional, accruedPremiumPrim, buySellProtection);
final double cleanPV = puf.getPointsUpFront() * notional;
final double principal = isNonIMMAndFromSpread ? 0 : cleanPV;
final double cleanPrice = getCleanPrice(puf);
final TenorLabelledMatrix1D bucketedCS01 =
getBucketedCS01(
analytic,
bucketCDSs,
spreadObject.getXData(),
quote,
notional,
yieldCurve,
creditCurve);
final double parallelCS01 =
getParallelCS01(
quote,
analytic,
yieldCurve,
notional,
pillarCDSs,
ArrayUtils.toPrimitive(pillarObject.getYData()));
final Set<ComputedValue> results = Sets.newHashSetWithExpectedSize(_valueRequirements.length);
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.ACCRUED_PREMIUM, target.toSpecification(), properties),
accruedPremium));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.ACCRUED_DAYS, target.toSpecification(), properties),
accruedDays));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.QUOTED_SPREAD, target.toSpecification(), properties),
quotedSpread / ONE_BPS));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.UPFRONT_AMOUNT, target.toSpecification(), properties),
upfrontAmount));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.DIRTY_PRESENT_VALUE, target.toSpecification(), properties),
upfrontAmount));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.CLEAN_PRESENT_VALUE, target.toSpecification(), properties),
cleanPV));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.PRINCIPAL, target.toSpecification(), properties),
principal));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.CLEAN_PRICE, target.toSpecification(), properties),
cleanPrice));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.BUCKETED_CS01, target.toSpecification(), properties),
bucketedCS01));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.PARALLEL_CS01, target.toSpecification(), properties),
parallelCS01));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.POINTS_UPFRONT, target.toSpecification(), properties),
puf.getPointsUpFront()));
return results;
}
@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));
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = snapshotClock.zonedDateTime();
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final InstrumentDefinition<InstrumentDerivative> definition =
(InstrumentDefinition<InstrumentDerivative>) security.accept(VISITOR);
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String putCurveName = desiredValue.getConstraint(PROPERTY_PUT_CURVE);
final String callCurveName = desiredValue.getConstraint(PROPERTY_CALL_CURVE);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String putForwardCurveName = desiredValue.getConstraint(PROPERTY_PUT_FORWARD_CURVE);
final String callForwardCurveName = desiredValue.getConstraint(PROPERTY_CALL_FORWARD_CURVE);
final String putCurveCalculationMethod =
desiredValue.getConstraint(PROPERTY_PUT_CURVE_CALCULATION_METHOD);
final String callCurveCalculationMethod =
desiredValue.getConstraint(PROPERTY_CALL_CURVE_CALCULATION_METHOD);
final String interpolatorName =
desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
final String leftExtrapolatorName =
desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
final String rightExtrapolatorName =
desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
final String spread = desiredValue.getConstraint(PROPERTY_CALL_SPREAD_VALUE);
final double spreadValue = Double.parseDouble(spread);
final String fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
final String[] curveNames;
if (FXUtils.isInBaseQuoteOrder(
putCurrency, callCurrency)) { // To get Base/quote in market standard order.
curveNames = new String[] {fullPutCurveName, fullCallCurveName};
} else {
curveNames = new String[] {fullCallCurveName, fullPutCurveName};
}
final YieldAndDiscountCurve putFundingCurve = getCurve(inputs, putCurrency, putCurveName);
final YieldAndDiscountCurve callFundingCurve = getCurve(inputs, callCurrency, callCurveName);
final YieldAndDiscountCurve[] curves;
final Map<String, Currency> curveCurrency = new HashMap<String, Currency>();
curveCurrency.put(fullPutCurveName, putCurrency);
curveCurrency.put(fullCallCurveName, callCurrency);
final String[] allCurveNames;
final Currency ccy1;
final Currency ccy2;
if (FXUtils.isInBaseQuoteOrder(
putCurrency, callCurrency)) { // To get Base/quote in market standard order.
ccy1 = putCurrency;
ccy2 = callCurrency;
curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve};
allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
} else {
curves = new YieldAndDiscountCurve[] {callFundingCurve, putFundingCurve};
allCurveNames = new String[] {fullCallCurveName, fullPutCurveName};
ccy1 = callCurrency;
ccy2 = putCurrency;
}
final InstrumentDerivative fxOption = definition.toDerivative(now, curveNames);
final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get spot rate");
}
final double spot = (Double) spotObject;
final ValueRequirement fxVolatilitySurfaceRequirement =
getSurfaceRequirement(
surfaceName,
putCurrency,
callCurrency,
interpolatorName,
leftExtrapolatorName,
rightExtrapolatorName);
final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
}
final SmileDeltaTermStructureParametersStrikeInterpolation smiles =
(SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
final ValueProperties.Builder properties =
getResultProperties(
putCurveName,
putForwardCurveName,
putCurveCalculationMethod,
callCurveName,
callForwardCurveName,
callCurveCalculationMethod,
surfaceName,
spread,
interpolatorName,
leftExtrapolatorName,
rightExtrapolatorName,
target);
final ValueSpecification spec =
new ValueSpecification(_valueRequirementName, target.toSpecification(), properties.get());
final YieldCurveBundle curvesWithFX =
new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
final SmileDeltaTermStructureDataBundle smileBundle =
new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
return getResult(fxOption, spreadValue, smileBundle, spec);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = snapshotClock.zonedDateTime();
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
final String callCurveName = desiredValue.getConstraint(CALL_CURVE);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String putCurveConfig = desiredValue.getConstraint(PUT_CURVE_CALC_CONFIG);
final String callCurveConfig = desiredValue.getConstraint(CALL_CURVE_CALC_CONFIG);
final String interpolatorName =
desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
final String leftExtrapolatorName =
desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
final String rightExtrapolatorName =
desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
final String fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
final YieldAndDiscountCurve putFundingCurve =
FXOptionFunctionUtils.getCurveForCurrency(
inputs, putCurrency, putCurveName, putCurveConfig);
final YieldAndDiscountCurve callFundingCurve =
FXOptionFunctionUtils.getCurveForCurrency(
inputs, callCurrency, callCurveName, callCurveConfig);
final YieldAndDiscountCurve[] curves;
final Map<String, Currency> curveCurrency = new HashMap<String, Currency>();
curveCurrency.put(fullPutCurveName, putCurrency);
curveCurrency.put(fullCallCurveName, callCurrency);
final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS);
if (baseQuotePairsObject == null) {
throw new OpenGammaRuntimeException("Could not get base/quote pair data");
}
final CurrencyPairs baseQuotePairs = (CurrencyPairs) baseQuotePairsObject;
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
if (baseQuotePair == null) {
throw new OpenGammaRuntimeException(
"Could not get base/quote pair for currency pair ("
+ putCurrency
+ ", "
+ callCurrency
+ ")");
}
final String[] allCurveNames;
final Currency ccy1;
final Currency ccy2;
if (baseQuotePair
.getBase()
.equals(putCurrency)) { // To get Base/quote in market standard order.
ccy1 = putCurrency;
ccy2 = callCurrency;
curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve};
allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
} else {
curves = new YieldAndDiscountCurve[] {callFundingCurve, putFundingCurve};
allCurveNames = new String[] {fullCallCurveName, fullPutCurveName};
ccy1 = callCurrency;
ccy2 = putCurrency;
}
final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get spot requirement");
}
final double spot = (Double) spotObject;
final ValueRequirement fxVolatilitySurfaceRequirement =
getSurfaceRequirement(
surfaceName,
putCurrency,
callCurrency,
interpolatorName,
leftExtrapolatorName,
rightExtrapolatorName);
final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
}
final SmileDeltaTermStructureParametersStrikeInterpolation smiles =
(SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
final ValueProperties.Builder properties =
getResultProperties(target, desiredValue, baseQuotePair);
final ValueSpecification spec =
new ValueSpecification(
ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
final YieldCurveBundle curvesWithFX =
new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
final SmileDeltaTermStructureDataBundle smileBundle =
new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
final ForexOptionVanillaDefinition definition =
(ForexOptionVanillaDefinition) security.accept(converter);
final MultipleCurrencyAmount theta =
CALCULATOR.getTheta(
definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
}
