/**
* 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.localvol;
import java.util.Collections;
import java.util.Set;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.conversion.ForexDomesticPipsToPresentValueConverter;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
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.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.forex.ConventionBasedFXRateFunction;
import com.opengamma.financial.analytics.model.volatility.local.LocalVolatilityPDEFunction;
import com.opengamma.financial.analytics.model.volatility.local.LocalVolatilitySurfacePropertyNamesAndValues;
import com.opengamma.financial.analytics.model.volatility.local.LocalVolatilitySurfaceUtils;
import com.opengamma.financial.analytics.model.volatility.local.PDEFunctionUtils;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.option.FXOptionSecurity;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
*
*/
public class FXOptionLocalVolatilityForwardPDEPresentValueFunction extends AbstractFunction.NonCompiledInvoker {
private final String _blackSmileInterpolatorName;
public FXOptionLocalVolatilityForwardPDEPresentValueFunction(final String blackSmileInterpolatorName) {
ArgumentChecker.notNull(blackSmileInterpolatorName, "Black smile interpolator name");
_blackSmileInterpolatorName = blackSmileInterpolatorName;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final FXOptionSecurity fxOption = (FXOptionSecurity) target.getSecurity();
final Currency putCurrency = fxOption.getPutCurrency();
final Currency callCurrency = fxOption.getCallCurrency();
final double putAmount = fxOption.getPutAmount();
final double callAmount = fxOption.getCallAmount();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueRequirement priceRequirement = getPriceRequirement(target, desiredValue);
final Object priceObject = inputs.getValue(priceRequirement);
if (priceObject == null) {
throw new OpenGammaRuntimeException("Pips PV was null");
}
final ValueRequirement spotRequirement = getSpotRequirement(fxOption);
final Object spotObject = inputs.getValue(spotRequirement);
if (spotObject == null) {
throw new OpenGammaRuntimeException("FX spot rate was null");
}
final double spotFX = (Double) spotObject;
final Double price = (Double) priceObject;
final MultipleCurrencyAmount pvs = ForexDomesticPipsToPresentValueConverter.convertDomesticPipsToFXPresentValue(price, spotFX, putCurrency, callCurrency, putAmount, callAmount);
final ValueProperties properties = getResultProperties(desiredValue);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.FX_PRESENT_VALUE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, pvs));
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.FX_OPTION_SECURITY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = getResultProperties();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.FX_PRESENT_VALUE, target.toSpecification(), properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<ValueRequirement> requirements = PDEFunctionUtils.ensureForwardPDEFunctionProperties(constraints);
if (requirements == null) {
return null;
}
final ValueRequirement priceRequirement = getPriceRequirement(target, desiredValue);
final ValueRequirement spotRequirement = getSpotRequirement((FXOptionSecurity) target.getSecurity());
return Sets.newHashSet(priceRequirement, spotRequirement);
}
private ValueRequirement getSpotRequirement(final FXOptionSecurity fxOption) {
final Currency putCurrency = fxOption.getPutCurrency();
final Currency callCurrency = fxOption.getCallCurrency();
return ConventionBasedFXRateFunction.getSpotRateRequirement(callCurrency, putCurrency);
}
private ValueRequirement getPriceRequirement(final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties properties = getPriceProperties(desiredValue);
return new ValueRequirement(ValueRequirementNames.PRESENT_VALUE, target.toSpecification(), properties);
}
private ValueProperties getResultProperties() {
ValueProperties result = createValueProperties().get();
result = LocalVolatilitySurfaceUtils.addAllDupireLocalVolatilitySurfaceProperties(result, InstrumentTypeProperties.FOREX, _blackSmileInterpolatorName,
LocalVolatilitySurfacePropertyNamesAndValues.MONEYNESS).get();
result = PDEFunctionUtils.addForwardPDEProperties(result)
.with(ValuePropertyNames.CALCULATION_METHOD, LocalVolatilityPDEFunction.CALCULATION_METHOD).get();
return result;
}
private ValueProperties getResultProperties(final ValueRequirement desiredValue) {
ValueProperties result = createValueProperties().get();
result = LocalVolatilitySurfaceUtils.addAllDupireLocalVolatilitySurfaceProperties(result, InstrumentTypeProperties.FOREX, _blackSmileInterpolatorName,
LocalVolatilitySurfacePropertyNamesAndValues.MONEYNESS, desiredValue).get();
result = PDEFunctionUtils.addForwardPDEProperties(result, desiredValue)
.with(ValuePropertyNames.CALCULATION_METHOD, LocalVolatilityPDEFunction.CALCULATION_METHOD).get();
return result;
}
private ValueProperties getPriceProperties(final ValueRequirement desiredValue) {
ValueProperties result = ValueProperties.builder().get();
result = LocalVolatilitySurfaceUtils.addAllDupireLocalVolatilitySurfaceProperties(result, InstrumentTypeProperties.FOREX, _blackSmileInterpolatorName,
LocalVolatilitySurfacePropertyNamesAndValues.MONEYNESS, desiredValue).get();
result = PDEFunctionUtils.addForwardPDEProperties(result, desiredValue)
.with(ValuePropertyNames.CALCULATION_METHOD, LocalVolatilityPDEFunction.CALCULATION_METHOD).get();
return result;
}
}