com.opengamma.financial.analytics.model.hullwhitediscounting.HullWhiteDiscountingPVFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.hullwhitediscounting.HullWhiteDiscountingPVFunction.java

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

import static com.opengamma.engine.value.ValueRequirementNames.PRESENT_VALUE;

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

import org.threeten.bp.Instant;

import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.hullwhite.PresentValueHullWhiteCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderInterface;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
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.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;

/**
 * Calculates the present value of instruments using curves constructed using
 * the Hull-White one-factor discounting method.
 */
public class HullWhiteDiscountingPVFunction extends HullWhiteDiscountingFunction {
    /** The present value calculator */
    private static final InstrumentDerivativeVisitor<HullWhiteOneFactorProviderInterface, MultipleCurrencyAmount> CALCULATOR = PresentValueHullWhiteCalculator
            .getInstance();

    /**
     * Sets the value requirements to {@link ValueRequirementNames#PRESENT_VALUE}
     */
    public HullWhiteDiscountingPVFunction() {
        super(PRESENT_VALUE);
    }

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

            @Override
            protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext,
                    final FunctionInputs inputs, final ComputationTarget target,
                    final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
                    final FXMatrix fxMatrix) {
                final HullWhiteOneFactorProviderInterface data = getMergedProviders(inputs, fxMatrix);
                final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
                final ValueProperties properties = desiredValue.getConstraints().copy().get();
                final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
                final MultipleCurrencyAmount mca = derivative.accept(CALCULATOR, data);
                final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(),
                        properties);
                return Collections.singleton(new ComputedValue(spec, mca.getAmount(currency)));
            }
        };
    }
}