Java tutorial
/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model; import java.util.HashSet; import java.util.LinkedHashMap; import java.util.Map; import java.util.Set; import com.google.common.collect.Iterables; import com.google.common.collect.Sets; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.interestrate.YieldCurveBundle; import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve; import com.opengamma.engine.ComputationTargetSpecification; import com.opengamma.engine.function.FunctionInputs; import com.opengamma.engine.value.ValueProperties; import com.opengamma.engine.value.ValuePropertiesUtils; import com.opengamma.engine.value.ValuePropertyNames; import com.opengamma.engine.value.ValueRequirement; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource; import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig; import com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction; /** * */ public class YieldCurveFunctionUtils { public static Set<ValueRequirement> getCurveRequirements(final MultiCurveCalculationConfig curveConfig, final ConfigDBCurveCalculationConfigSource configSource) { final Set<ValueRequirement> requirements = new HashSet<>(); if (curveConfig.getExogenousConfigData() != null) { final LinkedHashMap<String, String[]> exogenousCurves = curveConfig.getExogenousConfigData(); for (final Map.Entry<String, String[]> entry : exogenousCurves.entrySet()) { final String exogenousConfigName = entry.getKey(); final MultiCurveCalculationConfig exogenousConfig = configSource.getConfig(exogenousConfigName); final ComputationTargetSpecification target = exogenousConfig.getTarget(); final String curveCalculationMethod = exogenousConfig.getCalculationMethod(); for (final String exogenousCurveName : entry.getValue()) { requirements.add(getCurveRequirement(target, exogenousCurveName, exogenousConfigName, curveCalculationMethod)); } requirements.addAll(getCurveRequirements(exogenousConfig, configSource)); } } final String[] yieldCurveNames = curveConfig.getYieldCurveNames(); final String curveCalculationConfigName = curveConfig.getCalculationConfigName(); final String curveCalculationMethod = curveConfig.getCalculationMethod(); final ComputationTargetSpecification target = curveConfig.getTarget(); for (final String yieldCurveName : yieldCurveNames) { requirements.add(getCurveRequirement(target, yieldCurveName, curveCalculationConfigName, curveCalculationMethod)); } return requirements; } public static Set<ValueRequirement> getCurveRequirements(final MultiCurveCalculationConfig curveConfig, final ConfigDBCurveCalculationConfigSource configSource, final ValueRequirement desiredValue) { final Set<ValueRequirement> requirements = new HashSet<>(); if (curveConfig.getExogenousConfigData() != null) { final LinkedHashMap<String, String[]> exogenousCurves = curveConfig.getExogenousConfigData(); for (final Map.Entry<String, String[]> entry : exogenousCurves.entrySet()) { final String exogenousConfigName = entry.getKey(); final MultiCurveCalculationConfig exogenousConfig = configSource.getConfig(exogenousConfigName); final ComputationTargetSpecification target = exogenousConfig.getTarget(); final String curveCalculationMethod = exogenousConfig.getCalculationMethod(); for (final String exogenousCurveName : entry.getValue()) { requirements.add(getCurveRequirement(target, exogenousCurveName, exogenousConfigName, curveCalculationMethod)); } requirements.addAll(getCurveRequirements(exogenousConfig, configSource)); } } final ValueProperties constraints = desiredValue.getConstraints(); final String[] yieldCurveNames = curveConfig.getYieldCurveNames(); final String curveCalculationConfigName; if (constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG) == null) { curveCalculationConfigName = curveConfig.getCalculationConfigName(); } else { curveCalculationConfigName = Iterables .getOnlyElement(constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG)); } final String curveCalculationMethod = curveConfig.getCalculationMethod(); final ComputationTargetSpecification target = curveConfig.getTarget(); for (final String yieldCurveName : yieldCurveNames) { requirements.add(getCurveRequirement(target, yieldCurveName, curveCalculationConfigName, curveCalculationMethod)); } return requirements; } public static ValueRequirement getCurveRequirement(final ComputationTargetSpecification target, final String yieldCurveName, final String curveCalculationConfigName, final String curveCalculationMethod) { final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, yieldCurveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod).get(); return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, target, properties); } public static ValueRequirement getCurveRequirement(final ComputationTargetSpecification target, final String yieldCurveName, final String curveCalculationConfigName) { final ValueProperties properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, yieldCurveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName).get(); return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, target, properties); } public static ValueRequirement getCurveRequirementForFXOption(final ComputationTargetSpecification target, final String yieldCurveName, final String curveCalculationConfigName, final String curveCalculationMethod, final boolean isPut) { final ValueProperties properties; if (isPut) { properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, yieldCurveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod) .with(FXOptionBlackFunction.PUT_CURVE, yieldCurveName) .withOptional(FXOptionBlackFunction.PUT_CURVE) .with(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG, curveCalculationConfigName) .withOptional(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG).get(); } else { properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, yieldCurveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod) .with(FXOptionBlackFunction.CALL_CURVE, yieldCurveName) .withOptional(FXOptionBlackFunction.CALL_CURVE) .with(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG, curveCalculationConfigName) .withOptional(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG).get(); } return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, target, properties); } public static ValueRequirement getCurveRequirementForFXOption(final ComputationTargetSpecification target, final String yieldCurveName, final String curveCalculationConfigName, final boolean isPut, final ValueProperties optionalProperties) { final ValueProperties properties; if (isPut) { properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, yieldCurveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(FXOptionBlackFunction.PUT_CURVE, yieldCurveName) .withOptional(FXOptionBlackFunction.PUT_CURVE) .with(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG, curveCalculationConfigName) .withOptional(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG).get(); } else { properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, yieldCurveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(FXOptionBlackFunction.CALL_CURVE, yieldCurveName) .withOptional(FXOptionBlackFunction.CALL_CURVE) .with(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG, curveCalculationConfigName) .withOptional(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG).get(); } final ValueProperties allProperties = ValuePropertiesUtils.addAllOptional(properties, optionalProperties) .get(); return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, target, allProperties); } public static ValueRequirement getCurveRequirementForFXForward(final ComputationTargetSpecification target, final String yieldCurveName, final String curveCalculationConfigName, final String curveCalculationMethod, final boolean isPay) { final ValueProperties properties; if (isPay) { properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, yieldCurveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod) .with(ValuePropertyNames.PAY_CURVE, yieldCurveName).withOptional(ValuePropertyNames.PAY_CURVE) .with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .withOptional(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG).get(); } else { properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, yieldCurveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, curveCalculationMethod) .with(ValuePropertyNames.RECEIVE_CURVE, yieldCurveName) .withOptional(ValuePropertyNames.RECEIVE_CURVE) .with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .withOptional(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG).get(); } return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, target, properties); } public static ValueRequirement getCurveRequirementForFXForward(final ComputationTargetSpecification target, final String yieldCurveName, final String curveCalculationConfigName, final boolean isPay) { final ValueProperties properties; if (isPay) { properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, yieldCurveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(ValuePropertyNames.PAY_CURVE, yieldCurveName).withOptional(ValuePropertyNames.PAY_CURVE) .with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .withOptional(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG).get(); } else { properties = ValueProperties.builder().with(ValuePropertyNames.CURVE, yieldCurveName) .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .with(ValuePropertyNames.RECEIVE_CURVE, yieldCurveName) .withOptional(ValuePropertyNames.RECEIVE_CURVE) .with(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG, curveCalculationConfigName) .withOptional(ValuePropertyNames.RECEIVE_CURVE_CALCULATION_CONFIG).get(); } return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, target, properties); } public static ValueRequirement getCurveRequirement(final ComputationTargetSpecification target) { return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, target); } //TODO won't work if curves have different currencies public static YieldCurveBundle getAllYieldCurves(final FunctionInputs inputs, final MultiCurveCalculationConfig curveConfig, final ConfigDBCurveCalculationConfigSource configSource) { final YieldCurveBundle curves = new YieldCurveBundle(); if (curveConfig.getExogenousConfigData() != null) { final LinkedHashMap<String, String[]> exogenousCurves = curveConfig.getExogenousConfigData(); for (final Map.Entry<String, String[]> entry : exogenousCurves.entrySet()) { final String exogenousConfigName = entry.getKey(); final MultiCurveCalculationConfig exogenousConfig = configSource.getConfig(exogenousConfigName); final ComputationTargetSpecification target = exogenousConfig.getTarget(); final String exogenousCalculationMethod = exogenousConfig.getCalculationMethod(); for (final String curveName : entry.getValue()) { final ValueRequirement curveRequirement = YieldCurveFunctionUtils.getCurveRequirement(target, curveName, exogenousConfigName, exogenousCalculationMethod); final Object curveObject = inputs.getValue(curveRequirement); if (curveObject == null) { throw new OpenGammaRuntimeException("Could not get curve called " + curveName); } final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject; final String fullCurveName = curveName + "_" + target.getUniqueId().getValue(); curves.setCurve(fullCurveName, curve); } curves.addAll(getAllYieldCurves(inputs, exogenousConfig, configSource)); } } final String[] curveNames = curveConfig.getYieldCurveNames(); final ComputationTargetSpecification target = curveConfig.getTarget(); for (final String curveName : curveNames) { final ValueRequirement curveRequirement = YieldCurveFunctionUtils.getCurveRequirement(target, curveName, curveConfig.getCalculationConfigName(), curveConfig.getCalculationMethod()); final Object curveObject = inputs.getValue(curveRequirement); if (curveObject == null) { throw new OpenGammaRuntimeException("Could not get curve called " + curveName); } final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject; final String fullCurveName = curveName + "_" + target.getUniqueId().getValue(); curves.setCurve(fullCurveName, curve); } return curves; } //TODO won't work if curves have different currencies public static YieldCurveBundle getYieldCurves(final FunctionInputs inputs, final MultiCurveCalculationConfig curveConfig) { final YieldCurveBundle curves = new YieldCurveBundle(); final String[] curveNames = curveConfig.getYieldCurveNames(); final ComputationTargetSpecification target = curveConfig.getTarget(); for (final String curveName : curveNames) { final ValueRequirement curveRequirement = YieldCurveFunctionUtils.getCurveRequirement(target, curveName, curveConfig.getCalculationConfigName(), curveConfig.getCalculationMethod()); final Object curveObject = inputs.getValue(curveRequirement); if (curveObject == null) { throw new OpenGammaRuntimeException("Could not get curve called " + curveName); } final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject; final String fullCurveName = curveName + "_" + target.getUniqueId().getValue(); curves.setCurve(fullCurveName, curve); } return curves; } //TODO won't work if curves have different currencies public static YieldCurveBundle getFixedCurves(final FunctionInputs inputs, final MultiCurveCalculationConfig curveConfig, final ConfigDBCurveCalculationConfigSource configSource) { final YieldCurveBundle curves = new YieldCurveBundle(); if (curveConfig.getExogenousConfigData() != null) { final LinkedHashMap<String, String[]> exogenousCurves = curveConfig.getExogenousConfigData(); for (final Map.Entry<String, String[]> entry : exogenousCurves.entrySet()) { final MultiCurveCalculationConfig config = configSource.getConfig(entry.getKey()); curves.addAll(getYieldCurves(inputs, config)); } return curves; } return null; } public static Set<String> intersection(final Set<String> as, final String[] bs) { final Set<String> i = Sets.newHashSetWithExpectedSize(as.size()); for (final String b : bs) { if (as.contains(b)) { i.add(b); } } return i; } }