@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final FXFutureSecurity security = (FXFutureSecurity) target.getSecurity();
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final Currency payCurrency = security.getNumerator();
final Object payCurveObject =
inputs.getValue(
YieldCurveFunction.getCurveRequirement(payCurrency, _payCurveName, null, null));
if (payCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get " + _payCurveName + " curve");
}
final Currency receiveCurrency = security.getDenominator();
final Object receiveCurveObject =
inputs.getValue(
YieldCurveFunction.getCurveRequirement(receiveCurrency, _receiveCurveName, null, null));
if (receiveCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get " + _receiveCurveName + " curve");
}
// TODO: The convention is only looked up here so that we can convert the spot rate; would be
// better to request the spot rate using the correct currency pair in the first place
final CurrencyPairs currencyPairs =
OpenGammaExecutionContext.getCurrencyPairsSource(executionContext)
.getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency currencyBase = currencyPair.getBase();
final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get market data for spot rate");
}
double spot = (Double) spotObject;
if (!receiveCurrency.equals(currencyBase) && receiveCurrency.equals(security.getCurrency())) {
spot = 1. / spot;
}
final YieldAndDiscountCurve payCurve = (YieldAndDiscountCurve) payCurveObject;
final YieldAndDiscountCurve receiveCurve = (YieldAndDiscountCurve) receiveCurveObject;
final SimpleFXFutureDataBundle data =
new SimpleFXFutureDataBundle(payCurve, receiveCurve, spot);
final SimpleInstrument instrument = security.accept(CONVERTER).toDerivative(now);
final CurrencyAmount pv = instrument.accept(CALCULATOR, data);
final ValueProperties properties =
createValueProperties()
.with(ValuePropertyNames.PAY_CURVE, _payCurveName)
.with(ValuePropertyNames.RECEIVE_CURVE, _receiveCurveName)
.with(ValuePropertyNames.CURRENCY, pv.getCurrency().getCode())
.get();
final ValueSpecification spec =
new ValueSpecification(
ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, pv.getAmount()));
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final FXFutureSecurity future = (FXFutureSecurity) target.getSecurity();
final ValueRequirement payYieldCurve =
YieldCurveFunction.getCurveRequirement(future.getNumerator(), _payCurveName, null, null);
final ValueRequirement receiveYieldCurve =
YieldCurveFunction.getCurveRequirement(
future.getDenominator(), _receiveCurveName, null, null);
final ValueRequirement spot =
ConventionBasedFXRateFunction.getSpotRateRequirement(
future.getNumerator(), future.getDenominator());
return Sets.newHashSet(payYieldCurve, receiveYieldCurve, spot);
}
