com.opengamma.financial.analytics.model.fx.FXForwardPointsCurrencyExposureFunction.java Source code

Introduction

Here is the source code for com.opengamma.financial.analytics.model.fx.FXForwardPointsCurrencyExposureFunction.java

Source

/**
 * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.fx;

import static com.opengamma.engine.value.ValuePropertyNames.FORWARD_CURVE_NAME;
import static com.opengamma.engine.value.ValueRequirementNames.CURRENCY_PAIRS;
import static com.opengamma.engine.value.ValueRequirementNames.FX_CURRENCY_EXPOSURE;

import java.util.Collections;
import java.util.Set;

import org.threeten.bp.Instant;
import org.threeten.bp.ZonedDateTime;

import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.derivative.Forex;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.forex.provider.ForexForwardPointsMethod;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.analytics.math.curve.DoublesCurve;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
import com.opengamma.util.tuple.Pair;

/**
 *
 */
public class FXForwardPointsCurrencyExposureFunction extends FXForwardPointsFunction {
    private static final ForexForwardPointsMethod CALCULATOR = ForexForwardPointsMethod.getInstance();

    public FXForwardPointsCurrencyExposureFunction() {
        super(FX_CURRENCY_EXPOSURE);
    }

    @Override
    public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
        return new FXForwardPointsCompiledFunction(getTargetToDefinitionConverter(context),
                getDefinitionToDerivativeConverter(context), false) {

            @Override
            protected Set<ComputedValue> getValues(final FunctionInputs inputs, final ComputationTarget target,
                    final Set<ValueRequirement> desiredValues, final Forex forex, final FXMatrix fxMatrix,
                    final ZonedDateTime now) {
                final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
                final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
                final ValueProperties properties = desiredValue.getConstraints().copy().get();
                final String fxForwardCurveName = desiredValue.getConstraint(FORWARD_CURVE_NAME);
                final DoublesCurve forwardPoints = getForwardPoints(inputs, fxForwardCurveName, now);
                final CurrencyPairs pairs = (CurrencyPairs) inputs.getValue(CURRENCY_PAIRS);
                final Pair<Currency, Currency> ccyPair;
                final Currency currency1 = forex.getCurrency1();
                final Currency currency2 = forex.getCurrency2();
                if (currency1.equals(pairs.getCurrencyPair(currency1, currency2).getBase())) {
                    ccyPair = Pair.of(currency1, currency2);
                } else {
                    ccyPair = Pair.of(currency2, currency1);
                }
                final MultipleCurrencyAmount mca = CALCULATOR.currencyExposure(forex, data, forwardPoints, ccyPair);
                final ValueSpecification spec = new ValueSpecification(FX_CURRENCY_EXPOSURE,
                        target.toSpecification(), properties);
                return Collections.singleton(new ComputedValue(spec, mca));
            }
        };
    }
}