/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.option;
import java.util.HashSet;
import java.util.Set;
import org.threeten.bp.Clock;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.option.EquityOptionSecurity;
/**
* Function for the Black-Scholes stock option function (i.e. equity option, no dividends)
*/
@Deprecated
public class AsayMarginedFutureOptionModelFunction extends BlackScholesMertonModelFunction {
@Override
protected StandardOptionDataBundle getDataBundle(final Clock relevantTime, final EquityOptionSecurity option, final FunctionInputs inputs) {
final ZonedDateTime now = ZonedDateTime.now(relevantTime);
final Double spotAsObject = (Double) inputs.getValue(getUnderlyingMarketDataRequirement(option.getUnderlyingId()));
if (spotAsObject == null) {
throw new NullPointerException("No spot value for underlying instrument.");
}
final double spot = spotAsObject;
final YieldAndDiscountCurve curve = YieldCurve.from(ConstantDoublesCurve.from(0.));
final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(ValueRequirementNames.VOLATILITY_SURFACE);
final double b = 0;
return new StandardOptionDataBundle(curve, b, volatilitySurface, spot, now);
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
//REVIEW yomi 03-06-2011 Elaine needs to confirm what this test should be
/*
if (target.getSecurity() instanceof FutureOptionSecurity) {
return ((FutureOptionSecurity) target.getSecurity()).getIsMargined();
}
*/
return true;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> curveNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
if ((curveNames == null) || (curveNames.size() != 1)) {
return null;
}
final String curveName = curveNames.iterator().next();
final EquityOptionSecurity option = (EquityOptionSecurity) target.getSecurity();
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
requirements.add(getUnderlyingMarketDataRequirement(option.getUnderlyingId()));
requirements.add(getVolatilitySurfaceMarketDataRequirement(option, curveName));
return requirements;
}
@Override
public String getShortName() {
return "AsayMarginedFutureOptionModelFunction";
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.EQUITY_OPTION_SECURITY;
}
}