/**
* 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();
}
}