/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.forex.option.callspreadblack;
import java.text.DecimalFormat;
import java.util.Collections;
import java.util.Set;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.calculator.PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator;
import com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityNodeSensitivityDataBundle;
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.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.DoubleLabelledMatrix2D;
import com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues;
/**
* The function calculating the Black volatility sensitivity to the matrix with volatility data.
*/
public class FXDigitalCallSpreadBlackVegaMatrixFunction extends FXDigitalCallSpreadBlackSingleValuedFunction {
private static final DecimalFormat DELTA_FORMATTER = new DecimalFormat("##");
public FXDigitalCallSpreadBlackVegaMatrixFunction() {
super(ValueRequirementNames.VEGA_MATRIX);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative fxDigital, final ForexOptionDataBundle<?> data, final ComputationTarget target,
final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
final String spreadName = Iterables.getOnlyElement(desiredValues).getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
final double spread = Double.parseDouble(spreadName);
final PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator(spread);
final PresentValueForexBlackVolatilityNodeSensitivityDataBundle result = fxDigital.accept(calculator, (SmileDeltaTermStructureDataBundle) data.getVolatilityModel());
final double[] expiries = result.getExpiries().getData();
final double[] delta = result.getDelta().getData();
final double[][] vega = result.getVega().getData();
final int nDelta = delta.length;
final int nExpiries = expiries.length;
final Double[] rowValues = new Double[nExpiries];
final String[] rowLabels = new String[nExpiries];
final Double[] columnValues = new Double[nDelta];
final String[] columnLabels = new String[nDelta];
final double[][] values = new double[nDelta][nExpiries];
for (int i = 0; i < nDelta; i++) {
columnValues[i] = delta[i];
columnLabels[i] = "P" + DELTA_FORMATTER.format(delta[i] * 100) + " " + result.getCurrencyPair().getFirst() + "/" + result.getCurrencyPair().getSecond();
for (int j = 0; j < nExpiries; j++) {
if (i == 0) {
rowValues[j] = expiries[j];
rowLabels[j] = getFormattedExpiry(expiries[j]);
}
values[i][j] = vega[j][i];
}
}
return Collections.singleton(new ComputedValue(spec, new DoubleLabelledMatrix2D(rowValues, rowLabels, columnValues, columnLabels, values)));
}
private static String getFormattedExpiry(final double expiry) {
if (expiry < 1. / 54) {
final int days = (int) Math.ceil((365 * expiry));
return days + "D";
}
if (expiry < 1. / 13) {
final int weeks = (int) Math.ceil((52 * expiry));
return weeks + "W";
}
if (expiry < 0.95) {
final int months = (int) Math.ceil((12 * expiry));
return months + "M";
}
return ((int) Math.ceil(expiry)) + "Y";
}
}