/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.forex.option;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.model.forex.ConventionBasedFXRateFunction;
import com.opengamma.financial.analytics.model.futureoption.BarrierOptionDistanceFunction;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.option.FXBarrierOptionSecurity;
import com.opengamma.financial.security.option.FXDigitalOptionSecurity;
// logic in getBarrierLevel() / getMarketDataRequirement() probably implies this should be refactored
/**
* Function to compute barrier distance for equity options Defined as absolute difference (optionally expressed as a percentage) between barrier level and market price
*/
public class FXBarrierOptionDistanceFunction extends BarrierOptionDistanceFunction {
/**
*/
public FXBarrierOptionDistanceFunction() {
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.FX_BARRIER_OPTION_SECURITY
.or(FinancialSecurityTypes.FX_DIGITAL_OPTION_SECURITY);
}
@Override
protected ValueRequirement getMarketDataRequirement(FinancialSecurity security) {
if (security instanceof FXBarrierOptionSecurity) {
final FXBarrierOptionSecurity barrierOption = (FXBarrierOptionSecurity) security;
return ConventionBasedFXRateFunction.getSpotRateRequirement(barrierOption.getCallCurrency(), barrierOption.getPutCurrency());
} else if (security instanceof FXDigitalOptionSecurity) {
final FXDigitalOptionSecurity digitalOption = (FXDigitalOptionSecurity) security;
return ConventionBasedFXRateFunction.getSpotRateRequirement(digitalOption.getCallCurrency(), digitalOption.getPutCurrency());
} else {
throw new OpenGammaRuntimeException("Got unexpected security type " + security);
}
}
@Override
protected Double getSpot(final FunctionInputs inputs) {
final Object spotObject = inputs.getValue(ValueRequirementNames.SPOT_RATE);
if (spotObject == null) {
throw new OpenGammaRuntimeException("Could not get spot for " + inputs.getAllValues().iterator().next().getSpecification().getTargetSpecification());
}
return (Double) spotObject;
}
@Override
public double getBarrierLevel(FinancialSecurity security) {
// yes this should be a visitor
if (security instanceof FXBarrierOptionSecurity) {
return ((FXBarrierOptionSecurity) security).getBarrierLevel();
} else if (security instanceof FXDigitalOptionSecurity) {
final FXDigitalOptionSecurity digitalSecurity = (FXDigitalOptionSecurity) security;
return digitalSecurity.getCallAmount() / digitalSecurity.getPutAmount();
} else {
throw new OpenGammaRuntimeException("Got unexpected security type " + security);
}
}
}