/**
* 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_QUOTE_MATRIX;
import java.util.Collections;
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.forex.method.PresentValueForexBlackVolatilityQuoteSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.blackforex.QuoteBucketedVegaForexBlackSmileCalculator;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderInterface;
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.model.VegaMatrixUtils;
/**
* Calculates the bucketed vega of FX options using a Black surface and
* curves constructed using the discounting method. The matrix axes are
* (time to expiry, ATM / risk reversal / butterfly).
*/
public class BlackDiscountingVegaQuoteMatrixFXOptionFunction extends BlackDiscountingFXOptionFunction {
/** The present value calculator */
private static final InstrumentDerivativeVisitor<BlackForexSmileProviderInterface, PresentValueForexBlackVolatilityQuoteSensitivityDataBundle> CALCULATOR =
QuoteBucketedVegaForexBlackSmileCalculator.getInstance();
/**
* Sets the value requirement to {@link ValueRequirementNames#VEGA_QUOTE_MATRIX}
*/
public BlackDiscountingVegaQuoteMatrixFXOptionFunction() {
super(VEGA_QUOTE_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 BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
final PresentValueForexBlackVolatilityQuoteSensitivityDataBundle vegas = derivative.accept(CALCULATOR, blackData);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ValueProperties properties = desiredValue.getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(VEGA_QUOTE_MATRIX, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, VegaMatrixUtils.getVegaFXQuoteMatrix(vegas)));
}
};
}
}