/**
* 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.option;
import java.util.List;
import com.opengamma.engine.function.config.AbstractFunctionConfigurationBean;
import com.opengamma.engine.function.config.FunctionConfiguration;
import com.opengamma.engine.function.config.FunctionConfigurationSource;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.model.equity.futures.EquityNetMarketValueFunction;
import com.opengamma.financial.analytics.model.futureoption.BarrierOptionDistanceDefaults;
import com.opengamma.financial.analytics.model.futureoption.BarrierOptionDistanceFunction;
/**
* Function repository configuration source for the functions contained in this package.
*/
public class OptionFunctions extends AbstractFunctionConfigurationBean {
/**
* Default instance of a repository configuration source exposing the functions from this package.
*
* @return the configuration source exposing functions from this package
*/
public static FunctionConfigurationSource instance() {
return new OptionFunctions().getObjectCreating();
}
/**
* Gets the default values for calculations
* @return The repository with equity option defaults set
*/
public static FunctionConfigurationSource defaults() {
final Defaults factory = new Defaults();
factory.afterPropertiesSet();
return factory.getObject();
}
/**
* @param overhedge The overhedge to use for equity barrier options
* @param callSpreadFullWidth The width of the call spread to use for barrier options
* @param barrierFormat the barrier output display format
* @return The repository with equity barrier option defaults set
*/
public static FunctionConfigurationSource defaults(final double overhedge, final double callSpreadFullWidth, final String barrierFormat) {
final Defaults factory = new Defaults();
factory.setOverhedge(overhedge);
factory.setCallSpreadFullWidth(callSpreadFullWidth);
factory.setBarrierDistanceFormat(barrierFormat);
factory.afterPropertiesSet();
return factory.getObject();
}
/**
* Function repository configuration source for the default function for equity barrier options contained in this package.
*/
public static class Defaults extends AbstractFunctionConfigurationBean {
private double _overhedge; /* = 0.0; */
private double _callSpreadFullWidth = 0.001;
private String _barrierFormat = BarrierOptionDistanceFunction.BARRIER_ABS;
public void setOverhedge(final double overhedge) {
_overhedge = overhedge;
}
public double getOverhedge() {
return _overhedge;
}
public void setCallSpreadFullWidth(final double callSpreadFullWidth) {
_callSpreadFullWidth = callSpreadFullWidth;
}
public double getCallSpreadFullWidth() {
return _callSpreadFullWidth;
}
public void setBarrierDistanceFormat(final String format) {
_barrierFormat = format;
}
public String getBarrierDistanceFormat() {
return _barrierFormat;
}
@Override
protected void addAllConfigurations(final List<FunctionConfiguration> functions) {
functions.add(functionConfiguration(EquityVanillaBarrierOptionDefaults.class, Double.toString(getOverhedge()), Double.toString(getCallSpreadFullWidth())));
functions.add(functionConfiguration(BarrierOptionDistanceDefaults.class, getBarrierDistanceFormat()));
}
}
@Override
protected void addAllConfigurations(final List<FunctionConfiguration> functions) {
functions.add(functionConfiguration(EquityOptionBAWGreeksFunction.class));
functions.add(functionConfiguration(EquityOptionBAWImpliedVolatilityFunction.class));
functions.add(functionConfiguration(EquityOptionBAWPresentValueFunction.class));
functions.add(functionConfiguration(EquityOptionBAWScenarioPnLFunction.class));
functions.add(functionConfiguration(EquityOptionBAWValueDeltaFunction.class));
functions.add(functionConfiguration(EquityOptionBAWValueGammaFunction.class));
functions.add(functionConfiguration(EquityOptionBjerksundStenslandGreeksFunction.class));
functions.add(functionConfiguration(EquityOptionBjerksundStenslandPresentValueFunction.class));
functions.add(functionConfiguration(EquityOptionBjerksundStenslandValueDeltaFunction.class));
functions.add(functionConfiguration(EquityOptionBjerksundStenslandValueGammaFunction.class));
functions.add(functionConfiguration(EquityOptionBjerksundStenslandScenarioPnLFunction.class));
functions.add(functionConfiguration(EquityOptionBjerksundStenslandImpliedVolFunction.class));
functions.add(functionConfiguration(EquityOptionPDEPresentValueFunction.class));
functions.add(functionConfiguration(EquityOptionPDEScenarioPnLFunction.class));
functions.add(functionConfiguration(EquityOptionBlackFundingCurveSensitivitiesFunction.class));
functions.add(functionConfiguration(EquityOptionBlackImpliedVolFunction.class));
functions.add(functionConfiguration(EquityOptionBlackPresentValueFunction.class));
functions.add(functionConfiguration(EquityOptionBlackRhoFunction.class));
functions.add(functionConfiguration(EquityOptionBlackSpotDeltaFunction.class));
functions.add(functionConfiguration(EquityOptionBlackThetaFunction.class));
functions.add(functionConfiguration(EquityOptionBlackScenarioPnLFunction.class));
functions.add(functionConfiguration(EquityOptionBlackSpotGammaFunction.class));
functions.add(functionConfiguration(EquityOptionBlackSpotVannaFunction.class));
functions.add(functionConfiguration(EquityOptionBlackVegaFunction.class));
functions.add(functionConfiguration(EquityOptionBlackVegaMatrixFunction.class));
functions.add(functionConfiguration(EquityOptionBlackVommaFunction.class));
functions.add(functionConfiguration(EquityOptionBlackValueDeltaFunction.class));
functions.add(functionConfiguration(EquityOptionBlackValueGammaFunction.class));
functions.add(functionConfiguration(EquityOptionBlackBasicPresentValueFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackPresentValueFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackImpliedVolFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackRhoFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackSpotDeltaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackThetaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackScenarioPnLFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackSpotGammaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackSpotVannaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackVegaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackVommaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackValueDeltaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBlackValueGammaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBjerksundStenslandPresentValueFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBjerksundStenslandGreeksFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBjerksundStenslandImpliedVolFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBjerksundStenslandValueDeltaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBjerksundStenslandValueGammaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionBjerksundStenslandScenarioPnLFunction.class));
functions.add(functionConfiguration(ListedEquityOptionRollGeskeWhaleyPresentValueFunction.class));
functions.add(functionConfiguration(ListedEquityOptionRollGeskeWhaleyGreeksFunction.class));
functions.add(functionConfiguration(ListedEquityOptionRollGeskeWhaleyImpliedVolFunction.class));
functions.add(functionConfiguration(ListedEquityOptionRollGeskeWhaleyValueDeltaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionRollGeskeWhaleyValueGammaFunction.class));
functions.add(functionConfiguration(ListedEquityOptionRollGeskeWhaleyScenarioPnLFunction.class));
functions.add(functionConfiguration(EquityOptionForwardValueFunction.class));
functions.add(functionConfiguration(EquityOptionSpotIndexFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionForwardValueFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionFundingCurveSensitivitiesFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionPresentValueFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionRhoFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionSpotDeltaFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionSpotGammaFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionSpotIndexFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionSpotVannaFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionVegaMatrixFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionVegaFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionVommaFunction.class));
functions.add(functionConfiguration(PositionGreeksFunction.class, ValueRequirementNames.POSITION_DELTA, ValueRequirementNames.DELTA));
functions.add(functionConfiguration(PositionGreeksFunction.class, ValueRequirementNames.POSITION_GAMMA, ValueRequirementNames.GAMMA));
functions.add(functionConfiguration(PositionGreeksFunction.class, ValueRequirementNames.POSITION_RHO, ValueRequirementNames.RHO));
functions.add(functionConfiguration(PositionGreeksFunction.class, ValueRequirementNames.POSITION_THETA, ValueRequirementNames.THETA));
functions.add(functionConfiguration(PositionGreeksFunction.class, ValueRequirementNames.POSITION_VEGA, ValueRequirementNames.VEGA));
functions.add(functionConfiguration(PositionGreeksFunction.class, ValueRequirementNames.POSITION_WEIGHTED_VEGA, ValueRequirementNames.WEIGHTED_VEGA));
functions.add(functionConfiguration(WeightedVegaFunction.class));
functions.add(functionConfiguration(EquityVanillaBarrierOptionDistanceFunction.class));
functions.add(functionConfiguration(NetCapitalFunction.class));
functions.add(functionConfiguration(EquityNetCapitalFunction.class));
functions.add(functionConfiguration(EquityNetMarketValueFunction.class));
}
}