/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.equity.option;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.Maps;
import com.opengamma.core.security.Security;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.OpenGammaFunctionExclusions;
import com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames;
import com.opengamma.financial.analytics.model.volatility.surface.black.BlackVolatilitySurfacePropertyNamesAndValues;
import com.opengamma.financial.property.DefaultPropertyFunction;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.util.ArgumentChecker;
/**
* Populates {@link EquityOptionFunction}, including {@link EquityVanillaBarrierOptionBlackFunction}, with defaults appropriate for pricing using an interpolated Black lognormal volatility surface.
*/
public abstract class EquityOptionInterpolatedBlackLognormalDefaults extends DefaultPropertyFunction {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(EquityOptionInterpolatedBlackLognormalDefaults.class);
/** Map of id name to discounting curve configuration */
private final Map<String, Set<String>> _idToDiscountingCurveConfig;
/** Map of id name to discounting curve name */
private final Map<String, Set<String>> _idToDiscountingCurveName;
/** Map of id name to volatility surface name */
private final Map<String, Set<String>> _idToSurfaceName;
/** Map of id name to volatility surface calculation method name */
private final Map<String, Set<String>> _idToSurfaceInterpolatorName;
/** Map of id name to forward curve name */
private final Map<String, Set<String>> _idToForwardCurveName;
/** Map of id name to forward curve calculation method name */
private final Map<String, Set<String>> _idToForwardCurveCalculationMethodName;
/** The priority of this set of defaults */
private final PriorityClass _priority;
/** The value requirement names for which these defaults apply */
private static final String[] s_valueNames = new String[] {
ValueRequirementNames.PRESENT_VALUE,
ValueRequirementNames.VEGA_QUOTE_MATRIX,
ValueRequirementNames.VALUE_VEGA,
ValueRequirementNames.IMPLIED_VOLATILITY,
ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES,
ValueRequirementNames.FORWARD,
ValueRequirementNames.SPOT,
ValueRequirementNames.VALUE_DELTA,
ValueRequirementNames.VALUE_GAMMA,
ValueRequirementNames.VALUE_VOMMA,
ValueRequirementNames.VALUE_VANNA,
ValueRequirementNames.VALUE_RHO,
ValueRequirementNames.VALUE_CARRY_RHO,
ValueRequirementNames.VALUE_THETA,
ValueRequirementNames.VALUE_DUAL_DELTA,
ValueRequirementNames.DELTA,
ValueRequirementNames.GAMMA,
ValueRequirementNames.VOMMA,
ValueRequirementNames.VANNA,
ValueRequirementNames.RHO,
ValueRequirementNames.CARRY_RHO,
ValueRequirementNames.THETA,
ValueRequirementNames.DUAL_DELTA,
ValueRequirementNames.VEGA,
ValueRequirementNames.PNL, // Produced by EquityOption*ScenarioFunction
ValueRequirementNames.POSITION_DELTA,
ValueRequirementNames.POSITION_GAMMA,
ValueRequirementNames.POSITION_RHO,
ValueRequirementNames.POSITION_THETA,
ValueRequirementNames.POSITION_VEGA,
ValueRequirementNames.POSITION_WEIGHTED_VEGA
};
/**
* @param priority The priority class of {@link DefaultPropertyFunction} instances, allowing them to be ordered relative to each other, not null
* @param perIdConfig Defaults values of curve configuration, discounting curve, surface name and interpolation method per id, not null
*/
public EquityOptionInterpolatedBlackLognormalDefaults(final String priority, final String... perIdConfig) {
super(FinancialSecurityTypes.EQUITY_INDEX_OPTION_SECURITY
.or(FinancialSecurityTypes.EQUITY_BARRIER_OPTION_SECURITY)
.or(FinancialSecurityTypes.EQUITY_OPTION_SECURITY), true);
ArgumentChecker.notNull(priority, "priority");
ArgumentChecker.notNull(perIdConfig, "per id configuration");
_priority = PriorityClass.valueOf(priority);
final int nPairs = perIdConfig.length;
ArgumentChecker.isTrue(nPairs % 7 == 0, "Must have discounting name, discounting curve config, surface name, surface interpolation method, forward curve name" +
"and forward curve calculation method per id");
_idToDiscountingCurveName = Maps.newHashMap();
_idToDiscountingCurveConfig = Maps.newHashMap();
_idToSurfaceName = Maps.newHashMap();
_idToSurfaceInterpolatorName = Maps.newHashMap();
_idToForwardCurveName = Maps.newHashMap();
_idToForwardCurveCalculationMethodName = Maps.newHashMap();
for (int i = 0; i < perIdConfig.length; i += 7) {
final String id = perIdConfig[i].toUpperCase();
_idToDiscountingCurveName.put(id, Collections.singleton(perIdConfig[i + 1]));
_idToDiscountingCurveConfig.put(id, Collections.singleton(perIdConfig[i + 2]));
_idToSurfaceName.put(id, Collections.singleton(perIdConfig[i + 3]));
_idToSurfaceInterpolatorName.put(id, Collections.singleton(perIdConfig[i + 4]));
_idToForwardCurveName.put(id, Collections.singleton(perIdConfig[i + 5]));
_idToForwardCurveCalculationMethodName.put(id, Collections.singleton(perIdConfig[i + 6]));
}
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security eqSec = target.getSecurity();
final String id = getId(eqSec);
return _idToDiscountingCurveName.containsKey(id);
}
@Override
protected void getDefaults(final PropertyDefaults defaults) {
for (final String valueName : s_valueNames) {
defaults.addValuePropertyName(valueName, EquityOptionFunction.PROPERTY_DISCOUNTING_CURVE_CONFIG);
defaults.addValuePropertyName(valueName, EquityOptionFunction.PROPERTY_DISCOUNTING_CURVE_NAME);
defaults.addValuePropertyName(valueName, ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_NAME);
defaults.addValuePropertyName(valueName, ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD);
defaults.addValuePropertyName(valueName, ValuePropertyNames.SURFACE);
defaults.addValuePropertyName(valueName, BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SMILE_INTERPOLATOR);
}
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
if (!constraints.isDefined(ValuePropertyNames.CALCULATION_METHOD)) {
return null;
}
Set<String> values = constraints.getValues(ValuePropertyNames.SURFACE_CALCULATION_METHOD);
if ((values == null) || (!values.isEmpty() && !values.contains(BlackVolatilitySurfacePropertyNamesAndValues.INTERPOLATED_BLACK_LOGNORMAL))) {
return null;
}
return super.getRequirements(context, target, desiredValue);
}
@Override
protected Set<String> getDefaultValue(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue, final String propertyName) {
final String id = getId(target.getSecurity());
switch (propertyName) {
case EquityOptionFunction.PROPERTY_DISCOUNTING_CURVE_CONFIG:
return _idToDiscountingCurveConfig.get(id);
case EquityOptionFunction.PROPERTY_DISCOUNTING_CURVE_NAME:
return _idToDiscountingCurveName.get(id);
case ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_NAME:
return _idToForwardCurveName.get(id);
case ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD:
return _idToForwardCurveCalculationMethodName.get(id);
case ValuePropertyNames.SURFACE:
return _idToSurfaceName.get(id);
case BlackVolatilitySurfacePropertyNamesAndValues.PROPERTY_SMILE_INTERPOLATOR:
return _idToSurfaceInterpolatorName.get(id);
default:
s_logger.error("Cannot get a default value for {}", propertyName);
return null;
}
}
@Override
public PriorityClass getPriority() {
return _priority;
}
@Override
public String getMutualExclusionGroup() {
return OpenGammaFunctionExclusions.INTERPOLATED_BLACK_LOGNORMAL_DEFAULTS;
}
/**
* @return All ids for which a default is available
*/
protected Set<String> getAllIds() {
return _idToDiscountingCurveConfig.keySet();
}
/**
* @param security The security
* @return The id for the security
*/
protected abstract String getId(Security security);
}