FXOptionVannaVolgaSingleValuedFunction.java example

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/**
 * 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.vannavolga;

import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction.CALL_CURVE;
import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG;
import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction.PUT_CURVE;
import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG;
import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionFunctionUtils.getResultCurrency;

import java.util.Collections;
import java.util.Map;
import java.util.Set;

import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
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.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.CurrencyPairsFunction;
import com.opengamma.financial.analytics.model.InterpolatedDataProperties;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.util.money.Currency;

/**
 *
 */
public abstract class FXOptionVannaVolgaSingleValuedFunction extends FXOptionVannaVolgaFunction {

  public FXOptionVannaVolgaSingleValuedFunction(final String valueRequirementName) {
    super(valueRequirementName);
  }

  @Override
  public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
    final CurrencyPair baseQuotePair = getBaseQuotePair(context, target, inputs);
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(target, baseQuotePair));
    return Collections.singleton(resultSpec);
  }

  protected CurrencyPair getBaseQuotePair(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
    String currencyPairConfigName = null;
    for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
      final ValueSpecification key = entry.getKey();
      if (key.getValueName().equals(ValueRequirementNames.CURRENCY_PAIRS)) {
        currencyPairConfigName = key.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
        break;
      }
    }
    assert currencyPairConfigName != null;
    final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
    final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
    final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
    if (baseQuotePair == null) {
      throw new OpenGammaRuntimeException("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
    }
    return baseQuotePair;
  }

  @Override
  protected ValueProperties getResultProperties(final ComputationTarget target) {
    return createValueProperties()
        .with(ValuePropertyNames.CALCULATION_METHOD, VANNA_VOLGA_METHOD)
        .withAny(PUT_CURVE)
        .withAny(PUT_CURVE_CALC_CONFIG)
        .withAny(CALL_CURVE)
        .withAny(CALL_CURVE_CALC_CONFIG)
        .withAny(ValuePropertyNames.SURFACE)
        .withAny(InterpolatedDataProperties.X_INTERPOLATOR_NAME)
        .withAny(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME)
        .withAny(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME)
        .withAny(ValuePropertyNames.CURRENCY)
        .withAny(PROPERTY_OTM_DELTA).get();
  }

  protected ValueProperties getResultProperties(final ComputationTarget target, final CurrencyPair baseQuotePair) {
    return createValueProperties()
        .with(ValuePropertyNames.CALCULATION_METHOD, VANNA_VOLGA_METHOD)
        .withAny(PUT_CURVE)
        .withAny(PUT_CURVE_CALC_CONFIG)
        .withAny(CALL_CURVE)
        .withAny(CALL_CURVE_CALC_CONFIG)
        .withAny(ValuePropertyNames.SURFACE)
        .withAny(InterpolatedDataProperties.X_INTERPOLATOR_NAME)
        .withAny(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME)
        .withAny(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME)
        .with(ValuePropertyNames.CURRENCY, getResultCurrency(target, baseQuotePair))
        .withAny(PROPERTY_OTM_DELTA).get();
  }

  @Override
  protected ValueProperties getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue, final CurrencyPair baseQuotePair) {
    final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
    final String callCurveName = desiredValue.getConstraint(CALL_CURVE);
    final String putCurveConfig = desiredValue.getConstraint(PUT_CURVE_CALC_CONFIG);
    final String callCurveConfig = desiredValue.getConstraint(CALL_CURVE_CALC_CONFIG);
    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final String interpolatorName = desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
    final String leftExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
    final String rightExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
    final String delta = desiredValue.getConstraint(PROPERTY_OTM_DELTA);
    return createValueProperties()
        .with(ValuePropertyNames.CALCULATION_METHOD, VANNA_VOLGA_METHOD)
        .with(PUT_CURVE, putCurveName)
        .with(PUT_CURVE_CALC_CONFIG, putCurveConfig)
        .with(CALL_CURVE, callCurveName)
        .with(CALL_CURVE_CALC_CONFIG, callCurveConfig)
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, interpolatorName)
        .with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorName)
        .with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorName)
        .with(ValuePropertyNames.CURRENCY, getResultCurrency(target, baseQuotePair))
        .with(PROPERTY_OTM_DELTA, delta).get();
  }

}