/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.trs;
import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY;
import static com.opengamma.engine.value.ValueRequirementNames.VALUE_DELTA;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.equity.EquityTrsDataBundle;
import com.opengamma.analytics.financial.equity.trs.calculator.EqyTrsValueDeltaCalculator;
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.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;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.MultipleCurrencyAmount;
/**
* Calculates the value delta of an equity total return swap security, i.e. the exposure to the underlying equity.
*/
public class EquityTotalReturnSwapValueDeltaFunction extends EquityTotalReturnSwapFunction {
/** The calculator */
private static final InstrumentDerivativeVisitor<EquityTrsDataBundle, MultipleCurrencyAmount> CALCULATOR =
EqyTrsValueDeltaCalculator.getInstance();
/**
* Sets the value requirement to {@link ValueRequirementNames#VALUE_DELTA}.
*/
public EquityTotalReturnSwapValueDeltaFunction() {
super(VALUE_DELTA);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new EquityTotalReturnSwapCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@SuppressWarnings("synthetic-access")
@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 ValueProperties properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(VALUE_DELTA, target.toSpecification(), properties);
final EquityTrsDataBundle data = getDataBundle(inputs, fxMatrix);
final MultipleCurrencyAmount valueDelta = derivative.accept(CALCULATOR, data);
final String expectedCurrency = spec.getProperty(CURRENCY);
if (expectedCurrency == null) {
throw new OpenGammaRuntimeException("Expected currency is null");
}
double pvConverted = fxMatrix.convert(valueDelta, Currency.of(expectedCurrency)).getAmount();
return Collections.singleton(new ComputedValue(spec, pvConverted));
}
};
}
}