private static InstrumentDerivative[][] convert(
final InstrumentDefinition<?>[][] definitions, final boolean withToday) {
final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
int loopins = 0;
for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
} else {
if (instrument instanceof SwapFixedIborDefinition) {
ird =
((SwapFixedIborDefinition) instrument)
.toDerivative(NOW, getTSSwapFixedIbor(withToday));
} else {
if (instrument instanceof SwapIborIborDefinition) {
ird =
((SwapIborIborDefinition) instrument)
.toDerivative(NOW, getTSSwapIborIbor(withToday));
} else {
ird = instrument.toDerivative(NOW);
}
}
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
@SuppressWarnings("unchecked")
private static InstrumentDerivative[][] convert(
final InstrumentDefinition<?>[][] definitions, final int unit, final boolean withToday) {
// int nbDef = 0;
// for (final InstrumentDefinition<?>[] definition : definitions) {
// nbDef += definition.length;
// }
final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
int loopins = 0;
for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
/* ird = ((SwapFixedInflationZeroCouponDefinition) instrument).toDerivative(NOW, getTSSwapFixedInflation(withToday, unit), NOT_USED_2);*/
final Annuity<? extends Payment> ird1 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getFirstLeg()
.toDerivative(NOW, NOT_USED_2);
final Annuity<? extends Payment> ird2 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getSecondLeg()
.toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY, NOT_USED_2);
ird = new Swap<>(ird1, ird2);
} else {
ird = instrument.toDerivative(NOW, NOT_USED_2);
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
@Override
public Collection<IborIndex> visitAnnuityDefinition(
final AnnuityDefinition<? extends PaymentDefinition> definition) {
final Collection<IborIndex> result = new HashSet<>();
for (final InstrumentDefinition<?> payment : definition.getPayments()) {
result.addAll(payment.accept(this));
}
return result;
}
@Override
public InstrumentDerivative convert(
final Security security,
final InstrumentDefinition<?> definition,
final ZonedDateTime now,
final String[] curveNames,
final HistoricalTimeSeriesBundle timeSeries) {
if (curveNames.length == 1) {
final String[] singleCurve = new String[] {curveNames[0], curveNames[0]};
return definition.toDerivative(now, singleCurve);
}
return definition.toDerivative(now, curveNames);
}
private static InstrumentDerivative convert(
final InstrumentDefinition<?> instrument, final boolean withToday) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedONDefinition) {
ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
} else {
ird = instrument.toDerivative(NOW);
}
return ird;
}
private static InstrumentDerivative[][] convert(final InstrumentDefinition<?>[][] definitions) {
final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
int loopins = 0;
for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
final Annuity<? extends Payment> ird1 =
((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
final Annuity<? extends Payment> ird2 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getSecondLeg()
.toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
ird = new Swap<>(ird1, ird2);
} else {
ird = instrument.toDerivative(NOW);
}
instruments[loopcurve][loopins++] = ird;
}
}
return instruments;
}
private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) {
InstrumentDerivative ird;
if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
final Annuity<? extends Payment> ird1 =
((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
final Annuity<? extends Payment> ird2 =
((SwapFixedInflationZeroCouponDefinition) instrument)
.getSecondLeg()
.toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
ird = new Swap<>(ird1, ird2);
} else {
ird = instrument.toDerivative(NOW);
}
return ird;
}
@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 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);
}
