@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Object positionOrNode = getTarget(target);
final ConventionBundleSource conventionSource =
OpenGammaExecutionContext.getConventionBundleSource(executionContext);
final ConventionBundle bundle =
conventionSource.getConventionBundle(
ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
final Clock snapshotClock = executionContext.getValuationClock();
final LocalDate now = snapshotClock.zonedDateTime().toLocalDate();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties constraints = desiredValue.getConstraints();
final Period samplingPeriod =
getSamplingPeriod(constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD));
final LocalDate startDate = now.minus(samplingPeriod);
final HistoricalTimeSeries riskFreeRateTSObject =
(HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
final Object assetPnLObject =
inputs.getValue(
new ValueRequirement(
ValueRequirementNames.PNL_SERIES,
positionOrNode)); // TODO replace with return series when portfolio weights are in
if (assetPnLObject == null) {
throw new OpenGammaRuntimeException("Asset P&L was null");
}
final Object assetFairValueObject =
inputs.getValue(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, positionOrNode));
if (assetFairValueObject == null) {
throw new OpenGammaRuntimeException("Asset fair value was null");
}
final Object betaObject =
inputs.getValue(new ValueRequirement(ValueRequirementNames.CAPM_BETA, positionOrNode));
if (betaObject == null) {
throw new OpenGammaRuntimeException("Beta was null");
}
final double beta = (Double) betaObject;
final double fairValue = (Double) assetFairValueObject;
DoubleTimeSeries<?> assetReturnTS = ((DoubleTimeSeries<?>) assetPnLObject).divide(fairValue);
DoubleTimeSeries<?> riskFreeReturnTS =
riskFreeRateTSObject.getTimeSeries().divide(100 * DAYS_PER_YEAR);
DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(riskFreeReturnTS, assetReturnTS);
riskFreeReturnTS = series[0];
assetReturnTS = series[1];
final TreynorRatioCalculator calculator =
getCalculator(constraints.getValues(ValuePropertyNames.EXCESS_RETURN_CALCULATOR));
final double ratio = calculator.evaluate(assetReturnTS, riskFreeReturnTS, beta);
final ValueProperties resultProperties = getResultProperties(desiredValues.iterator().next());
return Sets.newHashSet(
new ComputedValue(
new ValueSpecification(
new ValueRequirement(
ValueRequirementNames.TREYNOR_RATIO, positionOrNode, resultProperties),
getUniqueId()),
ratio));
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
Set<String> values = constraints.getValues(VALUE_PROPERTY_NAME);
final String inputValue;
if ((values == null) || values.isEmpty()) {
inputValue = DEFAULT_VALUE_NAME;
} else if (values.size() == 1) {
inputValue = values.iterator().next();
} else {
return null;
}
// Propogate the desired value constraints onto the requirements, removing those specific to
// this function and adding a unit homogeneity clause
final ValueProperties.Builder requirementConstraintsBuilder =
constraints.copy().withoutAny(VALUE_PROPERTY_NAME);
for (String unit : UnitProperties.unitPropertyNames()) {
values = constraints.getValues(unit);
if (values == null) {
// Unit was not specified on the output, but we specify it on the inputs so we can check
// homogeneity to ensure the division is valid
requirementConstraintsBuilder.withOptional(unit);
}
}
// Request value on the value and parent
final ValueProperties requirementConstraints = requirementConstraintsBuilder.get();
return ImmutableSet.of(
new ValueRequirement(inputValue, getValueTarget(target), requirementConstraints),
new ValueRequirement(inputValue, getParentTarget(target), requirementConstraints));
}
@Test
public void EmptyProperties() {
final MockPropertyPreservingFunction func = getFunction();
final ValueProperties props = ValueProperties.none();
final ValueProperties expected = ValueProperties.none();
assertEqual(expected, func, props);
}
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());
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> forwardCurveCalculationMethods =
constraints.getValues(CURVE_CALCULATION_METHOD);
if (forwardCurveCalculationMethods == null || forwardCurveCalculationMethods.size() != 1) {
return null;
}
final Set<String> surfaceNames = constraints.getValues(SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final String surfaceName = surfaceNames.iterator().next();
final ValueRequirement forwardCurveRequirement =
getForwardCurveRequirement(target, desiredValue);
final ValueRequirement volatilitySurfaceRequirement =
getVolatilityDataRequirement(
target,
surfaceName,
getInstrumentType(),
getSurfaceQuoteType(),
getSurfaceQuoteUnits());
final ValueRequirement interpolatorRequirement =
getInterpolatorRequirement(target, desiredValue);
return Sets.newHashSet(
interpolatorRequirement, forwardCurveRequirement, volatilitySurfaceRequirement);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
String curveName = null;
String curveCalculationConfig = null;
for (final ValueRequirement requirement : desiredValues) {
final ValueProperties constraints = requirement.getConstraints();
final Set<String> values = constraints.getValues(ValuePropertyNames.CURVE);
if (values != null) {
curveName = values.iterator().next();
}
final Set<String> curveConfigValues =
constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveConfigValues != null) {
curveCalculationConfig = curveConfigValues.iterator().next();
}
}
assert curveName != null;
assert curveCalculationConfig != null;
final RawSecurity security = (RawSecurity) target.getSecurity();
// final BigDecimal qty = target.getPosition().getQuantity();
final ValueRequirement curveRequirement =
getCurveRequirement(target, curveName, curveCalculationConfig);
final Object curveObject = inputs.getValue(curveRequirement);
if (curveObject == null) {
throw new OpenGammaRuntimeException("Could not get " + curveRequirement);
}
Object curveSpecObject = null;
final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(target, curveName);
curveSpecObject = inputs.getValue(curveSpecRequirement);
if (curveSpecObject == null) {
throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
}
final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
final InterpolatedYieldCurveSpecificationWithSecurities curveSpec =
(InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
final LinkedHashMap<String, YieldAndDiscountCurve> interpolatedCurves =
new LinkedHashMap<String, YieldAndDiscountCurve>();
interpolatedCurves.put(curveName, curve);
final YieldCurveBundle bundle = new YieldCurveBundle(interpolatedCurves);
final DoubleMatrix1D sensitivitiesForCurves =
getSensitivities(executionContext.getSecuritySource(), inputs, security, curveSpec, curve);
final ValueProperties.Builder properties =
createValueProperties(target)
.with(ValuePropertyNames.CURVE, curveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig);
final ComputationTargetSpecification targetSpec = target.toSpecification();
final ValueSpecification resultSpec =
new ValueSpecification(YCNS_REQUIREMENT, targetSpec, properties.get());
final Set<ComputedValue> results =
YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(
curveName, bundle, sensitivitiesForCurves, curveSpec, resultSpec);
// s_logger.debug("execute, returning " + results);
return results;
}
private void assertEqualOrdered(
final ValueProperties expected,
final MockPropertyPreservingFunction func,
final Collection<ValueSpecification> specses) {
final ValueProperties resultProperties = func.getResultProperties(specses);
final ValueProperties filteredResult =
resultProperties.copy().withoutAny(ValuePropertyNames.FUNCTION).get();
assertEquals(expected, filteredResult);
}
@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> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final Set<String> curveCalculationConfigNames =
constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
return null;
}
final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource =
new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig =
curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
s_logger.error(
"Could not find curve calculation configuration named " + curveCalculationConfigName);
return null;
}
final Currency currency = FinancialSecurityUtils.getCurrency(target.getSecurity());
if (!ComputationTargetSpecification.of(currency).equals(curveCalculationConfig.getTarget())) {
s_logger.error(
"Security currency and curve calculation config id were not equal; have {} and {}",
currency,
curveCalculationConfig.getTarget());
return null;
}
final String surfaceName = surfaceNames.iterator().next();
final Set<ValueRequirement> requirements = new HashSet<>();
requirements.addAll(
YieldCurveFunctionUtils.getCurveRequirements(
curveCalculationConfig, curveCalculationConfigSource));
requirements.add(getVolatilityRequirement(surfaceName, currency));
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
try {
final Set<ValueRequirement> timeSeriesRequirements =
_definitionConverter.getConversionTimeSeriesRequirements(
security, security.accept(_visitor));
if (timeSeriesRequirements == null) {
return null;
}
requirements.addAll(timeSeriesRequirements);
return requirements;
} catch (final Exception e) {
s_logger.error(e.getMessage());
return null;
}
}
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
Set<ValueRequirement> superReqs = super.getRequirements(context, target, desiredValue);
if (superReqs == null) {
return null;
}
// Test constraints are provided, else set to ""
final ValueProperties constraints = desiredValue.getConstraints();
ValueProperties.Builder scenarioDefaults = null;
final Set<String> priceShiftSet = constraints.getValues(s_priceShift);
if (priceShiftSet == null || priceShiftSet.isEmpty()) {
scenarioDefaults = constraints.copy().withoutAny(s_priceShift).with(s_priceShift, "");
}
final Set<String> priceShiftTypeSet = constraints.getValues(s_priceShiftType);
if (priceShiftTypeSet == null || priceShiftTypeSet.isEmpty()) {
if (scenarioDefaults == null) {
scenarioDefaults =
constraints
.copy()
.withoutAny(s_priceShiftType)
.with(s_priceShiftType, "Multiplicative");
} else {
scenarioDefaults =
scenarioDefaults.withoutAny(s_priceShiftType).with(s_priceShiftType, "Multiplicative");
}
}
final Set<String> volShiftSet = constraints.getValues(s_volShift);
if (volShiftSet == null || volShiftSet.isEmpty()) {
if (scenarioDefaults == null) {
scenarioDefaults = constraints.copy().withoutAny(s_volShift).with(s_volShift, "");
} else {
scenarioDefaults = scenarioDefaults.withoutAny(s_volShift).with(s_volShift, "");
}
}
final Set<String> volShiftSetType = constraints.getValues(s_volShiftType);
if (volShiftSetType == null || volShiftSetType.isEmpty()) {
if (scenarioDefaults == null) {
scenarioDefaults =
constraints.copy().withoutAny(s_volShiftType).with(s_volShiftType, "Multiplicative");
} else {
scenarioDefaults =
scenarioDefaults.withoutAny(s_volShiftType).with(s_volShiftType, "Multiplicative");
}
}
// If defaults have been added, this adds additional copy of the Function into dep graph with
// the adjusted constraints
if (scenarioDefaults != null) {
return Collections.singleton(
new ValueRequirement(
getValueRequirementName(), target.toSpecification(), scenarioDefaults.get()));
} else { // Scenarios are defined, so we're satisfied
return superReqs;
}
}
@Override
public Set<ValueSpecification> getResults(
final FunctionCompilationContext context,
final ComputationTarget target,
final Map<ValueSpecification, ValueRequirement> inputs) {
ValueSpecification inputValue = null;
ValueSpecification inputParent = null;
final UniqueId value = target.getUniqueId();
for (ValueSpecification input : inputs.keySet()) {
if (value.equals(input.getTargetSpecification().getUniqueId())) {
assert inputValue == null;
inputValue = input;
} else {
assert inputParent == null;
inputParent = input;
}
}
final ValueProperties rawResultProperties =
inputValue.getProperties().intersect(inputParent.getProperties());
final ValueProperties.Builder resultPropertiesBuilder = rawResultProperties.copy();
for (String unit : UnitProperties.unitPropertyNames()) {
final Set<String> valueUnits = inputValue.getProperties().getValues(unit);
final Set<String> parentUnits = inputParent.getProperties().getValues(unit);
if (valueUnits != null) {
if (parentUnits != null) {
if (rawResultProperties.getValues(unit) != null) {
// The operation is a division, so there are no units on the result
resultPropertiesBuilder.withoutAny(unit);
} else {
// No common intersection between parent and value properties for this unit
return null;
}
} else {
// Parent did not include the same units as the value
return null;
}
} else {
if (parentUnits != null) {
// Value did not include the same units as the parent
return null;
}
}
}
resultPropertiesBuilder
.withoutAny(VALUE_PROPERTY_NAME)
.with(VALUE_PROPERTY_NAME, inputValue.getValueName());
resultPropertiesBuilder
.withoutAny(ValuePropertyNames.FUNCTION)
.with(ValuePropertyNames.FUNCTION, getUniqueId());
return Collections.singleton(
new ValueSpecification(
ValueRequirementNames.WEIGHT, target.toSpecification(), resultPropertiesBuilder.get()));
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> forwardCurveNames =
constraints.getValues(YieldCurveFunction.PROPERTY_FORWARD_CURVE);
if (forwardCurveNames == null || forwardCurveNames.size() != 1) {
return null;
}
final Set<String> fundingCurveNames =
constraints.getValues(YieldCurveFunction.PROPERTY_FUNDING_CURVE);
if (fundingCurveNames == null || fundingCurveNames.size() != 1) {
return null;
}
final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final Set<String> curveCalculationMethods =
constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_METHOD);
if (curveCalculationMethods == null || curveCalculationMethods.size() != 1) {
return null;
}
final String forwardCurveName = forwardCurveNames.iterator().next();
final String fundingCurveName = fundingCurveNames.iterator().next();
final String surfaceName = surfaceNames.iterator().next();
final String curveCalculationMethod = curveCalculationMethods.iterator().next();
final Set<ValueRequirement> requirements = Sets.newHashSetWithExpectedSize(4);
final Currency currency = FinancialSecurityUtils.getCurrency(target.getSecurity());
requirements.add(
getCurveRequirement(
forwardCurveName,
forwardCurveName,
fundingCurveName,
curveCalculationMethod,
currency));
requirements.add(
getCurveRequirement(
fundingCurveName,
forwardCurveName,
fundingCurveName,
curveCalculationMethod,
currency));
requirements.add(getVolatilityRequirement(surfaceName, currency));
return requirements;
}
private ValueSpecification getSpec(final ValueProperties props) {
final Builder realProps = props.copy().with(ValuePropertyNames.FUNCTION, "SomeFunc");
final ValueSpecification spec =
new ValueSpecification(
"X", ComputationTargetSpecification.of(Currency.USD), realProps.get());
return spec;
}
@Override
public Set<ValueSpecification> getResults(
final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(
new ValueSpecification(
ValueRequirementNames.WEIGHT, target.toSpecification(), ValueProperties.all()));
}
@Override
public Set<ValueSpecification> getResults(
final FunctionCompilationContext context, final ComputationTarget target) {
return Sets.newHashSet(
new ValueSpecification(
ValueRequirementNames.PNL_SERIES, target.toSpecification(), ValueProperties.all()));
}
@Override
public Set<ValueSpecification> getResults(
FunctionCompilationContext context, ComputationTarget target) {
return ImmutableSet.of(
new ValueSpecification(
ValueRequirementNames.TARGET, target.toSpecification(), ValueProperties.all()));
}
// 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());
}
@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);
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveCalculationConfigNames =
constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
return null;
}
final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource =
new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig =
curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
s_logger.error(
"Could not find curve calculation configuration named " + curveCalculationConfigName);
return null;
}
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
if (!currency.equals(curveCalculationConfig.getUniqueId())) {
s_logger.error(
"Security currency and curve calculation config id were not equal; have {} and {}",
currency,
curveCalculationConfig.getUniqueId());
}
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
requirements.addAll(
YieldCurveFunctionUtils.getCurveRequirements(
curveCalculationConfig, curveCalculationConfigSource));
final Set<ValueRequirement> timeSeriesRequirements =
getDerivativeTimeSeriesRequirements(
security, security.accept(_visitor), _definitionConverter);
if (timeSeriesRequirements == null) {
return null;
}
requirements.addAll(timeSeriesRequirements);
return requirements;
}
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());
}
protected ValueRequirement getCurveRequirement(
final ComputationTarget target, final String curveName, final String curveCalculationConfig) {
final Currency currency = FinancialSecurityUtils.getCurrency(target.getSecurity());
final ValueProperties.Builder properties =
ValueProperties.with(ValuePropertyNames.CURVE, curveName);
properties.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig);
return new ValueRequirement(
ValueRequirementNames.YIELD_CURVE,
ComputationTargetSpecification.of(currency),
properties.get());
}
@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;
}
@Override
protected String getFCHTSStart(ValueProperties constraints) {
Set<String> startDates =
constraints.getValues(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY);
if (startDates == null || startDates.size() != 1) {
return null;
}
String startDate = Iterables.getOnlyElement(startDates);
Set<String> volWeightingStartDates =
constraints.getValues(
VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_START_DATE_PROPERTY);
if (volWeightingStartDates == null || volWeightingStartDates.size() != 1) {
// NOTE jonathan 2013-04-29 -- should start a day earlier so the result after weighting starts
// at the startDate,
// but need to know previous date with data
return startDate;
} else {
return Iterables.getOnlyElement(volWeightingStartDates);
}
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> curveNames = constraints.getValues(CURVE);
if (curveNames == null || curveNames.size() != 1) {
return null;
}
final Set<String> curveExposureConfigs = constraints.getValues(CURVE_EXPOSURES);
if (curveExposureConfigs == null) {
return null;
}
final Set<String> curveType = constraints.getValues(PROPERTY_CURVE_TYPE);
if (curveType == null) {
return null;
}
if (super.getRequirements(context, target, desiredValue) == null) {
return null;
}
final Set<ValueRequirement> requirements = new HashSet<>();
final ValueProperties curveProperties = ValueProperties.with(CURVE, curveNames).get();
final ValueProperties properties =
ValueProperties.with(PROPERTY_CURVE_TYPE, curveType)
.with(CURVE_EXPOSURES, curveExposureConfigs)
.get();
requirements.add(
new ValueRequirement(
CURVE_DEFINITION, ComputationTargetSpecification.NULL, curveProperties));
requirements.add(
new ValueRequirement(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties));
return requirements;
}
@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();
}
@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);
}
@Override
public Set<ValueRequirement> getRequirements(
final FunctionCompilationContext context,
final ComputationTarget target,
final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> cutoffNames =
constraints.getValues(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE);
if (cutoffNames == null || cutoffNames.size() != 1) {
return null;
}
final Set<String> muNames =
constraints.getValues(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER);
if (muNames == null || muNames.size() != 1) {
return null;
}
return requirements;
}
