@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));
}
@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);
}