@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Position position = target.getPosition();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
final FXForwardSecurity security = (FXForwardSecurity) position.getSecurity();
final MultipleCurrencyAmount mca =
(MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
final Currency payCurrency = security.getPayCurrency();
final Currency receiveCurrency = security.getReceiveCurrency();
final CurrencyPair currencyPair =
_currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency baseCurrency = currencyPair.getBase();
final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
final double exposure = mca.getAmount(currencyNonBase);
final ValueSpecification spec =
new ValueSpecification(
ValueRequirementNames.PNL_SERIES,
target.toSpecification(),
desiredValue.getConstraints());
if (resultCurrencies == null || resultCurrencies.size() != 1) {
s_logger.warn("No Currency property - returning result in base currency");
final LocalDateDoubleTimeSeries fxSpotReturnSeries =
(LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.RETURN_SERIES);
final LocalDateDoubleTimeSeries pnlSeries =
fxSpotReturnSeries.multiply(
position.getQuantity().doubleValue()
* exposure); // The P/L time series is in the base currency
return Collections.singleton(new ComputedValue(spec, pnlSeries));
}
final Currency resultCurrency = Currency.of(Iterables.getOnlyElement(resultCurrencies));
final LocalDateDoubleTimeSeries conversionTS =
(LocalDateDoubleTimeSeries) inputs.getValue(HISTORICAL_FX_TIME_SERIES);
if (conversionTS == null) {
throw new OpenGammaRuntimeException(
"Asked for result in "
+ resultCurrency
+ " but could not get "
+ baseCurrency
+ "/"
+ resultCurrency
+ " conversion series");
}
if (resultCurrency.equals(baseCurrency)) {
final LocalDateDoubleTimeSeries fxSpotReturnSeries =
(LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.RETURN_SERIES);
final LocalDateDoubleTimeSeries convertedSeries =
conversionTS
.reciprocal()
.multiply(
position.getQuantity().doubleValue()
* exposure); // The P/L time series is in the base currency
final LocalDateDoubleTimeSeries pnlSeries =
fxSpotReturnSeries.multiply(
convertedSeries); // The P/L time series is in the base currency
return Collections.singleton(new ComputedValue(spec, pnlSeries));
}
final LocalDateDoubleTimeSeries fxSpotReturnSeries =
(LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.RETURN_SERIES);
final LocalDateDoubleTimeSeries convertedSeries =
conversionTS.multiply(
position.getQuantity().doubleValue()
* exposure); // The P/L time series is in the base currency
final LocalDateDoubleTimeSeries pnlSeries = convertedSeries.multiply(fxSpotReturnSeries);
return Collections.singleton(new ComputedValue(spec, pnlSeries));
}
@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> payCurveCalculationConfigs =
constraints.getValues(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG);
if (payCurveCalculationConfigs == null || payCurveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> receiveCurveNames = constraints.getValues(ValuePropertyNames.RECEIVE_CURVE);
if (receiveCurveNames == null || receiveCurveNames.size() != 1) {
return null;
}
final Set<String> receiveCurveCalculationConfigs =
constraints.getValues(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG);
if (receiveCurveCalculationConfigs == null || receiveCurveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> calculationMethods =
constraints.getValues(ValuePropertyNames.CALCULATION_METHOD);
if (calculationMethods == null || calculationMethods.size() != 1) {
final ValueProperties newConstraints =
constraints
.copy()
.withoutAny(ValuePropertyNames.CALCULATION_METHOD)
.with(
ValuePropertyNames.CALCULATION_METHOD,
CalculationPropertyNamesAndValues.DISCOUNTING)
.get();
return Collections.singleton(
new ValueRequirement(
ValueRequirementNames.PNL_SERIES, target.toSpecification(), newConstraints));
}
final Set<ValueRequirement> requirements = new HashSet<>();
final String calculationMethod = Iterables.getOnlyElement(calculationMethods);
final FinancialSecurity security = (FinancialSecurity) target.getPosition().getSecurity();
if (CalculationPropertyNamesAndValues.DISCOUNTING.equals(calculationMethod)) {
requirements.add(
new ValueRequirement(
ValueRequirementNames.FX_CURRENCY_EXPOSURE,
ComputationTargetSpecification.of(target.getPosition().getSecurity()),
ValueProperties.builder()
.with(
ValuePropertyNames.CALCULATION_METHOD,
CalculationPropertyNamesAndValues.DISCOUNTING)
.with(ValuePropertyNames.PAY_CURVE, payCurveNames.iterator().next())
.with(
ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG,
payCurveCalculationConfigs.iterator().next())
.with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveNames.iterator().next())
.with(
ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG,
receiveCurveCalculationConfigs.iterator().next())
.get()));
} else if (CalculationPropertyNamesAndValues.FORWARD_POINTS.equals(calculationMethod)) {
final Set<String> forwardCurveNames =
constraints.getValues(ValuePropertyNames.FORWARD_CURVE_NAME);
if (forwardCurveNames == null || forwardCurveNames.size() != 1) {
return null;
}
final String forwardCurveName = Iterables.getOnlyElement(forwardCurveNames);
requirements.add(
new ValueRequirement(
ValueRequirementNames.FX_CURRENCY_EXPOSURE,
ComputationTargetSpecification.of(target.getPosition().getSecurity()),
ValueProperties.builder()
.with(
ValuePropertyNames.CALCULATION_METHOD,
CalculationPropertyNamesAndValues.FORWARD_POINTS)
.with(ValuePropertyNames.PAY_CURVE, payCurveNames.iterator().next())
.with(
ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG,
payCurveCalculationConfigs.iterator().next())
.with(ValuePropertyNames.RECEIVE_CURVE, receiveCurveNames.iterator().next())
.with(
ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG,
receiveCurveCalculationConfigs.iterator().next())
.with(ValuePropertyNames.FORWARD_CURVE_NAME, forwardCurveName)
.get()));
} else {
return null;
}
final Set<String> resultCurrencies = constraints.getValues(CURRENCY);
final Currency payCurrency = security.accept(ForexVisitors.getPayCurrencyVisitor());
final Currency receiveCurrency = security.accept(ForexVisitors.getReceiveCurrencyVisitor());
final String resultCurrency;
final CurrencyPair baseQuotePair =
_currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency baseCurrency = baseQuotePair.getBase();
final Currency nonBaseCurrency = baseQuotePair.getCounter();
if (resultCurrencies != null && resultCurrencies.size() == 1) {
final Currency ccy = Currency.of(Iterables.getOnlyElement(resultCurrencies));
if (!(ccy.equals(payCurrency) || ccy.equals(receiveCurrency))) {
requirements.add(
ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(
UnorderedCurrencyPair.of(baseCurrency, ccy)));
resultCurrency = ccy.getCode();
} else if (ccy.equals(nonBaseCurrency)) {
requirements.add(
ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(
UnorderedCurrencyPair.of(nonBaseCurrency, baseCurrency)));
resultCurrency = nonBaseCurrency.getCode();
} else {
requirements.add(
ConventionBasedFXRateFunction.getHistoricalTimeSeriesRequirement(
UnorderedCurrencyPair.of(baseCurrency, nonBaseCurrency)));
resultCurrency = baseCurrency.getCode();
}
} else {
resultCurrency = baseCurrency.getCode();
}
final ValueProperties fxSpotConstraints =
desiredValue
.getConstraints()
.copy()
.withoutAny(ValuePropertyNames.PAY_CURVE)
.withoutAny(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG)
.withoutAny(ValuePropertyNames.RECEIVE_CURVE)
.withoutAny(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG)
.withoutAny(ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS)
.withoutAny(ValuePropertyNames.CURVE_CURRENCY)
.withoutAny(ValuePropertyNames.CALCULATION_METHOD)
.withoutAny(ValuePropertyNames.FORWARD_CURVE_NAME)
.with(CURRENCY, resultCurrency)
.withOptional(CURRENCY)
.get();
final ComputationTargetSpecification fxSpotReturnSeriesSpec =
ComputationTargetType.UNORDERED_CURRENCY_PAIR.specification(
UnorderedCurrencyPair.of(payCurrency, receiveCurrency));
requirements.add(
new ValueRequirement(
ValueRequirementNames.RETURN_SERIES, fxSpotReturnSeriesSpec, fxSpotConstraints));
return requirements;
}
