/**
* 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 com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.greeks.AvailableGreeks;
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 GarmanKohlhagenFXOptionModelFunction extends BlackScholesMertonModelFunction {
@Override
protected StandardOptionDataBundle getDataBundle(final Clock relevantTime, final EquityOptionSecurity option, final FunctionInputs inputs) {
//REVIEW yomi 03-06-2011 Elaine needs to confirm what needs to go here because we cannot deal with FXOptionSecurity here
/*
final ZonedDateTime now = relevantTime.zonedDateTime();
final FXOptionSecurity fxOption = (FXOptionSecurity) option;
final Security underlying = secMaster.getSecurity(ExternalIdBundle.of(option.getUnderlyingIdentifier())); //TODO make sure spot FX rate is right way up
final Double spotAsObject = (Double) inputs.getValue(getUnderlyingMarketDataRequirement(underlying.getUniqueId()));
if (spotAsObject == null) {
throw new NullPointerException("No spot value for underlying instrument.");
}
final double spot = spotAsObject;
final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(getVolatilitySurfaceMarketDataRequirement(option));
//TODO check call / put are actually the right way around
final YieldAndDiscountCurve domesticCurve = (YieldAndDiscountCurve) inputs.getValue(getYieldCurveMarketDataRequirement(fxOption.getCallCurrency().getUniqueId()));
final YieldAndDiscountCurve foreignCurve = (YieldAndDiscountCurve) inputs.getValue(getYieldCurveMarketDataRequirement(fxOption.getPutCurrency().getUniqueId()));
final Expiry expiry = option.getExpiry();
final double t = DateUtil.getDifferenceInYears(now, expiry.getExpiry().toInstant());
final double b = foreignCurve.getInterestRate(t); //TODO not great but needs an analytics refactor
return new StandardOptionDataBundle(domesticCurve, b, volatilitySurface, spot, now);
*/
throw new UnsupportedOperationException();
}
@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 OptionSecurity) {
return target.getSecurity() instanceof FXOptionSecurity;
}
*/
return true;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
if (canApplyTo(context, target)) {
//REVIEW yomi 03-06-2011 Elaine needs to confirm what needs to go here because we cannot deal with FXOptionSecurity here
/*
final FXOptionSecurity option = (FXOptionSecurity) target.getSecurity();
final SecuritySource secMaster = context.getSecuritySource();
final Security underlying = secMaster.getSecurity(ExternalIdBundle.of(option.getUnderlyingIdentifier()));
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
requirements.add(getUnderlyingMarketDataRequirement(underlying.getUniqueId()));
requirements.add(getVolatilitySurfaceMarketDataRequirement(option));
requirements.add(getYieldCurveMarketDataRequirement(option.getCallCurrency().getUniqueId()));
requirements.add(getYieldCurveMarketDataRequirement(option.getPutCurrency().getUniqueId()));
return requirements;
*/
throw new UnsupportedOperationException();
}
return null;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ComputationTargetSpecification targetSpec = target.toSpecification();
final Set<ValueSpecification> results = new HashSet<ValueSpecification>();
final ValueProperties properties = createValueProperties().get();
for (final String valueName : AvailableGreeks.getAllGreekNames()) {
results.add(new ValueSpecification(valueName, targetSpec, properties));
}
return results;
}
@Override
public String getShortName() {
return "GarmanKohlhagenFXOptionModelFunction";
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.EQUITY_OPTION_SECURITY;
}
}