/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.black;
import static com.opengamma.engine.value.ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES;
import java.util.HashSet;
import java.util.Set;
import org.threeten.bp.Instant;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.blackswaption.PresentValueCurveSensitivityBlackSwaptionCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.MarketQuoteSensitivityBlockCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSwaptionFlatProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSwaptionFlatProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
/**
* Calculates the sensitivities of a swaption to the bundle of curves used
* in pricing. The Black method is used.
*/
public class BlackDiscountingBCSSwaptionFunction extends BlackDiscountingSwaptionFunction {
/** The curve sensitivity calculator */
private static final InstrumentDerivativeVisitor<BlackSwaptionFlatProviderInterface, MultipleCurrencyMulticurveSensitivity> PVCSDC =
PresentValueCurveSensitivityBlackSwaptionCalculator.getInstance();
/** The parameter sensitivity calculator */
private static final ParameterSensitivityParameterCalculator<BlackSwaptionFlatProviderInterface> PSC =
new ParameterSensitivityParameterCalculator<>(PVCSDC);
/** The market quote sensitivity calculator */
private static final MarketQuoteSensitivityBlockCalculator<BlackSwaptionFlatProviderInterface> CALCULATOR =
new MarketQuoteSensitivityBlockCalculator<>(PSC);
/**
* Sets the value requirements to {@link ValueRequirementNames#BLOCK_CURVE_SENSITIVITIES}
*/
public BlackDiscountingBCSSwaptionFunction() {
super(BLOCK_CURVE_SENSITIVITIES);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new BlackDiscountingCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), false) {
@Override
protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
final FXMatrix fxMatrix) {
final Set<ComputedValue> result = new HashSet<>();
final BlackSwaptionFlatProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks);
for (final ValueRequirement desiredValue : desiredValues) {
final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
result.add(new ComputedValue(spec, sensitivities));
}
return result;
}
};
}
}