/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.riskfactor.option;
import java.util.HashSet;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.analytics.financial.greeks.Greek;
import com.opengamma.analytics.financial.greeks.GreekResultCollection;
import com.opengamma.analytics.financial.riskfactor.GreekDataBundle;
import com.opengamma.analytics.financial.riskfactor.GreekToPositionGreekConverter;
import com.opengamma.analytics.financial.sensitivity.PositionGreek;
import com.opengamma.analytics.financial.trade.OptionTradeData;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
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.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.greeks.AvailableGreeks;
import com.opengamma.financial.analytics.greeks.AvailablePositionGreeks;
/**
*
*/
public class OptionGreekToPositionGreekConverterFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(OptionGreekToPositionGreekConverterFunction.class);
private final Function1D<GreekDataBundle, Map<PositionGreek, Double>> _converter = new GreekToPositionGreekConverter();
//TODO pass in required greek rather than using the entire set
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final GreekResultCollection greekResultCollection = new GreekResultCollection();
Object greekResult;
Greek greek;
for (final String valueName : AvailableGreeks.getAllGreekNames()) {
greekResult = inputs.getValue(valueName);
if (greekResult == null) {
s_logger.warn("Could not get value for " + valueName);
}
if (!(greekResult instanceof Double)) {
throw new IllegalArgumentException("Can only handle Double greeks.");
}
greek = AvailableGreeks.getGreekForValueRequirementName(valueName);
greekResultCollection.put(greek, (Double) greekResult);
}
final GreekDataBundle dataBundle = new GreekDataBundle(greekResultCollection, null, new OptionTradeData(target.getPosition().getQuantity().doubleValue(), 25));
final Map<PositionGreek, Double> positionGreeks = _converter.evaluate(dataBundle);
final Set<ComputedValue> results = new HashSet<ComputedValue>();
PositionGreek positionGreek;
Double positionGreekResult;
ValueSpecification resultSpecification;
ComputedValue resultValue;
final ComputationTargetSpecification targetSpec = target.toSpecification();
final ValueProperties properties = createValueProperties().get();
for (final ValueRequirement dV : desiredValues) {
positionGreek = AvailablePositionGreeks.getPositionGreekForValueRequirementName(dV.getValueName());
positionGreekResult = positionGreeks.get(positionGreek);
resultSpecification = new ValueSpecification(dV.getValueName(), targetSpec, properties);
resultValue = new ComputedValue(resultSpecification, positionGreekResult);
results.add(resultValue);
}
return results;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
final ComputationTargetSpecification targetSpec = target.toSpecification();
for (final String valueName : AvailableGreeks.getAllGreekNames()) {
requirements.add(new ValueRequirement(valueName, targetSpec));
}
return requirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final Set<ValueSpecification> results = new HashSet<ValueSpecification>();
final ComputationTargetSpecification targetSpec = target.toSpecification();
final ValueProperties properties = createValueProperties().get();
for (final String valueName : AvailablePositionGreeks.getAllPositionGreekNames()) {
results.add(new ValueSpecification(valueName, targetSpec, properties));
}
return results;
}
@Override
public String getShortName() {
return "GreekToPositionGreekConverter";
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.POSITION;
}
}