NoExtrapolationSABRDiscountingBCSFunction.java

/**
 * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.sabr;

import static com.opengamma.engine.value.ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES;
import static com.opengamma.financial.analytics.model.sabr.SABRPropertyValues.NO_EXTRAPOLATION;

import java.util.HashSet;
import java.util.Set;

import org.threeten.bp.Instant;

import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.generic.MarketQuoteSensitivityBlockCalculator;
import com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueCurveSensitivitySABRSwaptionCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
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.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCounts;

/**
 *
 */
public class NoExtrapolationSABRDiscountingBCSFunction extends SABRDiscountingFunction {
  /** The curve sensitivity calculator */
  private static final InstrumentDerivativeVisitor<SABRSwaptionProviderInterface, MultipleCurrencyMulticurveSensitivity> PVCSDC =
      PresentValueCurveSensitivitySABRSwaptionCalculator.getInstance();
  /** The parameter sensitivity calculator */
  private static final ParameterSensitivityParameterCalculator<SABRSwaptionProviderInterface> PSC =
      new ParameterSensitivityParameterCalculator<>(PVCSDC);
  /** The market quote sensitivity calculator */
  private static final MarketQuoteSensitivityBlockCalculator<SABRSwaptionProviderInterface> CALCULATOR =
      new MarketQuoteSensitivityBlockCalculator<>(PSC);

  /**
   * Sets the value requirements to {@link ValueRequirementNames#BLOCK_CURVE_SENSITIVITIES}
   */
  public NoExtrapolationSABRDiscountingBCSFunction() {
    super(BLOCK_CURVE_SENSITIVITIES);
  }

  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
    return new SABRDiscountingCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), false) {

      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final DayCount dayCount = DayCounts.ACT_360; //TODO
        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, sabrData, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
        }
        return result;
      }

      @Override
      protected String getCalculationMethod() {
        return NO_EXTRAPOLATION;
      }
    };
  }

}