/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.sabr;
import static com.opengamma.engine.value.ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES;
import static com.opengamma.financial.analytics.model.sabr.SABRPropertyValues.NO_EXTRAPOLATION;
import java.util.HashSet;
import java.util.Set;
import org.threeten.bp.Instant;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.generic.MarketQuoteSensitivityBlockCalculator;
import com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueCurveSensitivitySABRSwaptionCalculator;
import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.parameter.ParameterSensitivityParameterCalculator;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
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.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCounts;
/**
*
*/
public class NoExtrapolationSABRDiscountingBCSFunction extends SABRDiscountingFunction {
/** The curve sensitivity calculator */
private static final InstrumentDerivativeVisitor<SABRSwaptionProviderInterface, MultipleCurrencyMulticurveSensitivity> PVCSDC =
PresentValueCurveSensitivitySABRSwaptionCalculator.getInstance();
/** The parameter sensitivity calculator */
private static final ParameterSensitivityParameterCalculator<SABRSwaptionProviderInterface> PSC =
new ParameterSensitivityParameterCalculator<>(PVCSDC);
/** The market quote sensitivity calculator */
private static final MarketQuoteSensitivityBlockCalculator<SABRSwaptionProviderInterface> CALCULATOR =
new MarketQuoteSensitivityBlockCalculator<>(PSC);
/**
* Sets the value requirements to {@link ValueRequirementNames#BLOCK_CURVE_SENSITIVITIES}
*/
public NoExtrapolationSABRDiscountingBCSFunction() {
super(BLOCK_CURVE_SENSITIVITIES);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new SABRDiscountingCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), false) {
@Override
protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
final FXMatrix fxMatrix) {
final Set<ComputedValue> result = new HashSet<>();
final DayCount dayCount = DayCounts.ACT_360; //TODO
final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, sabrData, blocks);
for (final ValueRequirement desiredValue : desiredValues) {
final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
result.add(new ComputedValue(spec, sensitivities));
}
return result;
}
@Override
protected String getCalculationMethod() {
return NO_EXTRAPOLATION;
}
};
}
}