/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.forex.option.black;
import static com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues.PROPERTY_DAYS_PER_YEAR;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.calculator.OptionThetaBlackForexCalculator;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.option.definition.ForexOptionDataBundle;
import com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle;
import com.opengamma.engine.ComputationTarget;
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.black.BlackDiscountingValueThetaFXOptionFunction;
import com.opengamma.financial.analytics.model.horizon.ThetaPropertyNamesAndValues;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.util.money.CurrencyAmount;
/**
* The function to compute the theoretical theta of Forex options in the Black model.
* @deprecated Use {@link BlackDiscountingValueThetaFXOptionFunction}
*/
@Deprecated
public class FXOptionBlackThetaFunction extends FXOptionBlackSingleValuedFunction {
/** The property name for the theta calculation method */
private static final String OPTION_THETA = "OptionTheta";
/**
* The calculator to compute the theoretical theta value.
*/
private static final OptionThetaBlackForexCalculator CALCULATOR = OptionThetaBlackForexCalculator.getInstance();
/** The default number of days per year */
private static final double DEFAULT_DAYS_PER_YEAR = 365.25;
/**
* Sets the value requirement name to {@link ValueRequirementNames#VALUE_THETA}
*/
public FXOptionBlackThetaFunction() {
super(ValueRequirementNames.VALUE_THETA);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative forex, final ForexOptionDataBundle<?> data, final ComputationTarget target,
final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ValueProperties constraints = desiredValue.getConstraints();
final ValueProperties.Builder resultProperties = constraints.copy();
final double scale;
final Set<String> scaleFactors = constraints.getValues(PROPERTY_DAYS_PER_YEAR);
if (scaleFactors.isEmpty()) {
scale = DEFAULT_DAYS_PER_YEAR;
resultProperties
.withoutAny(PROPERTY_DAYS_PER_YEAR)
.with(PROPERTY_DAYS_PER_YEAR, Double.toString(DEFAULT_DAYS_PER_YEAR));
} else {
scale = Double.parseDouble(scaleFactors.iterator().next());
}
if (data instanceof SmileDeltaTermStructureDataBundle) {
final CurrencyAmount result = forex.accept(CALCULATOR, data);
return Collections.singleton(new ComputedValue(spec, result.getAmount() / scale));
}
throw new OpenGammaRuntimeException("Can only calculate theta for surfaces with smiles");
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
if (constraints.getValues(PROPERTY_DAYS_PER_YEAR) == null || constraints.getValues(PROPERTY_DAYS_PER_YEAR).size() != 1) {
final ValueProperties newConstraints = constraints.copy()
.withoutAny(PROPERTY_DAYS_PER_YEAR)
.with(PROPERTY_DAYS_PER_YEAR, Double.toString(DEFAULT_DAYS_PER_YEAR))
.get();
return Collections.singleton(new ValueRequirement(ValueRequirementNames.VALUE_THETA, target.toSpecification(), newConstraints));
}
return super.getRequirements(context, target, desiredValue);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
if (inputs.size() == 1) {
final Map.Entry<ValueSpecification, ValueRequirement> entry = Iterables.getOnlyElement(inputs.entrySet());
if (ValueRequirementNames.VALUE_THETA.equals(entry.getKey().getValueName())) {
return Collections.singleton(entry.getKey());
}
}
return super.getResults(context, target, inputs);
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target) {
return super.getResultProperties(target)
.with(ThetaPropertyNamesAndValues.PROPERTY_THETA_CALCULATION_METHOD, OPTION_THETA)
.withAny(PROPERTY_DAYS_PER_YEAR);
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final String putCurve, final String putCurveCalculationConfig,
final String callCurve, final String callCurveCalculationConfig, final CurrencyPair baseQuotePair, final ValueProperties optionalProperties) {
return super.getResultProperties(target, putCurve, putCurveCalculationConfig, callCurve, callCurveCalculationConfig, baseQuotePair, optionalProperties)
.with(ThetaPropertyNamesAndValues.PROPERTY_THETA_CALCULATION_METHOD, OPTION_THETA)
.withAny(PROPERTY_DAYS_PER_YEAR);
}
@Override
protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue, final CurrencyPair baseQuotePair) {
final String daysPerYear = desiredValue.getConstraint(PROPERTY_DAYS_PER_YEAR);
return super.getResultProperties(target, desiredValue, baseQuotePair)
.with(ThetaPropertyNamesAndValues.PROPERTY_THETA_CALCULATION_METHOD, OPTION_THETA)
.with(PROPERTY_DAYS_PER_YEAR, daysPerYear);
}
}