/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.carrlee;
import static com.opengamma.engine.value.ValueRequirementNames.FAIR_VALUE;
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.description.volatilityswap.CarrLeeFXData;
import com.opengamma.analytics.financial.volatilityswap.CarrLeeFXVolatilitySwapCalculator;
import com.opengamma.analytics.financial.volatilityswap.VolatilitySwapCalculatorResult;
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 fair strike of a FX volatility swap using the Carr-Lee model.
*/
public class CarrLeeFairValueFXVolatilitySwapFunction extends CarrLeeFXVolatilitySwapFunction {
/** The fair value calculator */
private static final InstrumentDerivativeVisitor<CarrLeeFXData, VolatilitySwapCalculatorResult> CALCULATOR = new CarrLeeFXVolatilitySwapCalculator();
/**
* Sets the value requirement to {@link ValueRequirementNames#FAIR_VALUE}.
*/
public CarrLeeFairValueFXVolatilitySwapFunction() {
super(FAIR_VALUE);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new CarrLeeFXVolatilitySwapCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), false) {
@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 CarrLeeFXData data = getCarrLeeData(executionContext, inputs, target, fxMatrix);
final VolatilitySwapCalculatorResult result = derivative.accept(CALCULATOR, data);
final double fairValue = result.getFairValue();
final ValueProperties properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy().get();
final ValueSpecification spec = new ValueSpecification(FAIR_VALUE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, fairValue));
}
};
}
}