com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculationFunction Maven / Gradle / Ivy

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/*
 * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.measure.capfloor;

import java.util.HashMap;
import java.util.Map;
import java.util.Optional;
import java.util.Set;

import com.google.common.collect.ImmutableMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.calc.Measure;
import com.opengamma.strata.calc.runner.CalculationFunction;
import com.opengamma.strata.calc.runner.CalculationParameters;
import com.opengamma.strata.calc.runner.FunctionRequirements;
import com.opengamma.strata.collect.result.FailureReason;
import com.opengamma.strata.collect.result.Result;
import com.opengamma.strata.data.scenario.ScenarioMarketData;
import com.opengamma.strata.measure.Measures;
import com.opengamma.strata.measure.rate.RatesMarketDataLookup;
import com.opengamma.strata.measure.rate.RatesScenarioMarketData;
import com.opengamma.strata.product.capfloor.IborCapFloor;
import com.opengamma.strata.product.capfloor.IborCapFloorTrade;
import com.opengamma.strata.product.capfloor.ResolvedIborCapFloorTrade;

/**
 * Perform calculations on a single {@code IborCapFloorTrade} for each of a set of scenarios.
 * 
 * This uses Black, Normal or SABR cap/floor volatilities,
 * which must be specified using {@link IborCapFloorMarketDataLookup}.
 * An instance of {@link RatesMarketDataLookup} must also be specified.
 * 

 * The supported built-in measures are:
 * 

 *   {@linkplain Measures#PRESENT_VALUE Present value}
 *   
{@linkplain Measures#PV01_CALIBRATED_SUM PV01 calibrated sum on rate curves}
 *   
{@linkplain Measures#PV01_CALIBRATED_BUCKETED PV01 calibrated bucketed on rate curves}
 *   
{@linkplain Measures#PV01_MARKET_QUOTE_SUM PV01 market quote sum on rate curves}
 *   
{@linkplain Measures#PV01_MARKET_QUOTE_BUCKETED PV01 market quote bucketed on rate curves}
 *   
{@linkplain Measures#CURRENCY_EXPOSURE Currency exposure}
 *   
{@linkplain Measures#CURRENT_CASH Current cash}
 *   
{@linkplain Measures#CURRENT_CASH Current cash}
 *   
{@linkplain Measures#RESOLVED_TARGET Resolved trade}
 * 
 * 
 * The "natural" currency is determined from the cap/floor leg.
 */
public class IborCapFloorTradeCalculationFunction
    implements CalculationFunction {

  /**
   * The calculations by measure.
   */
  private static final ImmutableMap CALCULATORS =
      ImmutableMap.builder()
          .put(Measures.PRESENT_VALUE, IborCapFloorMeasureCalculations.DEFAULT::presentValue)
          .put(Measures.PV01_CALIBRATED_SUM, IborCapFloorMeasureCalculations.DEFAULT::pv01RatesCalibratedSum)
          .put(Measures.PV01_CALIBRATED_BUCKETED, IborCapFloorMeasureCalculations.DEFAULT::pv01RatesCalibratedBucketed)
          .put(Measures.PV01_MARKET_QUOTE_SUM, IborCapFloorMeasureCalculations.DEFAULT::pv01RatesMarketQuoteSum)
          .put(Measures.PV01_MARKET_QUOTE_BUCKETED, IborCapFloorMeasureCalculations.DEFAULT::pv01RatesMarketQuoteBucketed)
          .put(Measures.CURRENCY_EXPOSURE, IborCapFloorMeasureCalculations.DEFAULT::currencyExposure)
          .put(Measures.CURRENT_CASH, IborCapFloorMeasureCalculations.DEFAULT::currentCash)
          .put(Measures.RESOLVED_TARGET, (rt, smd, m) -> rt)
          .build();

  private static final ImmutableSet MEASURES = CALCULATORS.keySet();

  /**
   * Creates an instance.
   */
  public IborCapFloorTradeCalculationFunction() {
  }

  //-------------------------------------------------------------------------
  @Override
  public Class targetType() {
    return IborCapFloorTrade.class;
  }

  @Override
  public Set supportedMeasures() {
    return MEASURES;
  }

  @Override
  public Optional identifier(IborCapFloorTrade target) {
    return target.getInfo().getId().map(id -> id.toString());
  }

  @Override
  public Currency naturalCurrency(IborCapFloorTrade trade, ReferenceData refData) {
    return trade.getProduct().getCapFloorLeg().getCurrency();
  }

  //-------------------------------------------------------------------------
  @Override
  public FunctionRequirements requirements(
      IborCapFloorTrade trade,
      Set measures,
      CalculationParameters parameters,
      ReferenceData refData) {

    // extract data from product
    IborCapFloor product = trade.getProduct();
    Set currencies = product.allPaymentCurrencies();
    Set indices = product.allIndices();

    // use lookup to build requirements
    RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class);
    FunctionRequirements ratesReqs = ratesLookup.requirements(currencies, indices);
    IborCapFloorMarketDataLookup capFloorLookup = parameters.getParameter(IborCapFloorMarketDataLookup.class);
    FunctionRequirements capFloorReqs = capFloorLookup.requirements(product.getCapFloorLeg().getIndex());
    return ratesReqs.combinedWith(capFloorReqs);
  }

  //-------------------------------------------------------------------------
  @Override
  public Map> calculate(
      IborCapFloorTrade trade,
      Set measures,
      CalculationParameters parameters,
      ScenarioMarketData scenarioMarketData,
      ReferenceData refData) {

    // expand the trade once for all measures and all scenarios
    ResolvedIborCapFloorTrade resolved = trade.resolve(refData);
    RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class);
    RatesScenarioMarketData ratesMarketData = ratesLookup.marketDataView(scenarioMarketData);
    IborCapFloorMarketDataLookup capFloorLookup = parameters.getParameter(IborCapFloorMarketDataLookup.class);
    IborCapFloorScenarioMarketData capFloorMarketData = capFloorLookup.marketDataView(scenarioMarketData);

    // loop around measures, calculating all scenarios for one measure
    Map> results = new HashMap<>();
    for (Measure measure : measures) {
      results.put(measure, calculate(measure, resolved, ratesMarketData, capFloorMarketData));
    }
    return results;
  }

  // calculate one measure
  private Result calculate(
      Measure measure,
      ResolvedIborCapFloorTrade trade,
      RatesScenarioMarketData ratesMarketData,
      IborCapFloorScenarioMarketData capFloorMarketData) {

    SingleMeasureCalculation calculator = CALCULATORS.get(measure);
    if (calculator == null) {
      return Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for IborCapFloorTrade: {}", measure);
    }
    return Result.of(() -> calculator.calculate(trade, ratesMarketData, capFloorMarketData));
  }

  //-------------------------------------------------------------------------
  @FunctionalInterface
  interface SingleMeasureCalculation {
    public abstract Object calculate(
        ResolvedIborCapFloorTrade trade,
        RatesScenarioMarketData ratesMarketData,
        IborCapFloorScenarioMarketData capFloorMarketData);
  }

}