public static ConfigMaster populateVolatilitySurfaceConfigMaster(
final ConfigMaster configMaster) {
populateVolatilitySurfaceSpecifications(
configMaster, UnorderedCurrencyPair.of(Currency.EUR, Currency.USD), "EURUSD");
populateVolatilitySurfaceDefinitions(
configMaster, UnorderedCurrencyPair.of(Currency.EUR, Currency.USD));
return configMaster;
}
@Override
public boolean canApplyTo(
final FunctionCompilationContext context, final ComputationTarget target) {
final UnorderedCurrencyPair ccy = (UnorderedCurrencyPair) target.getValue();
String currencyPair = ccy.getFirstCurrency().getCode() + ccy.getSecondCurrency().getCode();
if (getAllCurrencyPairs().contains(currencyPair)) {
return true;
}
currencyPair = ccy.getSecondCurrency().getCode() + ccy.getFirstCurrency().getCode();
return getAllCurrencyPairs().contains(currencyPair);
}
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 FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> putCurveNames = constraints.getValues(PROPERTY_PUT_CURVE);
if (putCurveNames == null || putCurveNames.size() != 1) {
return null;
}
final Set<String> callCurveNames = constraints.getValues(PROPERTY_CALL_CURVE);
if (callCurveNames == null || callCurveNames.size() != 1) {
return null;
}
final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final Set<String> putForwardCurveNames = constraints.getValues(PROPERTY_PUT_FORWARD_CURVE);
if (putForwardCurveNames == null || putForwardCurveNames.size() != 1) {
return null;
}
final Set<String> callForwardCurveNames = constraints.getValues(PROPERTY_CALL_FORWARD_CURVE);
if (callForwardCurveNames == null || callForwardCurveNames.size() != 1) {
return null;
}
final Set<String> putCurveCalculationMethods =
constraints.getValues(PROPERTY_PUT_CURVE_CALCULATION_METHOD);
if (putCurveCalculationMethods == null || putCurveCalculationMethods.size() != 1) {
return null;
}
final Set<String> callCurveCalculationMethods =
constraints.getValues(PROPERTY_CALL_CURVE_CALCULATION_METHOD);
if (callCurveCalculationMethods == null || callCurveCalculationMethods.size() != 1) {
return null;
}
final Set<String> interpolatorNames =
constraints.getValues(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
if (interpolatorNames == null || interpolatorNames.size() != 1) {
return null;
}
final Set<String> leftExtrapolatorNames =
constraints.getValues(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
if (leftExtrapolatorNames == null || leftExtrapolatorNames.size() != 1) {
return null;
}
final Set<String> rightExtrapolatorNames =
constraints.getValues(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
if (rightExtrapolatorNames == null || rightExtrapolatorNames.size() != 1) {
return null;
}
final Set<String> spreads = constraints.getValues(PROPERTY_CALL_SPREAD_VALUE);
if (spreads == null || spreads.size() != 1) {
return null;
}
final String putCurveName = putCurveNames.iterator().next();
final String callCurveName = callCurveNames.iterator().next();
final String putForwardCurveName = putForwardCurveNames.iterator().next();
final String callForwardCurveName = callForwardCurveNames.iterator().next();
final String putCurveCalculationMethod = putCurveCalculationMethods.iterator().next();
final String callCurveCalculationMethod = callCurveCalculationMethods.iterator().next();
final String surfaceName = surfaceNames.iterator().next();
final String interpolatorName = interpolatorNames.iterator().next();
final String leftExtrapolatorName = leftExtrapolatorNames.iterator().next();
final String rightExtrapolatorName = rightExtrapolatorNames.iterator().next();
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
final ValueRequirement putFundingCurve =
getCurveRequirement(
putCurveName,
putForwardCurveName,
putCurveName,
putCurveCalculationMethod,
putCurrency);
final ValueRequirement callFundingCurve =
getCurveRequirement(
callCurveName,
callForwardCurveName,
callCurveName,
callCurveCalculationMethod,
callCurrency);
final ValueRequirement fxVolatilitySurface =
getSurfaceRequirement(
surfaceName,
putCurrency,
callCurrency,
interpolatorName,
leftExtrapolatorName,
rightExtrapolatorName);
final ValueRequirement spotRequirement =
new ValueRequirement(
ValueRequirementNames.SPOT_RATE, UnorderedCurrencyPair.of(callCurrency, putCurrency));
return Sets.newHashSet(putFundingCurve, callFundingCurve, fxVolatilitySurface, spotRequirement);
}
@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;
}
