@Override
protected Set<ComputedValue> getResult(
final ForexDerivative fxOption,
final SmileDeltaTermStructureDataBundle data,
final FunctionInputs inputs,
final ComputationTarget target) {
final MultipleCurrencyAmount result = CALCULATOR.visit(fxOption, data);
final int n = result.size();
final Currency[] keys = new Currency[n];
final double[] values = new double[n];
int i = 0;
for (final CurrencyAmount ca : result) {
keys[i] = ca.getCurrency();
values[i++] = ca.getAmount();
}
final ValueProperties properties =
createValueProperties()
.with(ValuePropertyNames.PAY_CURVE, getPutCurveName())
.with(ValuePropertyNames.RECEIVE_CURVE, getCallCurveName())
.with(ValuePropertyNames.SURFACE, getSurfaceName())
.get();
final ValueSpecification spec =
new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties);
return Collections.singleton(
new ComputedValue(spec, new CurrencyLabelledMatrix1D(keys, values)));
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final FXFutureSecurity security = (FXFutureSecurity) target.getSecurity();
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final Currency payCurrency = security.getNumerator();
final Object payCurveObject =
inputs.getValue(
YieldCurveFunction.getCurveRequirement(payCurrency, _payCurveName, null, null));
if (payCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get " + _payCurveName + " curve");
}
final Currency receiveCurrency = security.getDenominator();
final Object receiveCurveObject =
inputs.getValue(
YieldCurveFunction.getCurveRequirement(receiveCurrency, _receiveCurveName, null, null));
if (receiveCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get " + _receiveCurveName + " curve");
}
// TODO: The convention is only looked up here so that we can convert the spot rate; would be
// better to request the spot rate using the correct currency pair in the first place
final CurrencyPairs currencyPairs =
OpenGammaExecutionContext.getCurrencyPairsSource(executionContext)
.getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(payCurrency, receiveCurrency);
final Currency currencyBase = currencyPair.getBase();
final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get market data for spot rate");
}
double spot = (Double) spotObject;
if (!receiveCurrency.equals(currencyBase) && receiveCurrency.equals(security.getCurrency())) {
spot = 1. / spot;
}
final YieldAndDiscountCurve payCurve = (YieldAndDiscountCurve) payCurveObject;
final YieldAndDiscountCurve receiveCurve = (YieldAndDiscountCurve) receiveCurveObject;
final SimpleFXFutureDataBundle data =
new SimpleFXFutureDataBundle(payCurve, receiveCurve, spot);
final SimpleInstrument instrument = security.accept(CONVERTER).toDerivative(now);
final CurrencyAmount pv = instrument.accept(CALCULATOR, data);
final ValueProperties properties =
createValueProperties()
.with(ValuePropertyNames.PAY_CURVE, _payCurveName)
.with(ValuePropertyNames.RECEIVE_CURVE, _receiveCurveName)
.with(ValuePropertyNames.CURRENCY, pv.getCurrency().getCode())
.get();
final ValueSpecification spec =
new ValueSpecification(
ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, pv.getAmount()));
}
public static CurrencyLabelledMatrix1D getMultipleCurrencyAmountAsMatrix(
final MultipleCurrencyAmount mca) {
ArgumentChecker.notNull(mca, "multiple currency amount");
final int n = mca.size();
final Currency[] keys = new Currency[n];
final double[] values = new double[n];
int i = 0;
for (final CurrencyAmount ca : mca) {
keys[i] = ca.getCurrency();
values[i++] = ca.getAmount();
}
return new CurrencyLabelledMatrix1D(keys, values);
}
@Test
public void testPayCashFlowsNoNetting() {
for (final InstrumentDefinition<?> definition : NO_NETTING_PAY_INSTRUMENTS) {
final TreeMap<LocalDate, MultipleCurrencyAmount> pay =
new TreeMap<LocalDate, MultipleCurrencyAmount>(definition.accept(PAY_CASH_FLOWS));
final TreeMap<LocalDate, MultipleCurrencyAmount> netted =
new TreeMap<LocalDate, MultipleCurrencyAmount>(definition.accept(VISITOR));
assertEquals(pay.size(), netted.size());
assertEquals(pay.keySet(), netted.keySet());
final Iterator<Map.Entry<LocalDate, MultipleCurrencyAmount>> nettedIterator =
netted.entrySet().iterator();
for (final Map.Entry<LocalDate, MultipleCurrencyAmount> payEntry : pay.entrySet()) {
final Map.Entry<LocalDate, MultipleCurrencyAmount> nettedEntry = nettedIterator.next();
assertEquals(payEntry.getKey(), nettedEntry.getKey());
assertEquals(payEntry.getValue().size(), nettedEntry.getValue().size());
final Iterator<CurrencyAmount> nettedMCAIterator = nettedEntry.getValue().iterator();
for (final CurrencyAmount payCA : payEntry.getValue()) {
final CurrencyAmount nettedCA = nettedMCAIterator.next();
assertEquals(payCA.getCurrency(), nettedCA.getCurrency());
assertEquals(payCA.getAmount(), -nettedCA.getAmount());
}
}
}
}
@Test
/** Check the conversion of a multiple currency amount. */
public void convert() {
final FXMatrix fxMatrix = new FXMatrix();
fxMatrix.addCurrency(EUR, USD, EUR_USD);
fxMatrix.addCurrency(GBP, EUR, GBP_EUR);
final double amountGBP = 1.0;
final double amountEUR = 2.0;
final double amountUSD = 3.0;
MultipleCurrencyAmount amount = MultipleCurrencyAmount.of(GBP, amountGBP);
amount = amount.plus(EUR, amountEUR);
amount = amount.plus(USD, amountUSD);
final CurrencyAmount totalUSDCalculated = fxMatrix.convert(amount, USD);
final double totalUSDExpected = amountUSD + amountEUR * EUR_USD + amountGBP * GBP_EUR * EUR_USD;
assertEquals("FXMatrix - convert", totalUSDExpected, totalUSDCalculated.getAmount(), 1.0E-10);
assertEquals("FXMatrix - convert", USD, totalUSDCalculated.getCurrency());
}