com.opengamma.strata.function.calculation.rate.fra.AbstractFraFunction.java Source code

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Here is the source code for com.opengamma.strata.function.calculation.rate.fra.AbstractFraFunction.java

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/**
 * Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.function.calculation.rate.fra;

import static com.opengamma.strata.collect.Guavate.toImmutableSet;
import static com.opengamma.strata.engine.calculation.function.FunctionUtils.toScenarioResult;

import java.util.HashSet;
import java.util.Optional;
import java.util.Set;
import java.util.stream.IntStream;

import com.google.common.collect.ImmutableSet;
import com.google.common.collect.Sets;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.IborIndex;
import com.opengamma.strata.basics.market.MarketDataKey;
import com.opengamma.strata.basics.market.ObservableKey;
import com.opengamma.strata.engine.calculation.DefaultSingleCalculationMarketData;
import com.opengamma.strata.engine.calculation.function.result.ScenarioResult;
import com.opengamma.strata.engine.marketdata.CalculationMarketData;
import com.opengamma.strata.engine.marketdata.FunctionRequirements;
import com.opengamma.strata.finance.rate.fra.ExpandedFra;
import com.opengamma.strata.finance.rate.fra.Fra;
import com.opengamma.strata.finance.rate.fra.FraTrade;
import com.opengamma.strata.function.calculation.AbstractCalculationFunction;
import com.opengamma.strata.function.marketdata.MarketDataRatesProvider;
import com.opengamma.strata.market.key.DiscountFactorsKey;
import com.opengamma.strata.market.key.IborIndexRatesKey;
import com.opengamma.strata.market.key.IndexRateKey;
import com.opengamma.strata.pricer.rate.RatesProvider;
import com.opengamma.strata.pricer.rate.fra.DiscountingFraProductPricer;

/**
 * Perform calculations on a single {@code FraTrade} for each of a set of scenarios.
 * 
 * @param <T>  the return type
 */
public abstract class AbstractFraFunction<T> extends AbstractCalculationFunction<FraTrade, ScenarioResult<T>> {

    /**
     * Creates a new instance which will return results from the {@code execute} method that support automatic
     * currency conversion if the underlying results support it.
     */
    protected AbstractFraFunction() {
        super();
    }

    /**
     * Creates a new instance.
     *
     * @param convertCurrencies if this is true the value returned by the {@code execute} method will support
     *   automatic currency conversion if the underlying results support it
     */
    protected AbstractFraFunction(boolean convertCurrencies) {
        super(convertCurrencies);
    }

    //-------------------------------------------------------------------------
    /**
     * Returns the pricer.
     * 
     * @return the pricer
     */
    protected DiscountingFraProductPricer pricer() {
        return DiscountingFraProductPricer.DEFAULT;
    }

    @Override
    public FunctionRequirements requirements(FraTrade trade) {
        Fra fra = trade.getProduct();

        // Create a set of all indices referenced by the FRA
        Set<IborIndex> indices = new HashSet<>();

        // The main index is always present
        indices.add(fra.getIndex());

        // The index used for linear interpolation is optional
        fra.getIndexInterpolated().ifPresent(indices::add);

        // Create a key identifying the rate of each index referenced by the FRA
        Set<ObservableKey> indexRateKeys = indices.stream().map(IndexRateKey::of).collect(toImmutableSet());

        // Create a key identifying the forward curve of each index referenced by the FRA
        Set<MarketDataKey<?>> indexCurveKeys = indices.stream().map(IborIndexRatesKey::of)
                .collect(toImmutableSet());

        // Create a key identifying the discount factors for the FRA currency
        Set<DiscountFactorsKey> discountFactorsKeys = ImmutableSet.of(DiscountFactorsKey.of(fra.getCurrency()));

        return FunctionRequirements.builder()
                .singleValueRequirements(Sets.union(indexCurveKeys, discountFactorsKeys))
                .timeSeriesRequirements(indexRateKeys).outputCurrencies(fra.getCurrency()).build();
    }

    @Override
    public ScenarioResult<T> execute(FraTrade trade, CalculationMarketData marketData) {
        ExpandedFra product = trade.getProduct().expand();
        return IntStream.range(0, marketData.getScenarioCount())
                .mapToObj(index -> new DefaultSingleCalculationMarketData(marketData, index))
                .map(MarketDataRatesProvider::new).map(provider -> execute(product, provider))
                .collect(toScenarioResult(isConvertCurrencies()));
    }

    @Override
    public Optional<Currency> defaultReportingCurrency(FraTrade target) {
        return Optional.of(target.getProduct().getCurrency());
    }

    // execute for a single trade
    protected abstract T execute(ExpandedFra product, RatesProvider provider);

}