@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())); }
@Override public Set<ValueRequirement> getRequirements( final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final FXFutureSecurity future = (FXFutureSecurity) target.getSecurity(); final ValueRequirement payYieldCurve = YieldCurveFunction.getCurveRequirement(future.getNumerator(), _payCurveName, null, null); final ValueRequirement receiveYieldCurve = YieldCurveFunction.getCurveRequirement( future.getDenominator(), _receiveCurveName, null, null); final ValueRequirement spot = ConventionBasedFXRateFunction.getSpotRateRequirement( future.getNumerator(), future.getDenominator()); return Sets.newHashSet(payYieldCurve, receiveYieldCurve, spot); }