/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.volatility.surface;
import java.util.HashMap;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.OptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.volatility.surface.BlackScholesMertonImpliedVolatilitySurfaceModel;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.option.EquityOptionSecurity;
import com.opengamma.financial.security.option.OptionType;
import com.opengamma.id.ExternalId;
import com.opengamma.id.UniqueId;
import com.opengamma.util.money.Currency;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
/**
*
*/
public class BlackScholesMertonImpliedVolatilitySurfaceFunction extends AbstractFunction.NonCompiledInvoker {
private final BlackScholesMertonImpliedVolatilitySurfaceModel _volatilitySurfaceModel;
public BlackScholesMertonImpliedVolatilitySurfaceFunction() {
_volatilitySurfaceModel = new BlackScholesMertonImpliedVolatilitySurfaceModel();
}
@Override
public String getShortName() {
return "BlackScholesMertonImpliedVolatilitySurface";
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.EQUITY_OPTION_SECURITY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties.Builder props = createValueProperties((EquityOptionSecurity) target.getSecurity());
props.withAny(ValuePropertyNames.CURVE);
return Sets.newHashSet(createVolSurfaceResultSpecification(target.toSpecification(), props), createImpliedVolResultSpecification(target.toSpecification(), props));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> curveNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
if ((curveNames == null) || (curveNames.size() != 1)) {
return null;
}
final String curveName = curveNames.iterator().next();
final EquityOptionSecurity optionSec = (EquityOptionSecurity) target.getSecurity();
final ValueRequirement optionMarketDataReq = getPriceRequirement(optionSec.getUniqueId());
final ValueRequirement underlyingMarketDataReq = getPriceRequirement(optionSec.getUnderlyingId());
final ValueRequirement discountCurveReq = getDiscountCurveMarketDataRequirement(optionSec.getCurrency(), curveName);
// TODO will need a cost-of-carry model as well
final Set<ValueRequirement> optionRequirements = new HashSet<ValueRequirement>();
optionRequirements.add(optionMarketDataReq);
optionRequirements.add(underlyingMarketDataReq);
optionRequirements.add(discountCurveReq);
return optionRequirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
String curveName = null;
for (final ValueSpecification input : inputs.keySet()) {
if (ValueRequirementNames.YIELD_CURVE.equals(input.getValueName())) {
curveName = input.getProperty(ValuePropertyNames.CURVE);
}
}
final ValueProperties.Builder props = createValueProperties((EquityOptionSecurity) target.getSecurity());
props.with(ValuePropertyNames.CURVE, curveName);
return Sets.newHashSet(createVolSurfaceResultSpecification(target.toSpecification(), props), createImpliedVolResultSpecification(target.toSpecification(), props));
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ZonedDateTime today = ZonedDateTime.now(executionContext.getValuationClock());
final EquityOptionSecurity optionSec = (EquityOptionSecurity) target.getSecurity();
// Get inputs:
final ValueRequirement optionPriceReq = getPriceRequirement(optionSec.getUniqueId());
final ValueRequirement underlyingPriceReq = getPriceRequirement(optionSec.getUnderlyingId());
final Double optionPrice = (Double) inputs.getValue(optionPriceReq);
final Double underlyingPrice = (Double) inputs.getValue(underlyingPriceReq);
final YieldAndDiscountCurve discountCurve = (YieldAndDiscountCurve) inputs.getValue(ValueRequirementNames.YIELD_CURVE);
// TODO cost-of-carry model
if (optionPrice == null) {
throw new OpenGammaRuntimeException("No market value for option price");
}
if (underlyingPrice == null) {
throw new OpenGammaRuntimeException("No market value for underlying price");
}
// Perform the calculation:
final Expiry expiry = optionSec.getExpiry();
final double years = DateUtils.getDifferenceInYears(today, expiry.getExpiry());
final double b = discountCurve.getInterestRate(years); // TODO
final OptionDefinition europeanVanillaOptionDefinition = new EuropeanVanillaOptionDefinition(optionSec.getStrike(), expiry, (optionSec.getOptionType() == OptionType.CALL));
final Map<OptionDefinition, Double> prices = new HashMap<OptionDefinition, Double>();
prices.put(europeanVanillaOptionDefinition, optionPrice);
final VolatilitySurface volatilitySurface = _volatilitySurfaceModel.getSurface(prices, new StandardOptionDataBundle(discountCurve, b, null, underlyingPrice, today));
//This is so cheap no need to check desired values
final double impliedVol = volatilitySurface.getVolatility(0.0, 0.0); //This surface is constant
// Package the result
final ValueProperties.Builder properties = createValueProperties(optionSec);
properties.with(ValuePropertyNames.CURVE, desiredValues.iterator().next().getConstraint(ValuePropertyNames.CURVE));
final ValueSpecification resultSpec = createVolSurfaceResultSpecification(target.toSpecification(), properties);
final ComputedValue resultValue = new ComputedValue(resultSpec, volatilitySurface);
final ValueSpecification impliedResultSpec = createImpliedVolResultSpecification(target.toSpecification(), properties);
final ComputedValue impliedResultValue = new ComputedValue(impliedResultSpec, impliedVol);
return Sets.newHashSet(resultValue, impliedResultValue);
}
protected ValueProperties.Builder createValueProperties(final EquityOptionSecurity targetSecurity) {
return createValueProperties().with(ValuePropertyNames.CURRENCY, targetSecurity.getCurrency().getCode());
}
protected ValueSpecification createVolSurfaceResultSpecification(final ComputationTargetSpecification target, final ValueProperties.Builder props) {
return new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE, target, props.get());
}
protected ValueSpecification createImpliedVolResultSpecification(final ComputationTargetSpecification target, final ValueProperties.Builder props) {
return new ValueSpecification(ValueRequirementNames.SECURITY_IMPLIED_VOLATILITY, target, props.get());
}
private ValueRequirement getPriceRequirement(final UniqueId uid) {
return new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.SECURITY, uid);
}
private ValueRequirement getPriceRequirement(final ExternalId eid) {
return new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.SECURITY, eid);
}
private ValueRequirement getDiscountCurveMarketDataRequirement(final Currency currency, final String curveName) {
return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetSpecification.of(currency), ValueProperties.with(ValuePropertyNames.CURVE, curveName).get());
}
}