/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.futures;
import java.util.HashSet;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Period;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.simpleinstruments.pricing.SimpleFutureDataBundle;
import com.opengamma.core.security.Security;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.model.future.FuturesFunction;
import com.opengamma.financial.analytics.timeseries.DateConstraint;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.future.EquityFutureSecurity;
import com.opengamma.financial.security.future.EquityIndexDividendFutureSecurity;
import com.opengamma.financial.security.future.FutureSecurity;
import com.opengamma.financial.security.future.IndexFutureSecurity;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.money.Currency;
/**
* This function will produce all valueRequirements that the EquityFutureSecurity offers. A trade may produce additional generic ones, e.g. date and number of contracts..
* @param <T> The type of the data that the calculator produces
*/
public class EquityDividendYieldFuturesFunction<T> extends FuturesFunction<T> {
/** The calculation method name */
public static final String CALCULATION_METHOD_NAME = "DividendYield";
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(EquityDividendYieldFuturesFunction.class);
/**
* @param valueRequirementName String describes the value requested
* @param calculator The calculator
* @param closingPriceField The field name of the historical time series for price, e.g. "PX_LAST", "Close". Set in *FunctionConfiguration
* @param costOfCarryField The field name of the historical time series for cost of carry e.g. "COST_OF_CARRY". Set in *FunctionConfiguration
* @param resolutionKey The key defining how the time series resolution is to occur e.g. "DEFAULT_TSS_CONFIG"
*/
public EquityDividendYieldFuturesFunction(final String valueRequirementName, final InstrumentDerivativeVisitor<SimpleFutureDataBundle, T> calculator,
String closingPriceField, String costOfCarryField, String resolutionKey) {
super(valueRequirementName, calculator, closingPriceField, costOfCarryField, resolutionKey);
}
@Override
protected ValueProperties.Builder createValueProperties(final ComputationTarget target) {
final Currency ccy = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CURRENCY, ccy.getCode())
.with(ValuePropertyNames.CALCULATION_METHOD, CALCULATION_METHOD_NAME)
.withAny(ValuePropertyNames.CURVE)
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
return properties;
}
@Override
protected ValueProperties.Builder createValueProperties(final ComputationTarget target, final ValueRequirement desiredValue) {
final String fundingCurveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String curveConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final Currency ccy = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
final ValueProperties.Builder properties = createValueProperties()
.with(ValuePropertyNames.CURRENCY, ccy.getCode())
.with(ValuePropertyNames.CURVE, fundingCurveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveConfigName)
.with(ValuePropertyNames.CALCULATION_METHOD, CALCULATION_METHOD_NAME);
return properties;
}
@Override
protected SimpleFutureDataBundle getFutureDataBundle(final FutureSecurity security, final FunctionInputs inputs,
final HistoricalTimeSeriesBundle timeSeriesBundle, final ValueRequirement desiredValue) {
final Double spotUnderlyer = getSpot(inputs);
Double dividendYield = timeSeriesBundle.get(MarketDataRequirementNames.DIVIDEND_YIELD, getSpotAssetId(security)).getTimeSeries().getLatestValue();
final String fundingCurveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
final String curveConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final YieldAndDiscountCurve fundingCurve = getYieldCurve(security, inputs, fundingCurveName, curveConfigName);
return new SimpleFutureDataBundle(fundingCurve, null, spotUnderlyer, dividendYield, null);
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
return security instanceof EquityFutureSecurity ||
security instanceof EquityIndexDividendFutureSecurity ||
security instanceof IndexFutureSecurity;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final FutureSecurity security = (FutureSecurity) target.getTrade().getSecurity();
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
// Spot
final ValueRequirement refPriceReq = getReferencePriceRequirement(context, security);
if (refPriceReq == null) {
return null;
}
requirements.add(refPriceReq);
// Funding curve
final String fundingCurveName = getFundingCurveName(desiredValue);
if (fundingCurveName == null) {
return null;
}
// Curve configuration
final String curveConfigName = getCurveConfigName(desiredValue);
if (curveConfigName == null) {
return null;
}
final ValueRequirement curveReq = getDiscountCurveRequirement(fundingCurveName, curveConfigName, security);
if (curveReq == null) {
return null;
}
requirements.add(curveReq);
final ValueRequirement dividendYieldReq = getDividendYieldRequirement(context, security);
if (dividendYieldReq == null) {
return null;
}
requirements.add(dividendYieldReq);
requirements.add(getSpotAssetRequirement(security));
return requirements;
}
private String getFundingCurveName(final ValueRequirement desiredValue) {
final Set<String> fundingCurves = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
if (fundingCurves == null || fundingCurves.size() != 1) {
s_logger.info("Could not find {} requirement. Looking for a default..", ValuePropertyNames.CURVE);
return null;
}
final String fundingCurveName = fundingCurves.iterator().next();
return fundingCurveName;
}
private String getCurveConfigName(final ValueRequirement desiredValue) {
final Set<String> curveConfigNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveConfigNames == null || curveConfigNames.size() != 1) {
s_logger.info("Could not find {} requirement. Looking for a default..", ValuePropertyNames.CURVE_CALCULATION_CONFIG);
return null;
}
final String curveConfigName = curveConfigNames.iterator().next();
return curveConfigName;
}
private ValueRequirement getDiscountCurveRequirement(final String fundingCurveName, final String curveCalculationConfigName, final FutureSecurity security) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.CURVE, fundingCurveName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName)
.get();
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetType.PRIMITIVE, security.getCurrency().getUniqueId(), properties);
}
private YieldAndDiscountCurve getYieldCurve(final FutureSecurity security, final FunctionInputs inputs, final String fundingCurveName, final String curveCalculationConfigName) {
final Object curveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
if (curveObject == null) {
throw new OpenGammaRuntimeException("Could not get yield curve");
}
return (YieldAndDiscountCurve) curveObject;
}
private ValueRequirement getDividendYieldRequirement(final FunctionCompilationContext context, final FutureSecurity security) {
final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve(ExternalIdBundle.of(getSpotAssetId(security)), null, null, null,
MarketDataRequirementNames.DIVIDEND_YIELD, null);
if (timeSeries == null) {
return null;
}
return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.DIVIDEND_YIELD,
DateConstraint.VALUATION_TIME.minus(Period.ofDays(7)), true, DateConstraint.VALUATION_TIME, true);
}
}