protected FXForwardSecurity createFXForwardSecurity(final Bundle bundle) {
final double putAmount = bundle._firstCurrency.equals(Currency.JPY) ? NOTIONAL * 100 : NOTIONAL;
final ZonedDateTime forwardDate =
nextWorkingDay(
bundle._tradeDate.plusDays(bundle._daysOffset),
bundle._firstCurrency,
bundle._secondCurrency);
final Double fxRate =
getApproxFXRate(
forwardDate.toLocalDate(), Pair.of(bundle._firstCurrency, bundle._secondCurrency));
if (fxRate == null) {
return null;
}
final double callAmount = NOTIONAL * fxRate;
final Currency payCurrency = bundle._long ? bundle._secondCurrency : bundle._firstCurrency;
final Currency receiveCurrency = bundle._long ? bundle._firstCurrency : bundle._secondCurrency;
final String dateString = forwardDate.toString(DATE_FORMATTER);
final FXForwardSecurity fxForwardSecurity =
new FXForwardSecurity(
payCurrency, callAmount, receiveCurrency, putAmount, forwardDate, REGION);
final String callAmountString = NOTIONAL_FORMATTER.format(callAmount);
final String putAmountString = NOTIONAL_FORMATTER.format(putAmount);
fxForwardSecurity.setName(
"Pay "
+ payCurrency
+ " "
+ callAmountString
+ ", receive "
+ receiveCurrency
+ " "
+ putAmountString
+ " on "
+ dateString);
return fxForwardSecurity;
}
@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 = snapshotClock.zonedDateTime();
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency payCurrency, receiveCurrency;
if (security instanceof FXForwardSecurity) {
final FXForwardSecurity forward = (FXForwardSecurity) security;
payCurrency = forward.getPayCurrency();
receiveCurrency = forward.getReceiveCurrency();
} else {
final NonDeliverableFXForwardSecurity ndf = (NonDeliverableFXForwardSecurity) security;
payCurrency = ndf.getPayCurrency();
receiveCurrency = ndf.getReceiveCurrency();
}
final ForexDefinition definition = (ForexDefinition) security.accept(VISITOR);
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String payCurveName = desiredValue.getConstraint(ValuePropertyNames.PAY_CURVE);
final String receiveCurveName = desiredValue.getConstraint(ValuePropertyNames.RECEIVE_CURVE);
final String payCurveConfig = desiredValue.getConstraint(PAY_CURVE_CALC_CONFIG);
final String receiveCurveConfig = desiredValue.getConstraint(RECEIVE_CURVE_CALC_CONFIG);
final String fullPutCurveName = payCurveName + "_" + payCurrency.getCode();
final String fullCallCurveName = receiveCurveName + "_" + receiveCurrency.getCode();
final YieldAndDiscountCurve payFundingCurve =
getCurve(inputs, payCurrency, payCurveName, payCurveConfig);
final YieldAndDiscountCurve receiveFundingCurve =
getCurve(inputs, receiveCurrency, receiveCurveName, receiveCurveConfig);
final YieldAndDiscountCurve[] curves;
final Map<String, Currency> curveCurrency = new HashMap<String, Currency>();
curveCurrency.put(fullPutCurveName, payCurrency);
curveCurrency.put(fullCallCurveName, receiveCurrency);
final String[] allCurveNames;
if (FXUtils.isInBaseQuoteOrder(
payCurrency, receiveCurrency)) { // To get Base/quote in market standard order.
curves = new YieldAndDiscountCurve[] {payFundingCurve, receiveFundingCurve};
allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
} else {
curves = new YieldAndDiscountCurve[] {receiveFundingCurve, payFundingCurve};
allCurveNames = new String[] {fullCallCurveName, fullPutCurveName};
}
final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
final ValueProperties.Builder properties =
getResultProperties(
payCurveName, receiveCurveName, payCurveConfig, receiveCurveConfig, target);
final ValueSpecification spec =
new ValueSpecification(
ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
final ConstantSpreadHorizonThetaCalculator calculator =
ConstantSpreadHorizonThetaCalculator.getInstance();
final MultipleCurrencyAmount theta =
calculator.getTheta(definition, now, allCurveNames, yieldCurves, DAYS_TO_MOVE_FORWARD);
return Collections.singleton(new ComputedValue(spec, theta));
}
@Override
public Set<ValueSpecification> getResults(
final FunctionCompilationContext context,
final ComputationTarget target,
final Map<ValueSpecification, ValueRequirement> inputs) {
if (inputs.size() == 1) {
final ValueSpecification input = Iterables.getOnlyElement(inputs.keySet());
if (ValueRequirementNames.PNL_SERIES.equals(input.getValueName())) {
return Collections.singleton(input);
}
}
final FXForwardSecurity security = (FXForwardSecurity) target.getPosition().getSecurity();
final CurrencyPair currencyPair =
_currencyPairs.getCurrencyPair(security.getPayCurrency(), security.getReceiveCurrency());
if (currencyPair == null) {
return null;
}
final Currency currencyBase = currencyPair.getBase();
String resultCurrency = null;
final ValueProperties.Builder builder = createValueProperties();
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification inputSpec = entry.getKey();
final ValueRequirement inputReq = entry.getValue();
if (inputReq.getValueName().equals(RETURN_SERIES)) {
final Set<String> resultCurrencies = inputReq.getConstraints().getValues(CURRENCY);
if (resultCurrencies != null && resultCurrencies.size() == 1) {
resultCurrency = inputReq.getConstraint(CURRENCY);
} else {
resultCurrency = currencyBase.getCode();
}
}
for (final String propertyName : inputSpec.getProperties().getProperties()) {
if (ValuePropertyNames.FUNCTION.equals(propertyName)) {
continue;
}
final Set<String> values = inputSpec.getProperties().getValues(propertyName);
if (values == null || values.isEmpty()) {
builder.withAny(propertyName);
} else {
builder.with(propertyName, values);
}
}
}
if (resultCurrency == null) {
return null;
}
builder
.with(ValuePropertyNames.CURRENCY, resultCurrency)
.with(
ValuePropertyNames.PROPERTY_PNL_CONTRIBUTIONS,
ValueRequirementNames.FX_CURRENCY_EXPOSURE);
return ImmutableSet.of(
new ValueSpecification(
ValueRequirementNames.PNL_SERIES, target.toSpecification(), builder.get()));
}
@Override
public FXForwardSecurityBean createBean(
final OperationContext context,
HibernateSecurityMasterDao secMasterSession,
FXForwardSecurity security) {
final FXForwardSecurityBean bean = new FXForwardSecurityBean();
bean.setUnderlying(externalIdToExternalIdBean(security.getUnderlyingIdentifier()));
bean.setForwardDate(dateTimeWithZoneToZonedDateTimeBean(security.getForwardDate()));
bean.setRegion(externalIdToExternalIdBean(security.getRegion()));
return bean;
}
@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));
}