/**
 * Copyright (C) 2014 - 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.SECURITY_IMPLIED_VOLATILITY;
import static com.opengamma.financial.analytics.model.sabr.SABRPropertyValues.NO_EXTRAPOLATION;

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

import org.threeten.bp.Instant;

import com.google.common.collect.Iterables;
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.sabrswaption.ImpliedVolatilitySABRSwaptionCalculator;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderInterface;
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;

/**
 * Calculates the (Black Lognormal) {@link ValueRequirementNames#SECURITY_IMPLIED_VOLATILITY} of target Swaption Trade from calibrated SABR model.<p>
 * Uses curves constructed using the discounting method. 
 */
public class NoExtrapolationSABRDiscountingImpliedVolFunction extends SABRDiscountingFunction {

  /** The Implied Vol calculator */
  private static final InstrumentDerivativeVisitor<SABRSwaptionProviderInterface, Double> CALCULATOR = ImpliedVolatilitySABRSwaptionCalculator.getInstance();

  /** Sets the value requirements to {@link ValueRequirementNames#SECURITY_IMPLIED_VOLATILITY} */
  public NoExtrapolationSABRDiscountingImpliedVolFunction() {
    super(SECURITY_IMPLIED_VOLATILITY);
  }
  
  @Override
  public CompiledFunctionDefinition compile(FunctionCompilationContext context, Instant atInstant) {
    return new SABRDiscountingCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {

      @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 DayCount dayCount = DayCounts.ACT_360; //TODO Remove daycount from getSABRSurfaces(). It is not used
        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, null);
        final double impliedVol = derivative.accept(CALCULATOR, sabrData);
        final ValueSpecification spec = new ValueSpecification(SECURITY_IMPLIED_VOLATILITY, target.toSpecification(), Iterables.getOnlyElement(desiredValues).getConstraints());
        return Collections.singleton(new ComputedValue(spec, impliedVol));
      }

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

}