FXOptionBlackVegaQuoteMatrixFunction.java example

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/**
 * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.forex.option.black;

import java.util.Collections;
import java.util.Set;

import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.calculator.PresentValueBlackVolatilityQuoteSensitivityForexCalculator;
import com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityQuoteSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.option.definition.ForexOptionDataBundle;
import com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle;
import com.opengamma.engine.ComputationTarget;
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;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.VegaMatrixUtils;
import com.opengamma.financial.analytics.model.black.BlackDiscountingVegaQuoteMatrixFXOptionFunction;
import com.opengamma.financial.currency.CurrencyPair;

/**
 * Calculates the vega quote matrix for FX options
 * @deprecated Use {@link BlackDiscountingVegaQuoteMatrixFXOptionFunction}
 */
@Deprecated
public class FXOptionBlackVegaQuoteMatrixFunction extends FXOptionBlackSingleValuedFunction {
  private static final PresentValueBlackVolatilityQuoteSensitivityForexCalculator CALCULATOR = PresentValueBlackVolatilityQuoteSensitivityForexCalculator.getInstance();

  public FXOptionBlackVegaQuoteMatrixFunction() {
    super(ValueRequirementNames.VEGA_QUOTE_MATRIX);
  }

  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative forex, final ForexOptionDataBundle<?> data, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    if (data instanceof SmileDeltaTermStructureDataBundle) {
      final PresentValueForexBlackVolatilityQuoteSensitivityDataBundle result = CALCULATOR.visit(forex, (SmileDeltaTermStructureDataBundle) data);
      return Collections.singleton(new ComputedValue(spec, VegaMatrixUtils.getVegaFXQuoteMatrix(result)));
    }
    throw new OpenGammaRuntimeException("Can only calculate vega quote matrix for surfaces with smiles");
  }

  @Override
  protected ValueProperties.Builder getResultProperties(final ComputationTarget target) {
    final ValueProperties.Builder properties = super.getResultProperties(target);
    properties.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX);
    return properties;
  }

  @Override
  protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final String putCurve, final String putCurveCalculationConfig,
      final String callCurve, final String callCurveCalculationConfig, final CurrencyPair baseQuotePair, final ValueProperties optionalProperties) {
    final ValueProperties.Builder properties = super.getResultProperties(target, putCurve, putCurveCalculationConfig, callCurve, callCurveCalculationConfig, baseQuotePair,
        optionalProperties);
    properties.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX);
    return properties;
  }

  @Override
  protected ValueProperties.Builder getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue, final CurrencyPair baseQuotePair) {
    final ValueProperties.Builder properties = super.getResultProperties(target, desiredValue, baseQuotePair);
    properties.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX);
    return properties;
  }
}