static InstrumentDerivative getDerivative(
final FinancialSecurity security,
final ZonedDateTime now,
final HistoricalTimeSeriesBundle timeSeries,
final String[] curveNames,
final InstrumentDefinition<?> definition,
final FixedIncomeConverterDataProvider definitionConverter) {
final InstrumentDerivative derivative;
if (security instanceof SwapSecurity) {
final SwapSecurity swapSecurity = (SwapSecurity) security;
final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType(swapSecurity);
if (type == InterestRateInstrumentType.SWAP_FIXED_IBOR
|| type == InterestRateInstrumentType.SWAP_FIXED_IBOR_WITH_SPREAD
|| type == InterestRateInstrumentType.SWAP_FIXED_OIS) {
final Frequency resetFrequency;
if (swapSecurity.getPayLeg() instanceof FloatingInterestRateLeg) {
resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getPayLeg()).getFrequency();
} else {
resetFrequency = ((FloatingInterestRateLeg) swapSecurity.getReceiveLeg()).getFrequency();
}
derivative =
definitionConverter.convert(
security,
definition,
now,
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(
security, curveNames, resetFrequency),
timeSeries);
} else {
derivative =
definitionConverter.convert(
security,
definition,
now,
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(
security, curveNames),
timeSeries);
}
} else {
derivative =
definitionConverter.convert(
security,
definition,
now,
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(
security, curveNames),
timeSeries);
}
return derivative;
}
@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;
}
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final SecuritySource securitySource =
OpenGammaExecutionContext.getSecuritySource(executionContext);
final SwaptionSecurity security = (SwaptionSecurity) target.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String curveCalculationConfigName =
desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource =
new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig =
curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException(
"Could not find curve calculation configuration named " + curveCalculationConfigName);
}
String[] curveNames = curveCalculationConfig.getYieldCurveNames(); // TODO
if (curveNames.length == 1) {
curveNames = new String[] {curveNames[0], curveNames[0]};
}
final String[] fullCurveNames = new String[curveNames.length];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
}
final YieldCurveBundle curves =
YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
final Object volatilitySurfaceObject =
inputs.getValue(getVolatilityRequirement(surfaceName, currency));
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException(
"Expecting an InterpolatedDoublesSurface; got "
+ volatilitySurface.getSurface().getClass());
}
final InstrumentDefinition<?> definition = security.accept(_visitor);
final HistoricalTimeSeriesBundle timeSeries =
HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final InstrumentDerivative swaption =
_definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries);
final ValueProperties properties =
getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName);
final ValueSpecification spec =
new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
final BlackFlatSwaptionParameters parameters =
new BlackFlatSwaptionParameters(
volatilitySurface.getSurface(),
SwaptionUtils.getSwapGenerator(security, definition, securitySource));
final YieldCurveWithBlackSwaptionBundle data =
new YieldCurveWithBlackSwaptionBundle(parameters, curves);
return getResult(swaption, data, spec);
}
static Set<ValueRequirement> getDerivativeTimeSeriesRequirements(
final FinancialSecurity security,
final InstrumentDefinition<?> definition,
final FixedIncomeConverterDataProvider definitionConverter) {
return definitionConverter.getConversionTimeSeriesRequirements(security, definition);
}