/**
* Copyright (C) 2014 - 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.ArrayList;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
import com.opengamma.analytics.financial.equity.EqyOptRollGeskeWhaleyGreekCalculator;
import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle;
import com.opengamma.analytics.financial.equity.option.EquityOption;
import com.opengamma.analytics.financial.greeks.Greek;
import com.opengamma.analytics.financial.greeks.GreekResultCollection;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.FunctionCompilationContext;
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;
/**
* Produces Greeks for American call option by using Roll-Geske-Whaley model
*/
public class ListedEquityOptionRollGeskeWhaleyGreeksFunction extends ListedEquityOptionRollGeskeWhaleyFunction {
/** Value requirement names */
private static final String[] GREEK_NAMES = new String[] {
ValueRequirementNames.DELTA,
ValueRequirementNames.DUAL_DELTA,
ValueRequirementNames.RHO,
ValueRequirementNames.CARRY_RHO,
ValueRequirementNames.VEGA,
ValueRequirementNames.THETA,
ValueRequirementNames.GAMMA
};
/** Equivalent greeks */
private static final Greek[] GREEKS = new Greek[] {
Greek.DELTA,
Greek.DUAL_DELTA,
Greek.RHO,
Greek.CARRY_RHO,
Greek.VEGA,
Greek.THETA,
Greek.GAMMA
};
/**
* Default constructor
*/
public ListedEquityOptionRollGeskeWhaleyGreeksFunction() {
super(GREEK_NAMES);
}
@Override
protected Set<ComputedValue> computeValues(final InstrumentDerivative derivative, final StaticReplicationDataBundle market, final FunctionInputs inputs,
final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) {
GreekResultCollection greeks;
if (derivative instanceof EquityOption) {
final EquityOption option = (EquityOption) derivative;
final Set<ComputedValue> obj = (new ListedEquityOptionRollGeskeWhaleyImpliedVolFunction()).computeValues(derivative, market, inputs, desiredValues, targetSpec, resultProperties);
ArrayList<ComputedValue> nameList = new ArrayList<>(obj);
ComputedValue value = nameList.get(0);
Double impliedVol = (Double) value.getValue();
greeks = EqyOptRollGeskeWhaleyGreekCalculator.getInstance().getGreeksDirectEquityOption(option, market, impliedVol);
} else {
greeks = derivative.accept(EqyOptRollGeskeWhaleyGreekCalculator.getInstance(), market);
}
final Set<ComputedValue> result = new HashSet<>();
for (int i = 0; i < GREEKS.length; i++) {
final ValueSpecification spec = new ValueSpecification(GREEK_NAMES[i], targetSpec, resultProperties);
final double greek = greeks.get(GREEKS[i]);
result.add(new ComputedValue(spec, greek));
}
return result;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final Set<ValueSpecification> resultsWithCcy = super.getResults(context, target, inputs);
return getResultsWithoutCurrency(resultsWithCcy);
}
}