Java tutorial
/** * 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.varianceswap; import java.util.Collections; import java.util.Set; import org.threeten.bp.Clock; import org.threeten.bp.ZonedDateTime; import com.google.common.collect.Iterables; import com.google.common.collect.Sets; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle; import com.opengamma.analytics.financial.instrument.varianceswap.VarianceSwapDefinition; import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve; import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve; import com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurface; import com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceStrike; import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface; import com.opengamma.analytics.financial.varianceswap.VarianceSwap; import com.opengamma.analytics.util.time.TimeCalculator; import com.opengamma.core.historicaltimeseries.HistoricalTimeSeries; import com.opengamma.core.holiday.HolidaySource; import com.opengamma.core.id.ExternalSchemes; import com.opengamma.core.value.MarketDataRequirementNames; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.ComputationTargetSpecification; import com.opengamma.engine.function.AbstractFunction; import com.opengamma.engine.function.FunctionCompilationContext; import com.opengamma.engine.function.FunctionExecutionContext; import com.opengamma.engine.function.FunctionInputs; import com.opengamma.engine.target.ComputationTargetType; import com.opengamma.engine.value.ComputedValue; 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.engine.value.ValueSpecification; import com.opengamma.financial.OpenGammaCompilationContext; import com.opengamma.financial.analytics.conversion.EquityVarianceSwapConverter; import com.opengamma.financial.analytics.model.InstrumentTypeProperties; import com.opengamma.financial.analytics.timeseries.DateConstraint; import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils; import com.opengamma.financial.security.FinancialSecurityTypes; import com.opengamma.financial.security.equity.EquityVarianceSwapSecurity; import com.opengamma.id.ExternalId; import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolutionResult; import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver; import com.opengamma.util.ArgumentChecker; /** * Base class for Functions for EquityVarianceSwapSecurity. These functions price using Static Replication */ public abstract class EquityVarianceSwapStaticReplicationFunction extends AbstractFunction.NonCompiledInvoker { private final String _valueRequirementName; private EquityVarianceSwapConverter _converter; /** CalculationMethod constraint used in configuration to choose this model */ public static final String CALCULATION_METHOD = "StaticReplication"; /** Method may be Strike or Moneyness */ //TODO confirm public static final String STRIKE_PARAMETERIZATION_METHOD = "StrikeParameterizationMethod"; public EquityVarianceSwapStaticReplicationFunction(final String valueRequirementName) { ArgumentChecker.notNull(valueRequirementName, "value requirement name"); _valueRequirementName = valueRequirementName; } @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { final ValueRequirement desiredValue = desiredValues.iterator().next(); final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE); final String curveCalculationConfig = desiredValue .getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG); final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE); // 1. Build the analytic derivative to be priced final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity(); final Clock snapshotClock = executionContext.getValuationClock(); final ZonedDateTime now = ZonedDateTime.now(snapshotClock).minusYears(2); //TODO remove me - just for testing final VarianceSwapDefinition defn = security.accept(_converter); final HistoricalTimeSeries timeSeries = (HistoricalTimeSeries) inputs .getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES); final VarianceSwap deriv = defn.toDerivative(now, timeSeries.getTimeSeries()); // 2. Build up the market data bundle final Object volSurfaceObject = inputs.getValue(getVolatilitySurfaceRequirement(security, surfaceName)); if (volSurfaceObject == null) { throw new OpenGammaRuntimeException("Could not get Volatility Surface"); } final VolatilitySurface volSurface = (VolatilitySurface) volSurfaceObject; //TODO no choice of other surfaces final BlackVolatilitySurface<?> blackVolSurf = new BlackVolatilitySurfaceStrike(volSurface.getSurface()); final Object discountObject = inputs .getValue(getDiscountCurveRequirement(security, curveName, curveCalculationConfig)); if (discountObject == null) { throw new OpenGammaRuntimeException("Could not get Discount Curve"); } if (!(discountObject instanceof YieldCurve)) { //TODO: make it more generic throw new IllegalArgumentException("Can only handle YieldCurve"); } final YieldCurve discountCurve = (YieldCurve) discountObject; final Object spotObject = inputs.getValue(getSpotRequirement(security)); if (spotObject == null) { throw new OpenGammaRuntimeException("Could not get Underlying's Spot value"); } final double spot = (Double) spotObject; final double expiry = TimeCalculator.getTimeBetween(ZonedDateTime.now(executionContext.getValuationClock()), security.getLastObservationDate()); final double discountFactor = discountCurve.getDiscountFactor(expiry); ArgumentChecker.isTrue(Double.doubleToLongBits(discountFactor) != 0, "The discount curve has returned a zero value for a discount bond. Check rates."); final ForwardCurve forwardCurve = new ForwardCurve(spot, discountCurve.getCurve()); //TODO change this final StaticReplicationDataBundle market = new StaticReplicationDataBundle(blackVolSurf, discountCurve, forwardCurve); final ValueSpecification resultSpec = getValueSpecification(target, curveName, curveCalculationConfig, surfaceName); // 3. Compute and return the value (ComputedValue) return computeValues(resultSpec, inputs, deriv, market); } protected abstract Set<ComputedValue> computeValues(final ValueSpecification resultSpec, final FunctionInputs inputs, final VarianceSwap derivative, final StaticReplicationDataBundle market); protected ValueSpecification getValueSpecification(final ComputationTarget target) { final ValueProperties properties = getValueProperties(target); return new ValueSpecification(_valueRequirementName, target.toSpecification(), properties); } protected ValueSpecification getValueSpecification(final ComputationTarget target, final String curveName, final String curveCalculationConfig, final String surfaceName) { final ValueProperties properties = getValueProperties(target, curveName, curveCalculationConfig, surfaceName); return new ValueSpecification(_valueRequirementName, target.toSpecification(), properties); } protected ValueProperties getValueProperties(final ComputationTarget target) { final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity(); return createValueProperties().with(ValuePropertyNames.CURRENCY, security.getCurrency().getCode()) .with(ValuePropertyNames.CALCULATION_METHOD, CALCULATION_METHOD).withAny(ValuePropertyNames.CURVE) .withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG).withAny(ValuePropertyNames.SURFACE).get(); } protected ValueProperties getValueProperties(final ComputationTarget target, final String curveName, final String curveCalculationConfig, final String surfaceName) { final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity(); return createValueProperties().with(ValuePropertyNames.CURRENCY, security.getCurrency().getCode()) .with(ValuePropertyNames.CALCULATION_METHOD, CALCULATION_METHOD) .with(ValuePropertyNames.CURVE, curveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig) .with(ValuePropertyNames.SURFACE, surfaceName).get(); } private ValueRequirement getSpotRequirement(final EquityVarianceSwapSecurity security) { final ExternalId id = security.getSpotUnderlyingId(); return new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, id); } // Note that createValueProperties is _not_ used - use will mean the engine can't find the requirement private ValueRequirement getDiscountCurveRequirement(final EquityVarianceSwapSecurity security, final String curveName, final String curveCalculationConfig) { final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, curveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig).get(); return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetSpecification.of(security.getCurrency()), properties); } private ValueRequirement getVolatilitySurfaceRequirement(final EquityVarianceSwapSecurity security, final String surfaceName) { final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.SURFACE, surfaceName) .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.EQUITY_OPTION) .get(); final ExternalId id = security.getSpotUnderlyingId(); final ExternalId newId = id.getScheme().equals(ExternalSchemes.BLOOMBERG_TICKER) ? ExternalId.of(ExternalSchemes.BLOOMBERG_TICKER_WEAK.getName(), id.getValue()) : ExternalId.of(id.getScheme().getName(), id.getValue()); return new ValueRequirement(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE, ComputationTargetType.PRIMITIVE, newId, properties); } private ValueRequirement getTimeSeriesRequirement(final FunctionCompilationContext context, final EquityVarianceSwapSecurity security) { final HistoricalTimeSeriesResolver resolver = OpenGammaCompilationContext .getHistoricalTimeSeriesResolver(context); final HistoricalTimeSeriesResolutionResult timeSeries = resolver.resolve( security.getSpotUnderlyingId().toBundle(), null, null, null, MarketDataRequirementNames.MARKET_VALUE, null); if (timeSeries == null) { return null; } return HistoricalTimeSeriesFunctionUtils.createHTSRequirement(timeSeries, MarketDataRequirementNames.MARKET_VALUE, DateConstraint.NULL, true, DateConstraint.VALUATION_TIME, true); } @Override public void init(final FunctionCompilationContext context) { final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context); _converter = new EquityVarianceSwapConverter(holidaySource); } @Override public ComputationTargetType getTargetType() { return FinancialSecurityTypes.EQUITY_VARIANCE_SWAP_SECURITY; } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final ValueProperties constraints = desiredValue.getConstraints(); final Set<String> curveNames = constraints.getValues(ValuePropertyNames.CURVE); if (curveNames == null || curveNames.size() != 1) { return null; } final Set<String> curveCalculationConfigs = constraints .getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG); if (curveCalculationConfigs == null || curveCalculationConfigs.size() != 1) { return null; } final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE); if (surfaceNames == null || surfaceNames.size() != 1) { return null; } final String curveName = Iterables.getOnlyElement(curveNames); final String curveCalculationConfig = Iterables.getOnlyElement(curveCalculationConfigs); final String surfaceName = Iterables.getOnlyElement(surfaceNames); final EquityVarianceSwapSecurity security = (EquityVarianceSwapSecurity) target.getSecurity(); final Set<ValueRequirement> requirements = Sets.newHashSetWithExpectedSize(4); requirements.add(getDiscountCurveRequirement(security, curveName, curveCalculationConfig)); requirements.add(getSpotRequirement(security)); requirements.add(getVolatilitySurfaceRequirement(security, surfaceName)); final ValueRequirement requirement = getTimeSeriesRequirement(context, security); if (requirement == null) { return null; } requirements.add(requirement); return requirements; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { return Collections.singleton(getValueSpecification(target)); } }