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<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency currency = FinancialSecurityUtils.getCurrency(security);
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = snapshotClock.zonedDateTime();
final HistoricalTimeSeriesBundle timeSeries =
HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final ValueRequirement desiredValue = desiredValues.iterator().next();
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);
}
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final String[] yieldCurveNames =
curveNames.length == 1 ? new String[] {curveNames[0], curveNames[0]} : curveNames;
final String[] curveNamesForSecurity =
FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(
security, yieldCurveNames[0], yieldCurveNames[1]);
final YieldCurveBundle bundle =
YieldCurveFunctionUtils.getAllYieldCurves(
inputs, curveCalculationConfig, curveCalculationConfigSource);
final InstrumentDefinition<?> definition = security.accept(_visitor);
if (definition == null) {
throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
}
final InstrumentDerivative derivative =
getDerivative(
security, now, timeSeries, curveNamesForSecurity, definition, _definitionConverter);
return getComputedValues(
derivative, bundle, security, target, curveCalculationConfigName, currency.getCode());
}