/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.equity; import java.util.Collections; import java.util.Set; import com.google.common.collect.Sets; import com.opengamma.engine.ComputationTarget; 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.ValueRequirement; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.engine.value.ValueSpecification; import com.opengamma.financial.security.FinancialSecurityTypes; import com.opengamma.util.async.AsynchronousExecution; /** * Provides sensitivity of EquitySecurity price with respect to itself, i.e. always unity. This is essential in order to show aggregate position in this underlying in a derivatives portfolio. * * @author casey */ public class EquitySecurityDeltaFunction extends AbstractFunction.NonCompiledInvoker { private String getValueRequirementName() { return ValueRequirementNames.DELTA; } @Override public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues) throws AsynchronousExecution { final ValueRequirement desiredValue = desiredValues.iterator().next(); final ValueSpecification valueSpecification = new ValueSpecification(getValueRequirementName(), target.toSpecification(), desiredValue.getConstraints()); final ComputedValue result = new ComputedValue(valueSpecification, 1.0); return Sets.newHashSet(result); } @Override public ComputationTargetType getTargetType() { return FinancialSecurityTypes.EQUITY_SECURITY; } @Override public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target) { return Collections.singleton(new ValueSpecification(getValueRequirementName(), target.toSpecification(), createValueProperties().get())); } @Override public Set<ValueRequirement> getRequirements(FunctionCompilationContext context, ComputationTarget target, ValueRequirement desiredValue) { return Collections.emptySet(); } }