/**
* 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.VEGA_MATRIX;
import java.util.Collections;
import java.util.HashMap;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.SwaptionSurfaceSensitivityNodeCalculator;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.interestrate.sensitivity.PresentValueSwaptionSurfaceSensitivity;
import com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters;
import com.opengamma.analytics.financial.provider.calculator.blackswaption.PresentValueBlackSensitivityBlackSwaptionCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSwaptionFlatProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSwaptionFlatProviderInterface;
import com.opengamma.analytics.util.amount.SurfaceValue;
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.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.DoubleLabelledMatrix2D;
import com.opengamma.financial.analytics.model.VegaMatrixUtils;
import com.opengamma.financial.security.option.SwaptionSecurity;
import com.opengamma.util.tuple.DoublesPair;
/**
* Calculates the At-The-Money {@link ValueRequirementNames#VEGA_MATRIX} of a {@link SwaptionSecurity}
* using a Black (lognormal) surface and curves constructed using the Discounting method.
*
*/
public class BlackDiscountingVegaMatrixSwaptionFunction extends BlackDiscountingSwaptionFunction {
/** The value vega calculator */
private static final InstrumentDerivativeVisitor<BlackSwaptionFlatProviderInterface, PresentValueSwaptionSurfaceSensitivity> VEGA_CALCULATOR =
PresentValueBlackSensitivityBlackSwaptionCalculator.getInstance();
/**
* Sets the value requirement to {@link ValueRequirementNames#VEGA_MATRIX}
*/
public BlackDiscountingVegaMatrixSwaptionFunction() {
super(VEGA_MATRIX);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new BlackDiscountingCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@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 BlackSwaptionFlatProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
// Compute scalar value of the Black Vega
final PresentValueSwaptionSurfaceSensitivity vegaSens = derivative.accept(VEGA_CALCULATOR, blackData);
// Distribute the vega back onto the nodes of the Vol Surface according to the interpolator
final PresentValueSwaptionSurfaceSensitivity vegaMap = (new SwaptionSurfaceSensitivityNodeCalculator()).calculateNodeSensitivities(vegaSens, blackData.getBlackParameters());
// Repackage the sensitivities into a format easy that's fit for display
DoubleLabelledMatrix2D vegaMatrix = VegaMatrixUtils.getVegaSwaptionMatrix(vegaMap);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ValueProperties properties = desiredValue.getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(VEGA_MATRIX, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, vegaMatrix));
}
};
}
}