@Override
 public Set<ComputedValue> execute(
     final FunctionExecutionContext executionContext,
     final FunctionInputs inputs,
     final ComputationTarget target,
     final Set<ValueRequirement> desiredValues) {
   final Object positionOrNode = getTarget(target);
   final ConventionBundleSource conventionSource =
       OpenGammaExecutionContext.getConventionBundleSource(executionContext);
   final ConventionBundle bundle =
       conventionSource.getConventionBundle(
           ExternalId.of(InMemoryConventionBundleMaster.SIMPLE_NAME_SCHEME, "USD_CAPM"));
   final Clock snapshotClock = executionContext.getValuationClock();
   final LocalDate now = snapshotClock.zonedDateTime().toLocalDate();
   final ValueRequirement desiredValue = desiredValues.iterator().next();
   final ValueProperties constraints = desiredValue.getConstraints();
   final Period samplingPeriod =
       getSamplingPeriod(constraints.getValues(ValuePropertyNames.SAMPLING_PERIOD));
   final LocalDate startDate = now.minus(samplingPeriod);
   final HistoricalTimeSeries riskFreeRateTSObject =
       (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES);
   final Object assetPnLObject =
       inputs.getValue(
           new ValueRequirement(
               ValueRequirementNames.PNL_SERIES,
               positionOrNode)); // TODO replace with return series when portfolio weights are in
   if (assetPnLObject == null) {
     throw new OpenGammaRuntimeException("Asset P&L was null");
   }
   final Object assetFairValueObject =
       inputs.getValue(new ValueRequirement(ValueRequirementNames.FAIR_VALUE, positionOrNode));
   if (assetFairValueObject == null) {
     throw new OpenGammaRuntimeException("Asset fair value was null");
   }
   final Object betaObject =
       inputs.getValue(new ValueRequirement(ValueRequirementNames.CAPM_BETA, positionOrNode));
   if (betaObject == null) {
     throw new OpenGammaRuntimeException("Beta was null");
   }
   final double beta = (Double) betaObject;
   final double fairValue = (Double) assetFairValueObject;
   DoubleTimeSeries<?> assetReturnTS = ((DoubleTimeSeries<?>) assetPnLObject).divide(fairValue);
   DoubleTimeSeries<?> riskFreeReturnTS =
       riskFreeRateTSObject.getTimeSeries().divide(100 * DAYS_PER_YEAR);
   DoubleTimeSeries<?>[] series = TimeSeriesIntersector.intersect(riskFreeReturnTS, assetReturnTS);
   riskFreeReturnTS = series[0];
   assetReturnTS = series[1];
   final TreynorRatioCalculator calculator =
       getCalculator(constraints.getValues(ValuePropertyNames.EXCESS_RETURN_CALCULATOR));
   final double ratio = calculator.evaluate(assetReturnTS, riskFreeReturnTS, beta);
   final ValueProperties resultProperties = getResultProperties(desiredValues.iterator().next());
   return Sets.newHashSet(
       new ComputedValue(
           new ValueSpecification(
               new ValueRequirement(
                   ValueRequirementNames.TREYNOR_RATIO, positionOrNode, resultProperties),
               getUniqueId()),
           ratio));
 }
Пример #2
0
 @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<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());
 }
 public OffsetDateTimeSpinnerModel(PeriodProvider provider) {
   this(Clock.systemDefaultZone().offsetDateTime(), provider);
 }
 public OffsetDateTimeSpinnerModel() {
   this(Clock.systemDefaultZone().offsetDateTime());
 }
 @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 InstrumentDefinition<InstrumentDerivative> definition =
       (InstrumentDefinition<InstrumentDerivative>) security.accept(VISITOR);
   final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
   final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
   final ValueRequirement desiredValue = desiredValues.iterator().next();
   final String putCurveName = desiredValue.getConstraint(PROPERTY_PUT_CURVE);
   final String callCurveName = desiredValue.getConstraint(PROPERTY_CALL_CURVE);
   final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
   final String putForwardCurveName = desiredValue.getConstraint(PROPERTY_PUT_FORWARD_CURVE);
   final String callForwardCurveName = desiredValue.getConstraint(PROPERTY_CALL_FORWARD_CURVE);
   final String putCurveCalculationMethod =
       desiredValue.getConstraint(PROPERTY_PUT_CURVE_CALCULATION_METHOD);
   final String callCurveCalculationMethod =
       desiredValue.getConstraint(PROPERTY_CALL_CURVE_CALCULATION_METHOD);
   final String interpolatorName =
       desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
   final String leftExtrapolatorName =
       desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
   final String rightExtrapolatorName =
       desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
   final String spread = desiredValue.getConstraint(PROPERTY_CALL_SPREAD_VALUE);
   final double spreadValue = Double.parseDouble(spread);
   final String fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
   final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
   final String[] curveNames;
   if (FXUtils.isInBaseQuoteOrder(
       putCurrency, callCurrency)) { // To get Base/quote in market standard order.
     curveNames = new String[] {fullPutCurveName, fullCallCurveName};
   } else {
     curveNames = new String[] {fullCallCurveName, fullPutCurveName};
   }
   final YieldAndDiscountCurve putFundingCurve = getCurve(inputs, putCurrency, putCurveName);
   final YieldAndDiscountCurve callFundingCurve = getCurve(inputs, callCurrency, callCurveName);
   final YieldAndDiscountCurve[] curves;
   final Map<String, Currency> curveCurrency = new HashMap<String, Currency>();
   curveCurrency.put(fullPutCurveName, putCurrency);
   curveCurrency.put(fullCallCurveName, callCurrency);
   final String[] allCurveNames;
   final Currency ccy1;
   final Currency ccy2;
   if (FXUtils.isInBaseQuoteOrder(
       putCurrency, callCurrency)) { // To get Base/quote in market standard order.
     ccy1 = putCurrency;
     ccy2 = callCurrency;
     curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve};
     allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
   } else {
     curves = new YieldAndDiscountCurve[] {callFundingCurve, putFundingCurve};
     allCurveNames = new String[] {fullCallCurveName, fullPutCurveName};
     ccy1 = callCurrency;
     ccy2 = putCurrency;
   }
   final InstrumentDerivative fxOption = definition.toDerivative(now, curveNames);
   final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
   final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
   if (spotObject == null) {
     throw new OpenGammaRuntimeException("Could not get spot rate");
   }
   final double spot = (Double) spotObject;
   final ValueRequirement fxVolatilitySurfaceRequirement =
       getSurfaceRequirement(
           surfaceName,
           putCurrency,
           callCurrency,
           interpolatorName,
           leftExtrapolatorName,
           rightExtrapolatorName);
   final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
   if (volatilitySurfaceObject == null) {
     throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
   }
   final SmileDeltaTermStructureParametersStrikeInterpolation smiles =
       (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
   final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
   final ValueProperties.Builder properties =
       getResultProperties(
           putCurveName,
           putForwardCurveName,
           putCurveCalculationMethod,
           callCurveName,
           callForwardCurveName,
           callCurveCalculationMethod,
           surfaceName,
           spread,
           interpolatorName,
           leftExtrapolatorName,
           rightExtrapolatorName,
           target);
   final ValueSpecification spec =
       new ValueSpecification(_valueRequirementName, target.toSpecification(), properties.get());
   final YieldCurveBundle curvesWithFX =
       new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
   final SmileDeltaTermStructureDataBundle smileBundle =
       new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
   return getResult(fxOption, spreadValue, smileBundle, spec);
 }
 @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 putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
   final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
   final ValueRequirement desiredValue = desiredValues.iterator().next();
   final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
   final String callCurveName = desiredValue.getConstraint(CALL_CURVE);
   final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
   final String putCurveConfig = desiredValue.getConstraint(PUT_CURVE_CALC_CONFIG);
   final String callCurveConfig = desiredValue.getConstraint(CALL_CURVE_CALC_CONFIG);
   final String interpolatorName =
       desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
   final String leftExtrapolatorName =
       desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
   final String rightExtrapolatorName =
       desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
   final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
   final String fullPutCurveName = putCurveName + "_" + putCurrency.getCode();
   final String fullCallCurveName = callCurveName + "_" + callCurrency.getCode();
   final YieldAndDiscountCurve putFundingCurve =
       FXOptionFunctionUtils.getCurveForCurrency(
           inputs, putCurrency, putCurveName, putCurveConfig);
   final YieldAndDiscountCurve callFundingCurve =
       FXOptionFunctionUtils.getCurveForCurrency(
           inputs, callCurrency, callCurveName, callCurveConfig);
   final YieldAndDiscountCurve[] curves;
   final Map<String, Currency> curveCurrency = new HashMap<String, Currency>();
   curveCurrency.put(fullPutCurveName, putCurrency);
   curveCurrency.put(fullCallCurveName, callCurrency);
   final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS);
   if (baseQuotePairsObject == null) {
     throw new OpenGammaRuntimeException("Could not get base/quote pair data");
   }
   final CurrencyPairs baseQuotePairs = (CurrencyPairs) baseQuotePairsObject;
   final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
   if (baseQuotePair == null) {
     throw new OpenGammaRuntimeException(
         "Could not get base/quote pair for currency pair ("
             + putCurrency
             + ", "
             + callCurrency
             + ")");
   }
   final String[] allCurveNames;
   final Currency ccy1;
   final Currency ccy2;
   if (baseQuotePair
       .getBase()
       .equals(putCurrency)) { // To get Base/quote in market standard order.
     ccy1 = putCurrency;
     ccy2 = callCurrency;
     curves = new YieldAndDiscountCurve[] {putFundingCurve, callFundingCurve};
     allCurveNames = new String[] {fullPutCurveName, fullCallCurveName};
   } else {
     curves = new YieldAndDiscountCurve[] {callFundingCurve, putFundingCurve};
     allCurveNames = new String[] {fullCallCurveName, fullPutCurveName};
     ccy1 = callCurrency;
     ccy2 = putCurrency;
   }
   final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
   final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
   if (spotObject == null) {
     throw new OpenGammaRuntimeException("Could not get spot requirement");
   }
   final double spot = (Double) spotObject;
   final ValueRequirement fxVolatilitySurfaceRequirement =
       getSurfaceRequirement(
           surfaceName,
           putCurrency,
           callCurrency,
           interpolatorName,
           leftExtrapolatorName,
           rightExtrapolatorName);
   final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
   if (volatilitySurfaceObject == null) {
     throw new OpenGammaRuntimeException("Could not get " + fxVolatilitySurfaceRequirement);
   }
   final SmileDeltaTermStructureParametersStrikeInterpolation smiles =
       (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
   final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
   final ValueProperties.Builder properties =
       getResultProperties(target, desiredValue, baseQuotePair);
   final ValueSpecification spec =
       new ValueSpecification(
           ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
   final YieldCurveBundle curvesWithFX =
       new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
   final SmileDeltaTermStructureDataBundle smileBundle =
       new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
   final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
   final ForexOptionVanillaDefinition definition =
       (ForexOptionVanillaDefinition) security.accept(converter);
   final MultipleCurrencyAmount theta =
       CALCULATOR.getTheta(
           definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
   return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
 }
 @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 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 forwardCurveName =
       desiredValue.getConstraint(YieldCurveFunction.PROPERTY_FORWARD_CURVE);
   final String fundingCurveName =
       desiredValue.getConstraint(YieldCurveFunction.PROPERTY_FUNDING_CURVE);
   final String curveCalculationMethod =
       desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_METHOD);
   final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
   final Object forwardCurveObject =
       inputs.getValue(
           YieldCurveFunction.getCurveRequirement(
               currency,
               forwardCurveName,
               forwardCurveName,
               fundingCurveName,
               curveCalculationMethod));
   if (forwardCurveObject == null) {
     throw new OpenGammaRuntimeException("Could not get forward curve");
   }
   final Object fundingCurveObject =
       inputs.getValue(
           YieldCurveFunction.getCurveRequirement(
               currency,
               fundingCurveName,
               forwardCurveName,
               fundingCurveName,
               curveCalculationMethod));
   if (fundingCurveObject == null) {
     throw new OpenGammaRuntimeException("Could not get funding curve");
   }
   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 YieldAndDiscountCurve forwardCurve = (YieldAndDiscountCurve) forwardCurveObject;
   final YieldAndDiscountCurve fundingCurve = (YieldAndDiscountCurve) fundingCurveObject;
   final InstrumentDefinition<?> definition = security.accept(_visitor);
   final InstrumentDerivative swaption =
       definition.toDerivative(now, new String[] {fundingCurveName, forwardCurveName});
   final ValueProperties properties =
       getResultProperties(
           currency.getCode(),
           forwardCurveName,
           fundingCurveName,
           curveCalculationMethod,
           surfaceName);
   final ValueSpecification spec =
       new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
   final YieldCurveBundle curves =
       new YieldCurveBundle(
           new String[] {fundingCurveName, forwardCurveName},
           new YieldAndDiscountCurve[] {fundingCurve, forwardCurve});
   final BlackSwaptionParameters parameters =
       new BlackSwaptionParameters(
           volatilitySurface.getSurface(),
           SwaptionUtils.getSwapGenerator(security, definition, securitySource));
   final YieldCurveWithBlackSwaptionBundle data =
       new YieldCurveWithBlackSwaptionBundle(parameters, curves);
   return getResult(swaption, data, spec);
 }