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com.opengamma.strata.measure.deposit.TermDepositTradeCalculationFunction Maven / Gradle / Ivy

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

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.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.deposit.ResolvedTermDepositTrade;
import com.opengamma.strata.product.deposit.TermDeposit;
import com.opengamma.strata.product.deposit.TermDepositTrade;

/**
 * Perform calculations on a single {@code TermDepositTrade} for each of a set of scenarios.
 * 

* This uses the standard discounting calculation method. * An instance of {@link RatesMarketDataLookup} must be specified. * The supported built-in measures are: *

    *
  • {@linkplain Measures#PRESENT_VALUE Present value} *
  • {@linkplain Measures#PV01_CALIBRATED_SUM PV01 calibrated sum} *
  • {@linkplain Measures#PV01_CALIBRATED_BUCKETED PV01 calibrated bucketed} *
  • {@linkplain Measures#PV01_MARKET_QUOTE_SUM PV01 market quote sum} *
  • {@linkplain Measures#PV01_MARKET_QUOTE_BUCKETED PV01 market quote bucketed} *
  • {@linkplain Measures#PAR_RATE Par rate} *
  • {@linkplain Measures#PAR_SPREAD Par spread} *
  • {@linkplain Measures#CURRENCY_EXPOSURE Currency exposure} *
  • {@linkplain Measures#CURRENT_CASH Current cash} *
  • {@linkplain Measures#RESOLVED_TARGET Resolved trade} *
*/ public class TermDepositTradeCalculationFunction implements CalculationFunction { /** * The calculations by measure. */ private static final ImmutableMap CALCULATORS = ImmutableMap.builder() .put(Measures.PRESENT_VALUE, TermDepositMeasureCalculations.DEFAULT::presentValue) .put(Measures.PV01_CALIBRATED_SUM, TermDepositMeasureCalculations.DEFAULT::pv01CalibratedSum) .put(Measures.PV01_CALIBRATED_BUCKETED, TermDepositMeasureCalculations.DEFAULT::pv01CalibratedBucketed) .put(Measures.PV01_MARKET_QUOTE_SUM, TermDepositMeasureCalculations.DEFAULT::pv01MarketQuoteSum) .put(Measures.PV01_MARKET_QUOTE_BUCKETED, TermDepositMeasureCalculations.DEFAULT::pv01MarketQuoteBucketed) .put(Measures.PAR_RATE, TermDepositMeasureCalculations.DEFAULT::parRate) .put(Measures.PAR_SPREAD, TermDepositMeasureCalculations.DEFAULT::parSpread) .put(Measures.CURRENCY_EXPOSURE, TermDepositMeasureCalculations.DEFAULT::currencyExposure) .put(Measures.CURRENT_CASH, TermDepositMeasureCalculations.DEFAULT::currentCash) .put(Measures.RESOLVED_TARGET, (rt, smd) -> rt) .build(); private static final ImmutableSet MEASURES = CALCULATORS.keySet(); /** * Creates an instance. */ public TermDepositTradeCalculationFunction() { } //------------------------------------------------------------------------- @Override public Class targetType() { return TermDepositTrade.class; } @Override public Set supportedMeasures() { return MEASURES; } @Override public Optional identifier(TermDepositTrade target) { return target.getInfo().getId().map(id -> id.toString()); } @Override public Currency naturalCurrency(TermDepositTrade trade, ReferenceData refData) { return trade.getProduct().getCurrency(); } //------------------------------------------------------------------------- @Override public FunctionRequirements requirements( TermDepositTrade trade, Set measures, CalculationParameters parameters, ReferenceData refData) { // extract data from product TermDeposit product = trade.getProduct(); Currency currency = product.getCurrency(); // use lookup to build requirements RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class); return ratesLookup.requirements(currency); } //------------------------------------------------------------------------- @Override public Map> calculate( TermDepositTrade trade, Set measures, CalculationParameters parameters, ScenarioMarketData scenarioMarketData, ReferenceData refData) { // resolve the trade once for all measures and all scenarios ResolvedTermDepositTrade resolved = trade.resolve(refData); // use lookup to query market data RatesMarketDataLookup ratesLookup = parameters.getParameter(RatesMarketDataLookup.class); RatesScenarioMarketData marketData = ratesLookup.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, marketData)); } return results; } // calculate one measure private Result calculate( Measure measure, ResolvedTermDepositTrade trade, RatesScenarioMarketData marketData) { SingleMeasureCalculation calculator = CALCULATORS.get(measure); if (calculator == null) { return Result.failure(FailureReason.UNSUPPORTED, "Unsupported measure for TermDepositTrade: {}", measure); } return Result.of(() -> calculator.calculate(trade, marketData)); } //------------------------------------------------------------------------- @FunctionalInterface interface SingleMeasureCalculation { public abstract Object calculate( ResolvedTermDepositTrade trade, RatesScenarioMarketData marketData); } }




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