@SuppressWarnings("unchecked")
 @Override
 public Set<ComputedValue> execute(
     final FunctionExecutionContext executionContext,
     final FunctionInputs inputs,
     final ComputationTarget target,
     final Set<ValueRequirement> desiredValues) {
   final HistoricalTimeSeriesSource timeSeriesSource =
       OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
   final ValueRequirement desiredValue = desiredValues.iterator().next();
   Object value = timeSeriesSource.getLatestDataPoint(target.getUniqueId());
   if (value == null) {
     value = MissingMarketDataSentinel.getInstance();
   } else {
     final String adjusterString =
         desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.ADJUST_PROPERTY);
     final HistoricalTimeSeriesAdjustment htsa =
         HistoricalTimeSeriesAdjustment.parse(adjusterString);
     value = htsa.adjust(((Pair<LocalDate, Double>) value).getValue());
   }
   return Collections.singleton(
       new ComputedValue(
           new ValueSpecification(
               desiredValue.getValueName(),
               desiredValue.getTargetSpecification(),
               desiredValue.getConstraints()),
           value));
 }
コード例 #2
0
  private static List<RequirementBasedColumnKey> getRequirements(
      ViewDefinition viewDefinition, EnumSet<ComputationTargetType> targetTypes) {
    List<RequirementBasedColumnKey> result = new ArrayList<RequirementBasedColumnKey>();
    for (ViewCalculationConfiguration calcConfig :
        viewDefinition.getAllCalculationConfigurations()) {
      String calcConfigName = calcConfig.getName();
      if (targetTypes.contains(ComputationTargetType.POSITION)
          || targetTypes.contains(ComputationTargetType.PORTFOLIO_NODE)) {
        for (Pair<String, ValueProperties> portfolioOutput :
            calcConfig.getAllPortfolioRequirements()) {
          String valueName = portfolioOutput.getFirst();
          ValueProperties constraints = portfolioOutput.getSecond();
          RequirementBasedColumnKey columnKey =
              new RequirementBasedColumnKey(calcConfigName, valueName, constraints);
          result.add(columnKey);
        }
      }

      for (ValueRequirement specificRequirement : calcConfig.getSpecificRequirements()) {
        if (!targetTypes.contains(specificRequirement.getTargetSpecification().getType())) {
          continue;
        }
        String valueName = specificRequirement.getValueName();
        ValueProperties constraints = specificRequirement.getConstraints();
        RequirementBasedColumnKey columnKey =
            new RequirementBasedColumnKey(calcConfigName, valueName, constraints);
        result.add(columnKey);
      }
    }
    return result;
  }
コード例 #3
0
 @Override
 public Set<ValueSpecification> getResults(
     final FunctionCompilationContext context,
     final ComputationTarget target,
     final Map<ValueSpecification, ValueRequirement> inputs) {
   if (inputs.size() == 1) {
     final ValueSpecification input = Iterables.getOnlyElement(inputs.keySet());
     if (ValueRequirementNames.PNL_SERIES.equals(input.getValueName())) {
       return Collections.singleton(input);
     }
   }
   final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
   final CurrencyPair currencyPair =
       _currencyPairs.getCurrencyPair(security.getPayCurrency(), security.getReceiveCurrency());
   if (currencyPair == null) {
     return null;
   }
   final Currency currencyBase = currencyPair.getBase();
   String resultCurrency = null;
   final ValueProperties.Builder builder = createValueProperties();
   for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
     final ValueSpecification inputSpec = entry.getKey();
     final ValueRequirement inputReq = entry.getValue();
     if (inputReq.getValueName().equals(RETURN_SERIES)) {
       final Set<String> resultCurrencies = inputReq.getConstraints().getValues(CURRENCY);
       if (resultCurrencies != null && resultCurrencies.size() == 1) {
         resultCurrency = inputReq.getConstraint(CURRENCY);
       } else {
         resultCurrency = currencyBase.getCode();
       }
     }
     for (final String propertyName : inputSpec.getProperties().getProperties()) {
       if (ValuePropertyNames.FUNCTION.equals(propertyName)) {
         continue;
       }
       final Set<String> values = inputSpec.getProperties().getValues(propertyName);
       if (values == null || values.isEmpty()) {
         builder.withAny(propertyName);
       } else {
         builder.with(propertyName, values);
       }
     }
   }
   if (resultCurrency == null) {
     return null;
   }
   builder
       .with(ValuePropertyNames.CURRENCY, resultCurrency)
       .with(
           ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS,
           ValueRequirementNames.FX_CURRENCY_EXPOSURE);
   return ImmutableSet.of(
       new ValueSpecification(
           ValueRequirementNames.PNL_SERIES, target.toSpecification(), builder.get()));
 }
コード例 #4
0
 /**
  * Simplifies the type based on the associated {@link ComputationTargetResolver}.
  *
  * @param valueReq the requirement to process, not null
  * @return the possibly simplified requirement, not null
  */
 public ValueRequirement simplifyType(final ValueRequirement valueReq) {
   final ComputationTargetReference oldTargetRef = valueReq.getTargetReference();
   final ComputationTargetReference newTargetRef =
       ComputationTargetResolverUtils.simplifyType(
           oldTargetRef, getCompilationContext().getComputationTargetResolver());
   if (newTargetRef == oldTargetRef) {
     return valueReq;
   } else {
     return MemoryUtils.instance(
         new ValueRequirement(valueReq.getValueName(), newTargetRef, valueReq.getConstraints()));
   }
 }
コード例 #5
0
 /**
  * Creates a new specification to satisfy the given requirement.
  *
  * <p>The properties must include the function identifier and be able to satisfy the constraints
  * of the original requirement.
  *
  * @param requirementSpecification a requirement, not null
  * @param properties the value properties, not null and must include the function identifier
  */
 public ValueSpecification(
     final ValueRequirement requirementSpecification, final ValueProperties properties) {
   ArgumentChecker.notNull(requirementSpecification, "requirementSpecification");
   ArgumentChecker.notNull(properties, "properties");
   ArgumentChecker.notNull(
       properties.getValues(ValuePropertyNames.FUNCTION), "properties.FUNCTION");
   assert requirementSpecification.getConstraints().isSatisfiedBy(properties);
   // requirement specification interns its valueName
   _valueName = requirementSpecification.getValueName();
   _targetSpecification = requirementSpecification.getTargetSpecification();
   _properties = properties;
 }
コード例 #6
0
 /**
  * Creates a new specification to satisfy the the given requirement.
  *
  * <p>The properties of the new specification are the constraints from the requirement with the
  * function identifier added.
  *
  * @param requirementSpecification a value requirement, not null
  * @param functionIdentifier the unique identifier of the function producing this value, not null
  */
 public ValueSpecification(
     final ValueRequirement requirementSpecification, final String functionIdentifier) {
   ArgumentChecker.notNull(requirementSpecification, "requirementSpecification");
   ArgumentChecker.notNull(functionIdentifier, "functionIdentifier");
   // requirement specification interns its valueName
   _valueName = requirementSpecification.getValueName();
   _targetSpecification = requirementSpecification.getTargetSpecification();
   _properties =
       requirementSpecification
           .getConstraints()
           .copy()
           .with(ValuePropertyNames.FUNCTION, functionIdentifier)
           .get();
 }
コード例 #7
0
 @Override
 public ComputedValue getComputedValue(final ValueRequirement requirement) {
   final Pair<String, Object> key =
       Pair.of(
           requirement.getValueName(),
           targetSpecKey(_resolver.getTargetSpecification(requirement.getTargetReference())));
   final ComputedValue[] values = _valuesByRequirement.get(key);
   if (values != null) {
     for (final ComputedValue value : values) {
       // Shortcut to check the properties as we already know the name and target match
       if (requirement.getConstraints().isSatisfiedBy(value.getSpecification().getProperties())) {
         return value;
       }
     }
   }
   return null;
 }
 @Override
 public Set<ValueSpecification> getResults(
     final FunctionCompilationContext context,
     final ComputationTarget target,
     final Map<ValueSpecification, ValueRequirement> inputs) {
   String currencyPairConfigName = null;
   String payCurveName = null;
   String payCurveCalculationConfig = null;
   String receiveCurveName = null;
   String receiveCurveCalculationConfig = null;
   String daysForward = null;
   for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
     final ValueSpecification specification = entry.getKey();
     final ValueRequirement requirement = entry.getValue();
     if (specification.getValueName().equals(ValueRequirementNames.CURRENCY_PAIRS)) {
       currencyPairConfigName =
           specification.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
       daysForward = requirement.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
     } else if (requirement.getValueName().equals(ValueRequirementNames.YIELD_CURVE)) {
       final ValueProperties constraints = requirement.getConstraints();
       if (constraints.getProperties().contains(ValuePropertyNames.PAY_CURVE)) {
         payCurveName = Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE));
         payCurveCalculationConfig =
             Iterables.getOnlyElement(
                 constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
       } else if (constraints.getProperties().contains(ValuePropertyNames.RECEIVE_CURVE)) {
         receiveCurveName =
             Iterables.getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE));
         receiveCurveCalculationConfig =
             Iterables.getOnlyElement(
                 constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG));
       }
     }
   }
   assert currencyPairConfigName != null;
   final CurrencyPairs baseQuotePairs =
       OpenGammaCompilationContext.getCurrencyPairsSource(context)
           .getCurrencyPairs(currencyPairConfigName);
   final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
   final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
   final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
   final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(payCurrency, receiveCurrency);
   if (baseQuotePair == null) {
     s_logger.error(
         "Could not get base/quote pair for currency pair ("
             + payCurrency
             + ", "
             + receiveCurrency
             + ")");
     return null;
   }
   final ValueSpecification resultSpec =
       new ValueSpecification(
           getValueRequirementName(),
           target.toSpecification(),
           getResultProperties(
                   target,
                   payCurveName,
                   receiveCurveName,
                   payCurveCalculationConfig,
                   receiveCurveCalculationConfig,
                   baseQuotePair,
                   daysForward)
               .get());
   return Collections.singleton(resultSpec);
 }
コード例 #9
0
    @Override
    public Set<ComputedValue> execute(
        final FunctionExecutionContext executionContext,
        final FunctionInputs inputs,
        final ComputationTarget target,
        final Set<ValueRequirement> desiredValues)
        throws AsynchronousExecution {
      final Object originalCurveObject = inputs.getValue(YIELD_CURVE);
      if (originalCurveObject == null) {
        throw new OpenGammaRuntimeException("Could not get original curve");
      }
      ValueProperties resultCurveProperties = null;
      String absoluteToleranceName = null;
      String relativeToleranceName = null;
      String iterationsName = null;
      String decompositionName = null;
      String useFiniteDifferenceName = null;
      for (final ValueRequirement desiredValue : desiredValues) {
        if (desiredValue.getValueName().equals(YIELD_CURVE)) {
          absoluteToleranceName =
              desiredValue.getConstraint(
                  MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_ABSOLUTE_TOLERANCE);
          relativeToleranceName =
              desiredValue.getConstraint(
                  MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_RELATIVE_TOLERANCE);
          iterationsName =
              desiredValue.getConstraint(
                  MultiYieldCurvePropertiesAndDefaults.PROPERTY_ROOT_FINDER_MAX_ITERATIONS);
          decompositionName =
              desiredValue.getConstraint(
                  MultiYieldCurvePropertiesAndDefaults.PROPERTY_DECOMPOSITION);
          useFiniteDifferenceName =
              desiredValue.getConstraint(
                  MultiYieldCurvePropertiesAndDefaults.PROPERTY_USE_FINITE_DIFFERENCE);
          resultCurveProperties = desiredValue.getConstraints().copy().get();
          break;
        }
      }
      if (resultCurveProperties == null) {
        throw new OpenGammaRuntimeException("Could not get result curve properties");
      }
      final ValueProperties resultJacobianProperties = resultCurveProperties.withoutAny(CURVE);
      ZonedDateTime valuationDateTime =
          executionContext
              .getValuationTime()
              .atZone(executionContext.getValuationClock().getZone());
      final HolidaySource holidaySource =
          OpenGammaExecutionContext.getHolidaySource(executionContext);
      final ConventionSource conventionSource =
          OpenGammaExecutionContext.getConventionSource(executionContext);
      final Calendar calendar = CalendarUtils.getCalendar(holidaySource, _currency);
      final DepositConvention convention =
          conventionSource.getSingle(
              ExternalId.of(SCHEME_NAME, getConventionName(_currency, DEPOSIT)),
              DepositConvention.class);
      final int spotLag = convention.getSettlementDays();
      final ExternalId conventionSettlementRegion = convention.getRegionCalendar();
      ZonedDateTime spotDate;
      if (spotLag == 0 && conventionSettlementRegion == null) {
        spotDate = valuationDateTime;
      } else {
        spotDate = ScheduleCalculator.getAdjustedDate(valuationDateTime, spotLag, calendar);
        ;
      }
      final YieldCurveBundle curves = new YieldCurveBundle();
      final String fullYieldCurveName = _originalCurveName + "_" + _currency;
      curves.setCurve(fullYieldCurveName, (YieldAndDiscountCurve) originalCurveObject);
      final int n = _impliedDefinition.getStrips().size();
      final double[] t = new double[n];
      final double[] r = new double[n];
      int i = 0;
      final DayCount dayCount =
          DayCountFactory.INSTANCE.getDayCount(
              "Act/360"); // TODO: Get the convention from the curve.

      final String impliedDepositCurveName = _curveCalculationConfig + "_" + _currency.getCode();
      final List<InstrumentDerivative> derivatives = new ArrayList<>();

      for (final FixedIncomeStrip strip : _impliedDefinition.getStrips()) {
        final Tenor tenor = strip.getCurveNodePointTime();
        final ZonedDateTime paymentDate =
            ScheduleCalculator.getAdjustedDate(
                spotDate, tenor.getPeriod(), MOD_FOL, calendar, true);
        final double startTime = TimeCalculator.getTimeBetween(valuationDateTime, spotDate);
        final double endTime = TimeCalculator.getTimeBetween(valuationDateTime, paymentDate);
        final double accrualFactor = dayCount.getDayCountFraction(spotDate, paymentDate, calendar);
        final Cash cashFXCurve =
            new Cash(_currency, startTime, endTime, 1, 0, accrualFactor, fullYieldCurveName);
        final double parRate = METHOD_CASH.parRate(cashFXCurve, curves);
        final Cash cashDepositCurve =
            new Cash(_currency, startTime, endTime, 1, 0, accrualFactor, impliedDepositCurveName);
        derivatives.add(cashDepositCurve);
        t[i] = endTime;
        r[i++] = parRate;
      }
      final CombinedInterpolatorExtrapolator interpolator =
          CombinedInterpolatorExtrapolatorFactory.getInterpolator(
              _interpolatorName, _leftExtrapolatorName, _rightExtrapolatorName);
      final double absoluteTolerance = Double.parseDouble(absoluteToleranceName);
      final double relativeTolerance = Double.parseDouble(relativeToleranceName);
      final int iterations = Integer.parseInt(iterationsName);
      final Decomposition<?> decomposition =
          DecompositionFactory.getDecomposition(decompositionName);
      final boolean useFiniteDifference = Boolean.parseBoolean(useFiniteDifferenceName);
      final LinkedHashMap<String, double[]> curveNodes = new LinkedHashMap<>();
      final LinkedHashMap<String, Interpolator1D> interpolators = new LinkedHashMap<>();
      curveNodes.put(impliedDepositCurveName, t);
      interpolators.put(impliedDepositCurveName, interpolator);
      final FXMatrix fxMatrix = new FXMatrix();
      final YieldCurveBundle knownCurve = new YieldCurveBundle();
      final MultipleYieldCurveFinderDataBundle data =
          new MultipleYieldCurveFinderDataBundle(
              derivatives, r, knownCurve, curveNodes, interpolators, useFiniteDifference, fxMatrix);
      final NewtonVectorRootFinder rootFinder =
          new BroydenVectorRootFinder(
              absoluteTolerance, relativeTolerance, iterations, decomposition);
      final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator =
          new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
      final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator =
          new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
      final double[] fittedYields =
          rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(r)).getData();
      final DoubleMatrix2D jacobianMatrix =
          jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
      final YieldCurve impliedDepositCurve =
          new YieldCurve(
              impliedDepositCurveName,
              InterpolatedDoublesCurve.from(t, fittedYields, interpolator));
      final ValueSpecification curveSpec =
          new ValueSpecification(YIELD_CURVE, target.toSpecification(), resultCurveProperties);
      final ValueSpecification jacobianSpec =
          new ValueSpecification(
              YIELD_CURVE_JACOBIAN, target.toSpecification(), resultJacobianProperties);
      return Sets.newHashSet(
          new ComputedValue(curveSpec, impliedDepositCurve),
          new ComputedValue(jacobianSpec, jacobianMatrix));
    }