com.opengamma.financial.analytics.model.pnl.VolatilityWeightedHistoricalValuationPnLFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.pnl.VolatilityWeightedHistoricalValuationPnLFunction.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.pnl;

import java.util.Set;

import org.threeten.bp.LocalDate;

import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.timeseries.util.TimeSeriesRelativeWeightedDifferenceOperator;
import com.opengamma.analytics.financial.timeseries.util.TimeSeriesWeightedVolatilityOperator;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueProperties.Builder;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.financial.analytics.timeseries.DateConstraint;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.analytics.timeseries.VolatilityWeightingFunctionUtils;
import com.opengamma.timeseries.date.DateDoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;

/**
 * Calculates a PnL series by performing a full historical valuation over the required period, and weights the returns
 * by volatility.
 */
public class VolatilityWeightedHistoricalValuationPnLFunction extends HistoricalValuationPnLFunction {

    private static final TimeSeriesRelativeWeightedDifferenceOperator RELATIVE_WEIGHTED_DIFFERENCE = new TimeSeriesRelativeWeightedDifferenceOperator();

    @Override
    protected String getPriceSeriesStart(ValueProperties outputConstraints) {
        if (super.getPriceSeriesStart(outputConstraints) == null) {
            return null;
        }
        Set<String> volatilityWeightingStartDates = outputConstraints
                .getValues(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_START_DATE_PROPERTY);
        if (volatilityWeightingStartDates == null || volatilityWeightingStartDates.size() != 1) {
            return null;
        }
        return Iterables.getOnlyElement(volatilityWeightingStartDates);
    }

    @Override
    protected void removeTransformationProperties(Builder builder) {
        super.removeTransformationProperties(builder);
        builder.withoutAny(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY);
        builder.withoutAny(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_START_DATE_PROPERTY);
    }

    @Override
    protected void addTransformationProperties(Builder builder, ValueRequirement desiredValue) {
        VolatilityWeightingFunctionUtils.addVolatilityWeightingProperties(builder, desiredValue);
    }

    @Override
    protected DateDoubleTimeSeries<?> calculatePnlSeries(LocalDateDoubleTimeSeries priceSeries,
            FunctionExecutionContext executionContext, ValueRequirement desiredValue) {
        double lambda = Double.parseDouble(
                desiredValue.getConstraint(VolatilityWeightingFunctionUtils.VOLATILITY_WEIGHTING_LAMBDA_PROPERTY));
        TimeSeriesWeightedVolatilityOperator weightedVolatilityOperator = new TimeSeriesWeightedVolatilityOperator(
                lambda);
        DateDoubleTimeSeries<?> weightedVolatilitySeries = weightedVolatilityOperator.evaluate(priceSeries);
        LocalDateDoubleTimeSeries weightedPnlSeries = (LocalDateDoubleTimeSeries) RELATIVE_WEIGHTED_DIFFERENCE
                .evaluate(priceSeries, weightedVolatilitySeries);
        LocalDate pnlSeriesStart = DateConstraint.evaluate(executionContext,
                desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.START_DATE_PROPERTY));
        if (pnlSeriesStart.isAfter(weightedPnlSeries.getEarliestTime())) {
            weightedPnlSeries = weightedPnlSeries.subSeries(pnlSeriesStart, true, weightedPnlSeries.getLatestTime(),
                    true);
        }
        return weightedPnlSeries;
    }

}