/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.shiftedlognormal;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES;
import java.util.Collections;
import java.util.HashSet;
import java.util.Iterator;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
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.blackcap.PresentValueCurveSensitivityBlackSmileShiftCapCalculator;
import com.opengamma.analytics.financial.provider.calculator.generic.MarketQuoteSensitivityBlockCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.description.interestrate.BlackSmileShiftCapProviderInterface;
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.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
/**
* Calculates the sensitivities of a cap/floor to the bundle of curves used
* in pricing. The shifted lognormal method is used.
*/
public class ShiftedLognormalDiscountingBCSCapFloorFunction extends ShiftedLognormalDiscountingCapFloorFunction {
/** The curve sensitivity calculator */
private static final InstrumentDerivativeVisitor<BlackSmileShiftCapProviderInterface, MultipleCurrencyMulticurveSensitivity> PVCSDC =
PresentValueCurveSensitivityBlackSmileShiftCapCalculator.getInstance();
/** The parameter sensitivity calculator */
private static final ParameterSensitivityParameterCalculator<BlackSmileShiftCapProviderInterface> PSC =
new ParameterSensitivityParameterCalculator<>(PVCSDC);
/** The market quote sensitivity calculator */
private static final MarketQuoteSensitivityBlockCalculator<BlackSmileShiftCapProviderInterface> CALCULATOR =
new MarketQuoteSensitivityBlockCalculator<>(PSC);
/**
* Sets the value requirements to {@link ValueRequirementNames#BLOCK_CURVE_SENSITIVITIES}
*/
public ShiftedLognormalDiscountingBCSCapFloorFunction() {
super(BLOCK_CURVE_SENSITIVITIES);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new ShiftedLognormalDiscountingCompiledFunction(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) {
ValueProperties.Builder properties = null;
if (desiredValues.size() == 1) {
properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy();
} else {
final Iterator<ValueRequirement> iterator = desiredValues.iterator();
final Set<String> curveNames = new HashSet<>();
while (iterator.hasNext()) {
if (properties == null) {
properties = iterator.next().getConstraints().copy();
curveNames.addAll(properties.get().getValues(CURVE));
} else {
curveNames.addAll(iterator.next().getConstraints().getValues(CURVE));
}
}
if (properties == null) {
throw new OpenGammaRuntimeException("No entries in desiredValues");
}
properties.withoutAny(CURVE).with(CURVE, curveNames);
}
final BlackSmileShiftCapProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks);
final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties.get());
return Collections.singleton(new ComputedValue(spec, sensitivities));
}
};
}
}