@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;
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues)
throws AsynchronousExecution {
final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
final ValueRequirement requirement = desiredValues.iterator().next();
final ValueProperties properties = requirement.getConstraints().copy().get();
final LegacyVanillaCDSSecurity security = (LegacyVanillaCDSSecurity) target.getSecurity();
// LegacyVanillaCreditDefaultSwapDefinition cds =
// _converter.visitLegacyVanillaCDSSecurity(security);
final ValueRequirement desiredValue = desiredValues.iterator().next(); // all same constraints
final String quoteConventionString =
desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION);
final StandardCDSQuotingConvention quoteConvention =
StandardCDSQuotingConvention.parse(quoteConventionString);
final CdsRecoveryRateIdentifier recoveryRateIdentifier =
security.accept(
new CreditSecurityToRecoveryRateVisitor(executionContext.getSecuritySource()));
Object recoveryRateObject =
inputs.getValue(
new ValueRequirement(
"PX_LAST",
ComputationTargetType.PRIMITIVE,
recoveryRateIdentifier.getExternalId()));
if (recoveryRateObject == null) {
throw new OpenGammaRuntimeException("Could not get recovery rate");
// s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
// recoveryRateObject = 0.4;
}
final double recoveryRate = (Double) recoveryRateObject;
// get the isda curve
final Object isdaObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
if (isdaObject == null) {
throw new OpenGammaRuntimeException("Couldn't get isda curve");
}
final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) isdaObject;
// spreads
NodalTenorDoubleCurve spreadObject =
(NodalTenorDoubleCurve) inputs.getValue(ValueRequirementNames.BUCKETED_SPREADS);
if (spreadObject == null) {
throw new OpenGammaRuntimeException("Unable to get spreads");
}
final double[] spreads = ArrayUtils.toPrimitive(spreadObject.getYData());
// final String pillarString = IMMDateGenerator.isIMMDate(security.getMaturityDate()) ?
// requirement.getConstraint(ISDAFunctionConstants.ISDA_BUCKET_TENORS) :
// ISDACompliantCreditCurveFunction.NON_IMM_PILLAR_TENORS;
final ZonedDateTime[] bucketDates =
SpreadCurveFunctions.getPillarDates(now, spreadObject.getXData());
final CDSQuoteConvention[] quotes =
SpreadCurveFunctions.getQuotes(
security.getMaturityDate(), spreads, security.getParSpread(), quoteConvention, false);
// spreads
NodalTenorDoubleCurve pillarObject =
(NodalTenorDoubleCurve) inputs.getValue(ValueRequirementNames.PILLAR_SPREADS);
if (pillarObject == null) {
throw new OpenGammaRuntimeException("Unable to get pillars");
}
// CDS analytics for credit curve (possible performance improvement if earlier result obtained)
// final LegacyVanillaCreditDefaultSwapDefinition curveCDS = cds.withStartDate(now);
// security.setStartDate(now); // needed for curve instruments
final CDSAnalytic[] bucketCDSs = new CDSAnalytic[bucketDates.length];
for (int i = 0; i < bucketCDSs.length; i++) {
// security.setMaturityDate(bucketDates[i]);
final CDSAnalyticVisitor visitor =
new CDSAnalyticVisitor(
now.toLocalDate(),
_holidaySource,
_regionSource,
security.getStartDate().toLocalDate(),
bucketDates[i].toLocalDate(),
recoveryRate);
bucketCDSs[i] = security.accept(visitor);
}
final ZonedDateTime[] pillarDates =
SpreadCurveFunctions.getPillarDates(now, pillarObject.getXData());
final CDSAnalytic[] pillarCDSs = new CDSAnalytic[pillarDates.length];
for (int i = 0; i < pillarCDSs.length; i++) {
// security.setMaturityDate(bucketDates[i]);
final CDSAnalyticVisitor visitor =
new CDSAnalyticVisitor(
now.toLocalDate(),
_holidaySource,
_regionSource,
security.getStartDate().toLocalDate(),
pillarDates[i].toLocalDate(),
recoveryRate);
pillarCDSs[i] = security.accept(visitor);
}
final ISDACompliantCreditCurve creditCurve =
(ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
if (creditCurve == null) {
throw new OpenGammaRuntimeException("Couldnt get credit curve");
}
// final CDSAnalytic analytic = CDSAnalyticConverter.create(cds, now.toLocalDate());
final CDSAnalyticVisitor visitor =
new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, recoveryRate);
final CDSAnalytic analytic = security.accept(visitor);
final BuySellProtection buySellProtection =
security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
// final String term = new Tenor(Period.between(security.getStartDate().toLocalDate(),
// security.getMaturityDate().toLocalDate())).getPeriod().toString();
// final Double cdsQuoteDouble = (Double) inputs.getValue(new
// ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
// ComputationTargetType.PRIMITIVE, ExternalId.of("Tenor", term)));
final Double cdsQuoteDouble = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
if (cdsQuoteDouble == null) {
throw new OpenGammaRuntimeException("Couldn't get spread for " + security);
}
final CDSQuoteConvention quote =
SpreadCurveFunctions.getQuotes(
security.getMaturityDate(),
new double[] {cdsQuoteDouble},
security.getParSpread(),
quoteConvention,
true)[0];
boolean isNonIMMFAndFromPUF =
!IMMDateLogic.isIMMDate(security.getMaturityDate().toLocalDate())
&& quote instanceof PointsUpFront;
boolean isNonIMMAndFromSpread =
!IMMDateLogic.isIMMDate(security.getMaturityDate().toLocalDate())
&& (quote instanceof QuotedSpread || quote instanceof ParSpread);
int buySellPremiumFactor = security.isBuy() ? -1 : 1;
final double notional = security.getNotional().getAmount();
final double coupon = security.getParSpread() * ONE_BPS;
final PointsUpFront puf =
getPointsUpfront(quote, buySellProtection, yieldCurve, analytic, creditCurve);
final double accruedPremiumPrim =
isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 : analytic.getAccruedPremium(coupon);
// final double accruedPremium = isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 :
// analytic.getAccruedPremium(coupon) * notional * buySellPremiumFactor;
final double accruedPremium =
isNonIMMAndFromSpread || isNonIMMFAndFromPUF
? 0
: accruedPremiumPrim * notional * buySellPremiumFactor;
final int accruedDays =
isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 : analytic.getAccuredDays();
final double quotedSpread =
getQuotedSpread(quote, puf, buySellProtection, yieldCurve, analytic).getQuotedSpread();
final double upfrontAmount =
isNonIMMAndFromSpread
? 0
: getUpfrontAmount(analytic, puf, notional, accruedPremiumPrim, buySellProtection);
final double cleanPV = puf.getPointsUpFront() * notional;
final double principal = isNonIMMAndFromSpread ? 0 : cleanPV;
final double cleanPrice = getCleanPrice(puf);
final TenorLabelledMatrix1D bucketedCS01 =
getBucketedCS01(
analytic,
bucketCDSs,
spreadObject.getXData(),
quote,
notional,
yieldCurve,
creditCurve);
final double parallelCS01 =
getParallelCS01(
quote,
analytic,
yieldCurve,
notional,
pillarCDSs,
ArrayUtils.toPrimitive(pillarObject.getYData()));
final Set<ComputedValue> results = Sets.newHashSetWithExpectedSize(_valueRequirements.length);
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.ACCRUED_PREMIUM, target.toSpecification(), properties),
accruedPremium));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.ACCRUED_DAYS, target.toSpecification(), properties),
accruedDays));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.QUOTED_SPREAD, target.toSpecification(), properties),
quotedSpread / ONE_BPS));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.UPFRONT_AMOUNT, target.toSpecification(), properties),
upfrontAmount));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.DIRTY_PRESENT_VALUE, target.toSpecification(), properties),
upfrontAmount));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.CLEAN_PRESENT_VALUE, target.toSpecification(), properties),
cleanPV));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.PRINCIPAL, target.toSpecification(), properties),
principal));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.CLEAN_PRICE, target.toSpecification(), properties),
cleanPrice));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.BUCKETED_CS01, target.toSpecification(), properties),
bucketedCS01));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.PARALLEL_CS01, target.toSpecification(), properties),
parallelCS01));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.POINTS_UPFRONT, target.toSpecification(), properties),
puf.getPointsUpFront()));
return results;
}
/**
* Gets a {@code SecuritySource} from the context.
*
* @param context the context to examine, not null
* @return the value, null if not found
*/
public static SecuritySource getSecuritySource(final FunctionExecutionContext context) {
return context.getSecuritySource();
}
