private void configureCompilationContext(final FunctionCompilationContext context) {
OpenGammaCompilationContext.setConfigSource(context, _configSource);
OpenGammaCompilationContext.setRegionSource(context, _regionSource);
OpenGammaCompilationContext.setConventionBundleSource(context, _conventionBundleSource);
OpenGammaCompilationContext.setInterpolatedYieldCurveDefinitionSource(
context, _interpolatedYieldCurveDefinitionSource);
OpenGammaCompilationContext.setInterpolatedYieldCurveSpecificationBuilder(
context, _interpolatedYieldCurveSpecificationBuilder);
OpenGammaCompilationContext.setCurrencyMatrixSource(context, _currencyMatrixSource);
context.setSecuritySource(getSecuritySource());
context.setPortfolioStructure(new PortfolioStructure(getPositionSource()));
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final Set<String> curves = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
final Set<String> curveCalcConfigs =
desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if ((curves == null) || (curves.size() != 1)) {
s_logger.warn("no curve specified");
// Can't support an unbound request; an injection function must be used (or declare all as
// optional and use [PLAT-1771])
return null;
}
if ((curveCalcConfigs == null) || (curveCalcConfigs.size() != 1)) {
s_logger.warn("no curve config specified");
return null;
}
final String curve = curves.iterator().next();
final String curveCalcConfig = curveCalcConfigs.iterator().next();
final Set<ValueRequirement> requirements = Sets.newHashSet();
requirements.add(getCurveRequirement(target, curve, curveCalcConfig));
requirements.add(getCurveSpecRequirement(target, curve));
requirements.addAll(
getSensitivityRequirements(
context.getSecuritySource(), (RawSecurity) target.getSecurity()));
return requirements;
}
@Override
public CompiledFunctionRepository compile(
final FunctionRepository repository,
final FunctionCompilationContext context,
final ExecutorService executor,
final InstantProvider atInstantProvider) {
clearInvalidCache(context.getFunctionInitId());
final Instant atInstant = Instant.of(atInstantProvider);
final Pair<FunctionRepository, Instant> key = Pair.of(repository, atInstant);
// Try a previous compilation
final InMemoryCompiledFunctionRepository previous = getPreviousCompilation(key);
if (previous != null) {
if (previous.getLatestInvocationTime() == null) {
return previous;
} else {
if (!atInstant.isAfter(previous.getLatestInvocationTime())) {
return previous;
}
}
}
// Try a future compilation
final InMemoryCompiledFunctionRepository next = getNextCompilation(key);
if (next != null) {
if (next.getEarliestInvocationTime() == null) {
return next;
} else {
if (!atInstant.isBefore(next.getEarliestInvocationTime())) {
return next;
}
}
}
// Try the exact timestamp
InMemoryCompiledFunctionRepository compiled = getCachedCompilation(key);
if (compiled != null) {
return compiled;
}
// Create a compilation, salvaging results from previous and next if possible
compiled = compile(context, repository, atInstant, previous, next, executor);
cacheCompilation(key, compiled);
return compiled;
}
@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 CompiledFunctionDefinition compile(
final FunctionCompilationContext context, final Instant atInstant) {
final MultiCurveCalculationConfig impliedConfiguration =
_multiCurveCalculationConfig.get(_curveCalculationConfig);
if (impliedConfiguration == null) {
throw new OpenGammaRuntimeException(
"Multi-curve calculation called " + _curveCalculationConfig + " was null");
}
ComputationTarget target =
context.getComputationTargetResolver().resolve(impliedConfiguration.getTarget());
if (!(target.getValue() instanceof Currency)) {
throw new OpenGammaRuntimeException(
"Target of curve calculation configuration was not a currency");
}
final Currency impliedCurrency = (Currency) target.getValue();
if (!IMPLIED_DEPOSIT.equals(impliedConfiguration.getCalculationMethod())) {
throw new OpenGammaRuntimeException(
"Curve calculation method was not "
+ IMPLIED_DEPOSIT
+ " for configuration called "
+ _curveCalculationConfig);
}
final String[] impliedCurveNames = impliedConfiguration.getYieldCurveNames();
if (impliedCurveNames.length != 1) {
throw new OpenGammaRuntimeException(
"Can only handle configurations with a single implied curve");
}
final LinkedHashMap<String, String[]> originalConfigurationName =
impliedConfiguration.getExogenousConfigData();
if (originalConfigurationName == null || originalConfigurationName.size() != 1) {
throw new OpenGammaRuntimeException("Need a configuration with one exogenous configuration");
}
final Map.Entry<String, String[]> entry =
Iterables.getOnlyElement(originalConfigurationName.entrySet());
final String[] originalCurveNames = entry.getValue();
if (originalCurveNames.length != 1) {
s_logger.warn("Found more than one exogenous configuration name; using only the first");
}
final MultiCurveCalculationConfig originalConfiguration =
_multiCurveCalculationConfig.get(entry.getKey());
if (originalConfiguration == null) {
throw new OpenGammaRuntimeException(
"Multi-curve calculation called " + entry.getKey() + " was null");
}
target = context.getComputationTargetResolver().resolve(originalConfiguration.getTarget());
if (!(target.getValue() instanceof Currency)) {
throw new OpenGammaRuntimeException(
"Target of curve calculation configuration was not a currency");
}
final Currency originalCurrency = (Currency) target.getValue();
if (!originalCurrency.equals(impliedCurrency)) {
throw new OpenGammaRuntimeException(
"Currency targets for configurations "
+ _curveCalculationConfig
+ " and "
+ entry.getKey()
+ " did not match");
}
final YieldCurveDefinition impliedDefinition =
_yieldCurveDefinition.get(impliedCurveNames[0] + "_" + impliedCurrency.getCode());
if (impliedDefinition == null) {
throw new OpenGammaRuntimeException(
"Could not get implied definition called "
+ impliedCurveNames[0]
+ "_"
+ impliedCurrency.getCode());
}
final Set<FixedIncomeStrip> strips = impliedDefinition.getStrips();
for (final FixedIncomeStrip strip : strips) {
if (strip.getInstrumentType() != StripInstrumentType.CASH) {
throw new OpenGammaRuntimeException(
"Can only handle yield curve definitions with CASH strips");
}
}
final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
return new MyCompiledFunction(
atZDT.with(LocalTime.MIDNIGHT),
atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000),
impliedConfiguration,
impliedDefinition,
originalConfiguration,
originalCurveNames[0]);
};
