protected static ValueRequirement getCurveRequirement(
final String curveName,
final String forwardCurveName,
final String fundingCurveName,
final String calculationMethod,
final Currency currency) {
final ValueProperties.Builder properties;
if (calculationMethod.equals(InterpolatedDataProperties.CALCULATION_METHOD_NAME)) {
properties =
ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName)
.withAny(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME)
.withAny(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, calculationMethod);
} else {
properties =
ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName)
.with(YieldCurveFunction.PROPERTY_FORWARD_CURVE, forwardCurveName)
.with(YieldCurveFunction.PROPERTY_FUNDING_CURVE, fundingCurveName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, calculationMethod);
}
return new ValueRequirement(
ValueRequirementNames.YIELD_CURVE,
ComputationTargetType.PRIMITIVE,
currency.getUniqueId(),
properties.get());
}
@Test
public void SingleNonMatchingProperty() {
final MockPropertyPreservingFunction func = getFunction();
final List<ValueSpecification> specses =
getSpecs(
ValueProperties.builder().with("A", "V").get(),
ValueProperties.builder().with("A", "X").get());
assertNull(func.getResultProperties(specses));
}
@Test
public void SingleMatchingOtherProperty() {
final MockPropertyPreservingFunction func = getFunction();
assertEqual(
ValueProperties.none(),
func,
ValueProperties.builder().with("Z", "A").get(),
ValueProperties.builder().with("Z", "A").get());
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> payCurveNames = constraints.getValues(ValuePropertyNames.PAY_CURVE);
if (payCurveNames == null || payCurveNames.size() != 1) {
return null;
}
final Set<String> receiveCurveNames = constraints.getValues(ValuePropertyNames.RECEIVE_CURVE);
if (receiveCurveNames == null || receiveCurveNames.size() != 1) {
return null;
}
final Set<String> payCurveConfigNames =
constraints.getValues(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
if (payCurveConfigNames == null || payCurveConfigNames.size() != 1) {
return null;
}
final Set<String> receiveCurveConfigNames =
constraints.getValues(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
if (receiveCurveConfigNames == null || receiveCurveConfigNames.size() != 1) {
return null;
}
final Set<String> daysForwardNames = constraints.getValues(PROPERTY_DAYS_TO_MOVE_FORWARD);
if (daysForwardNames == null || daysForwardNames.size() != 1) {
return null;
}
final String payCurveName = payCurveNames.iterator().next();
final String receiveCurveName = receiveCurveNames.iterator().next();
final String payCurveCalculationConfig = payCurveConfigNames.iterator().next();
final String receiveCurveCalculationConfig = receiveCurveConfigNames.iterator().next();
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final ValueRequirement payFundingCurve =
YieldCurveFunctionUtils.getCurveRequirementForFXForward(
ComputationTargetSpecification.of(payCurrency),
payCurveName,
payCurveCalculationConfig,
true);
final ValueRequirement receiveFundingCurve =
YieldCurveFunctionUtils.getCurveRequirementForFXForward(
ComputationTargetSpecification.of(receiveCurrency),
receiveCurveName,
receiveCurveCalculationConfig,
false);
final ValueProperties optionalProperties =
ValueProperties.builder()
.with(PROPERTY_DAYS_TO_MOVE_FORWARD, daysForwardNames)
.withOptional(PROPERTY_DAYS_TO_MOVE_FORWARD)
.get();
final ValueRequirement pairQuoteRequirement =
new ValueRequirement(
ValueRequirementNames.CURRENCY_PAIRS,
ComputationTargetSpecification.NULL,
optionalProperties);
return Sets.newHashSet(payFundingCurve, receiveFundingCurve, pairQuoteRequirement);
}
// Note that createValueProperties is _not_ used - use will mean the engine can't find the
// requirement
private ValueRequirement getDiscountRequirement(EquityVarianceSwapSecurity security) {
ValueProperties properties =
ValueProperties.builder().with(ValuePropertyNames.CURVE, _curveDefinitionName).get();
return new ValueRequirement(
ValueRequirementNames.YIELD_CURVE,
ComputationTargetType.PRIMITIVE,
security.getCurrency().getUniqueId(),
properties);
}
private ValueRequirement getInterpolatorRequirement(
final ComputationTarget target, final ValueRequirement desiredValue) {
return new ValueRequirement(
ValueRequirementNames.BLACK_VOLATILITY_SURFACE_INTERPOLATOR,
target.toSpecification(),
BlackVolatilitySurfaceUtils.addVolatilityInterpolatorProperties(
ValueProperties.builder().get(), desiredValue)
.get());
}
protected ValueRequirement getCurveSpecRequirement(
final ComputationTarget target, final String curveName) {
final Currency currency = FinancialSecurityUtils.getCurrency(target.getSecurity());
final ValueProperties.Builder properties =
ValueProperties.builder().with(ValuePropertyNames.CURVE, curveName);
return new ValueRequirement(
ValueRequirementNames.YIELD_CURVE_SPEC,
ComputationTargetSpecification.of(currency),
properties.get());
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = new HashSet<>();
final ValueProperties constraints = desiredValue.getConstraints();
// curve
final String curveName = constraints.getStrictValue(ValuePropertyNames.CURVE);
if (curveName == null) {
return null;
}
// interpolator
final String interpolatorName =
constraints.getStrictValue(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_INTERPOLATOR);
if (interpolatorName == null) {
return null;
}
// interpolator left extrapolator
final String leftExtrapolatorName =
constraints.getStrictValue(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_LEFT_EXTRAPOLATOR);
if (leftExtrapolatorName == null) {
return null;
}
// interpolator right extrapolator
final String rightExtrapolatorName =
constraints.getStrictValue(
ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_RIGHT_EXTRAPOLATOR);
if (rightExtrapolatorName == null) {
return null;
}
final ValueProperties futureCurveProperties =
ValueProperties.builder()
.with(
InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE,
InstrumentTypeProperties.EQUITY_FUTURE_PRICE)
.with(ValuePropertyNames.CURVE, curveName)
.get();
requirements.add(
new ValueRequirement(
ValueRequirementNames.FUTURE_PRICE_CURVE_DATA,
target.toSpecification(),
futureCurveProperties));
return requirements;
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = Sets.newHashSet();
final ValueProperties valueProperties =
ValueProperties.builder().withAny(ValuePropertyNames.CURRENCY).get();
requirements.add(
new ValueRequirement(CREDIT_REQUIREMENT, target.toSpecification(), valueProperties));
return requirements;
}
@Test
public void OptionalProperty() {
final MockPropertyPreservingFunction func = getFunction();
final ValueProperties p =
ValueProperties.builder()
.withOptional("C")
.withAny("C")
.with("D", "X")
.withOptional("D")
.get();
assertEqual(p, func, p, p);
}
protected static ValueRequirement getCurveRequirement(
final UniqueIdentifiable id,
final String yieldCurveName,
final String curveCalculationConfigName,
final String curveCalculationMethod) {
final ValueProperties properties =
ValueProperties.builder()
.with(ValuePropertyNames.CURVE, yieldCurveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod)
.get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, id.getUniqueId(), properties);
}
private static ValueRequirement getVolatilityRequirement(
final String surface, final Currency currency) {
final ValueProperties properties =
ValueProperties.builder()
.with(ValuePropertyNames.SURFACE, surface)
.with(
InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE,
InstrumentTypeProperties.SWAPTION_ATM)
.get();
return new ValueRequirement(
ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE,
ComputationTargetSpecification.of(Currency.USD),
properties);
}
// Note that createValueProperties is _not_ used - use will mean the engine can't find the
// requirement
private ValueRequirement getDiscountRequirement(
final EquityVarianceSwapSecurity security,
final String curveName,
final String curveCalculationConfigName) {
final ValueProperties properties =
ValueProperties.builder()
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.get();
return new ValueRequirement(
ValueRequirementNames.YIELD_CURVE,
ComputationTargetType.PRIMITIVE,
security.getCurrency().getUniqueId(),
properties);
}
private static YieldAndDiscountCurve getCurve(
final FunctionInputs inputs, final Currency currency, final String curveName) {
final ValueProperties.Builder properties =
ValueProperties.builder().with(ValuePropertyNames.CURVE, curveName);
final Object curveObject =
inputs.getValue(
new ValueRequirement(
ValueRequirementNames.YIELD_CURVE,
ComputationTargetType.PRIMITIVE,
currency.getUniqueId(),
properties.get()));
if (curveObject == null) {
throw new OpenGammaRuntimeException("Could not get " + curveName + " curve");
}
final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
return curve;
}
protected ValueRequirement getVolatilityDataRequirement(
final ComputationTarget target,
final String surfaceName,
final String instrumentType,
final String surfaceQuoteType,
final String surfaceQuoteUnits) {
final ValueRequirement volDataRequirement =
new ValueRequirement(
ValueRequirementNames.VOLATILITY_SURFACE_DATA,
target.toSpecification(),
ValueProperties.builder()
.with(SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, instrumentType)
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, surfaceQuoteType)
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, surfaceQuoteUnits)
.get());
return volDataRequirement;
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext compilationContext,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> rootFinderAbsoluteTolerance =
constraints.getValues(PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE);
if (rootFinderAbsoluteTolerance == null || rootFinderAbsoluteTolerance.size() != 1) {
return null;
}
final Set<String> rootFinderRelativeTolerance =
constraints.getValues(PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE);
if (rootFinderRelativeTolerance == null || rootFinderRelativeTolerance.size() != 1) {
return null;
}
final Set<String> maxIterations = constraints.getValues(PROPERTY_ROOT_FINDER_MAX_ITERATIONS);
if (maxIterations == null || maxIterations.size() != 1) {
return null;
}
final Set<String> decomposition = constraints.getValues(PROPERTY_DECOMPOSITION);
if (decomposition == null || decomposition.size() != 1) {
return null;
}
final Set<String> useFiniteDifference = constraints.getValues(PROPERTY_USE_FINITE_DIFFERENCE);
if (useFiniteDifference == null || useFiniteDifference.size() != 1) {
return null;
}
if (!_originalConfiguration.getTarget().equals(target.toSpecification())) {
s_logger.info(
"Invalid target, was {} - expected {}", target, _originalConfiguration.getTarget());
return null;
}
final ValueProperties properties =
ValueProperties.builder()
.with(CURVE_CALCULATION_METHOD, _originalConfiguration.getCalculationMethod())
.with(CURVE_CALCULATION_CONFIG, _originalConfiguration.getCalculationConfigName())
.with(CURVE, _originalCurveName)
.get();
return Collections.singleton(
new ValueRequirement(YIELD_CURVE, target.toSpecification(), properties));
}
@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();
}
@Override
public void init(final FunctionCompilationContext context) {
_definition =
ConfigDBVolatilitySurfaceDefinitionSource.init(context, this)
.getDefinition(_definitionName, _instrumentType);
if (_definition == null) {
throw new OpenGammaRuntimeException(
"Couldn't find Volatility Surface Definition for "
+ _instrumentType
+ " called "
+ _definitionName);
}
final ValueProperties surfaceProperties =
ValueProperties.builder()
.with(ValuePropertyNames.SURFACE, _definitionName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, _instrumentType)
.withAny(
EquityVarianceSwapStaticReplicationFunction
.STRIKE_PARAMETERIZATION_METHOD /*, VarianceSwapStaticReplication.StrikeParameterization.STRIKE.toString()*/)
.get();
final ComputationTargetSpecification targetSpec =
ComputationTargetSpecification.of(_definition.getTarget().getUniqueId());
_requirement =
new ValueRequirement(
ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, targetSpec, surfaceProperties);
_result =
new ValueSpecification(
ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE,
targetSpec,
createValueProperties()
.with(ValuePropertyNames.SURFACE, _definitionName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, _instrumentType)
.withAny(
EquityVarianceSwapStaticReplicationFunction
.STRIKE_PARAMETERIZATION_METHOD /*, VarianceSwapStaticReplication.StrikeParameterization.STRIKE.toString()*/)
.get());
_results = Collections.singleton(_result);
}
protected static ValueRequirement getSurfaceRequirement(
final String surfaceName,
final Currency putCurrency,
final Currency callCurrency,
final String interpolatorName,
final String leftExtrapolatorName,
final String rightExtrapolatorName) {
final ValueProperties surfaceProperties =
ValueProperties.builder()
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(
InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE,
InstrumentTypeProperties.FOREX)
.with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, interpolatorName)
.with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorName)
.with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorName)
.get();
final UnorderedCurrencyPair currenciesTarget =
UnorderedCurrencyPair.of(putCurrency, callCurrency);
return new ValueRequirement(
ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA,
currenciesTarget,
surfaceProperties);
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> payCurveNames = constraints.getValues(ValuePropertyNames.PAY_CURVE);
if (payCurveNames == null || payCurveNames.size() != 1) {
return null;
}
final Set<String> payCurveCalculationConfigs =
constraints.getValues(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
if (payCurveCalculationConfigs == null || payCurveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> receiveCurveNames = constraints.getValues(ValuePropertyNames.RECEIVE_CURVE);
if (receiveCurveNames == null || receiveCurveNames.size() != 1) {
return null;
}
final Set<String> receiveCurveCalculationConfigs =
constraints.getValues(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
if (receiveCurveCalculationConfigs == null || receiveCurveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> calculationMethods =
constraints.getValues(ValuePropertyNames.CALCULATION_METHOD);
if (calculationMethods == null || calculationMethods.size() != 1) {
final ValueProperties newConstraints =
constraints
.copy()
.withoutAny(ValuePropertyNames.CALCULATION_METHOD)
.with(
ValuePropertyNames.CALCULATION_METHOD,
CalculationPropertyNamesAndValues.DISCOUNTING)
.get();
return Collections.singleton(
new ValueRequirement(
ValueRequirementNames.PNL_SERIES, target.toSpecification(), newConstraints));
}
final Set<ValueRequirement> requirements = new HashSet<>();
final String calculationMethod = Iterables.getOnlyElement(calculationMethods);
final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
if (CalculationPropertyNamesAndValues.DISCOUNTING.equals(calculationMethod)) {
requirements.add(
new ValueRequirement(
ValueRequirementNames.FX_CURRENCY_EXPOSURE,
ComputationTargetSpecification.of(target.getPosition().getSecurity()),
ValueProperties.builder()
.with(
ValuePropertyNames.CALCULATION_METHOD,
CalculationPropertyNamesAndValues.DISCOUNTING)
.with(ValuePropertyNames.PAY_CURVE, payCurveNames.iterator().next())
.with(
ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG,
payCurveCalculationConfigs.iterator().next())
.with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveNames.iterator().next())
.with(
ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG,
receiveCurveCalculationConfigs.iterator().next())
.get()));
} else if (CalculationPropertyNamesAndValues.FORWARD_POINTS.equals(calculationMethod)) {
final Set<String> forwardCurveNames =
constraints.getValues(ValuePropertyNames.FORWARD_CURVE_NAME);
if (forwardCurveNames == null || forwardCurveNames.size() != 1) {
return null;
}
final String forwardCurveName = Iterables.getOnlyElement(forwardCurveNames);
requirements.add(
new ValueRequirement(
ValueRequirementNames.FX_CURRENCY_EXPOSURE,
ComputationTargetSpecification.of(target.getPosition().getSecurity()),
ValueProperties.builder()
.with(
ValuePropertyNames.CALCULATION_METHOD,
CalculationPropertyNamesAndValues.FORWARD_POINTS)
.with(ValuePropertyNames.PAY_CURVE, payCurveNames.iterator().next())
.with(
ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG,
payCurveCalculationConfigs.iterator().next())
.with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveNames.iterator().next())
.with(
ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG,
receiveCurveCalculationConfigs.iterator().next())
.with(ValuePropertyNames.FORWARD_CURVE_NAME, forwardCurveName)
.get()));
} else {
return null;
}
final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final String resultCurrency;
final CurrencyPair baseQuotePair =
_currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency baseCurrency = baseQuotePair.getBase();
final Currency nonBaseCurrency = baseQuotePair.getCounter();
if (resultCurrencies != null && resultCurrencies.size() == 1) {
final Currency ccy = Currency.of(Iterables.getOnlyElement(resultCurrencies));
if (!(ccy.equals(payCurrency) || ccy.equals(receiveCurrency))) {
requirements.add(
ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(
UnorderedCurrencyPair.of(baseCurrency, ccy)));
resultCurrency = ccy.getCode();
} else if (ccy.equals(nonBaseCurrency)) {
requirements.add(
ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(
UnorderedCurrencyPair.of(nonBaseCurrency, baseCurrency)));
resultCurrency = nonBaseCurrency.getCode();
} else {
requirements.add(
ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(
UnorderedCurrencyPair.of(baseCurrency, nonBaseCurrency)));
resultCurrency = baseCurrency.getCode();
}
} else {
resultCurrency = baseCurrency.getCode();
}
final ValueProperties fxSpotConstraints =
desiredValue
.getConstraints()
.copy()
.withoutAny(ValuePropertyNames.PAY_CURVE)
.withoutAny(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG)
.withoutAny(ValuePropertyNames.RECEIVE_CURVE)
.withoutAny(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG)
.withoutAny(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS)
.withoutAny(ValuePropertyNames.CURVE_CURRENCY)
.withoutAny(ValuePropertyNames.CALCULATION_METHOD)
.withoutAny(ValuePropertyNames.FORWARD_CURVE_NAME)
.with(CURRENCY, resultCurrency)
.withOptional(CURRENCY)
.get();
final ComputationTargetSpecification fxSpotReturnSeriesSpec =
ComputationTargetType.UNORDERED_CURRENCY_PAIR.specification(
UnorderedCurrencyPair.of(payCurrency, receiveCurrency));
requirements.add(
new ValueRequirement(
ValueRequirementNames.RETURN_SERIES, fxSpotReturnSeriesSpec, fxSpotConstraints));
return requirements;
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final Object positionOrNode = getTarget(target);
final Set<ValueRequirement> result = new HashSet<ValueRequirement>();
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> samplingPeriodNames =
constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD);
if (samplingPeriodNames == null || samplingPeriodNames.size() != 1) {
return null;
}
final Set<String> scheduleCalculatorNames =
constraints.getValues(ValuePropertyNames.SCHEDULE_CALCULATOR);
if (scheduleCalculatorNames == null || scheduleCalculatorNames.size() != 1) {
return null;
}
final Set<String> samplingFunctionNames =
constraints.getValues(ValuePropertyNames.SAMPLING_FUNCTION);
if (samplingFunctionNames == null || samplingFunctionNames.size() != 1) {
return null;
}
final Set<String> returnCalculatorNames =
constraints.getValues(ValuePropertyNames.RETURN_CALCULATOR);
if (returnCalculatorNames == null || returnCalculatorNames.size() != 1) {
return null;
}
final Set<String> stdDevCalculatorNames =
constraints.getValues(ValuePropertyNames.STD_DEV_CALCULATOR);
if (stdDevCalculatorNames == null || stdDevCalculatorNames.size() != 1) {
return null;
}
final Set<String> covarianceCalculatorNames =
constraints.getValues(ValuePropertyNames.COVARIANCE_CALCULATOR);
if (covarianceCalculatorNames == null || covarianceCalculatorNames.size() != 1) {
return null;
}
final Set<String> varianceCalculatorNames =
constraints.getValues(ValuePropertyNames.VARIANCE_CALCULATOR);
if (varianceCalculatorNames == null || varianceCalculatorNames.size() != 1) {
return null;
}
final String samplingPeriodName = samplingPeriodNames.iterator().next();
final String scheduleCalculatorName = scheduleCalculatorNames.iterator().next();
final String samplingFunctionName = samplingFunctionNames.iterator().next();
final String returnCalculatorName = returnCalculatorNames.iterator().next();
final ValueProperties pnlSeriesProperties =
ValueProperties.builder()
.withAny(ValuePropertyNames.CURRENCY)
.with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriodName)
.with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorName)
.with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName)
.with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName)
.get();
final ValueProperties betaProperties =
ValueProperties.builder()
.with(ValuePropertyNames.SAMPLING_PERIOD, samplingPeriodName)
.with(ValuePropertyNames.SCHEDULE_CALCULATOR, scheduleCalculatorName)
.with(ValuePropertyNames.SAMPLING_FUNCTION, samplingFunctionName)
.with(ValuePropertyNames.RETURN_CALCULATOR, returnCalculatorName)
.with(
ValuePropertyNames.COVARIANCE_CALCULATOR,
covarianceCalculatorNames.iterator().next())
.with(ValuePropertyNames.VARIANCE_CALCULATOR, varianceCalculatorNames.iterator().next())
.get();
result.add(
new ValueRequirement(
ValueRequirementNames.PNL_SERIES, positionOrNode, pnlSeriesProperties));
result.add(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, positionOrNode));
result.add(
new ValueRequirement(ValueRequirementNames.CAPM_BETA, positionOrNode, betaProperties));
final HistoricalTimeSeriesResolver resolver =
OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final ConventionBundleSource conventionSource =
OpenGammaCompilationContext.getConventionBundleSource(context);
final ConventionBundle bundle =
conventionSource.getConventionBundle(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
final HistoricalTimeSeriesResolutionResult timeSeries =
resolver.resolve(
bundle.getCAPMMarket(),
null,
null,
null,
MarketDataRequirementNames.MARKET_VALUE,
_resolutionKey);
if (timeSeries == null) {
return null;
}
result.add(
HistoricalTimeSeriesFunctionUtils.createHTSRequirement(
timeSeries,
MarketDataRequirementNames.MARKET_VALUE,
DateConstraint.VALUATION_TIME.minus(samplingPeriodName),
true,
DateConstraint.VALUATION_TIME,
true));
return result;
}
@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);
}
