@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());
}
@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);
}