/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.black;
import static com.opengamma.engine.value.ValueRequirementNames.IMPLIED_VOLATILITY;
import static com.opengamma.engine.value.ValueRequirementNames.SECURITY_IMPLIED_VOLATILITY;
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.provider.description.interestrate.BlackSwaptionFlatProvider;
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;
/**
* Function that returns the implied volatility of a swaption. There are no volatility modelling
* assumptions made; the implied volatility is read directly from the market data system.
*/
public class ConstantBlackDiscountingImpliedVolatilitySwaptionFunction extends ConstantBlackDiscountingSwaptionFunction {
/**
* Sets the value requirement to {@link ValueRequirementNames#SECURITY_IMPLIED_VOLATILITY}
*/
public ConstantBlackDiscountingImpliedVolatilitySwaptionFunction() {
super(SECURITY_IMPLIED_VOLATILITY);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new BlackDiscountingCompiledFunction(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 BlackSwaptionFlatProvider blackData = getSwaptionBlackSurface(executionContext, inputs, target, fxMatrix);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ValueProperties properties = desiredValue.getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(IMPLIED_VOLATILITY, target.toSpecification(), properties);
final Double impliedVolatility = blackData.getBlackParameters().getVolatility(0, 0);
return Collections.singleton(new ComputedValue(spec, impliedVolatility));
}
};
}
}