/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.sabrcube;
import static com.opengamma.engine.value.ValueRequirementNames.SABR_SURFACES;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRCalculator;
import com.opengamma.analytics.financial.interestrate.PresentValueNodeSensitivityCalculator;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.analytics.math.function.DoubleFunction1D;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.SurfaceAndCubePropertyNames;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.financial.analytics.model.sabr.SABRDiscountingFunction;
import com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues;
import com.opengamma.financial.analytics.volatility.fittedresults.SABRFittedSurfaces;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.util.money.Currency;
/**
* @deprecated Use descendants of {@link SABRDiscountingFunction}
*/
@Deprecated
public class SABRCMSSpreadNoExtrapolationYCNSFunction extends SABRYCNSFunction {
private static final PresentValueNodeSensitivityCalculator NSC = PresentValueNodeSensitivityCalculator.using(PresentValueCurveSensitivitySABRCalculator.getInstance());
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.CAP_FLOOR_CMS_SPREAD_SECURITY;
}
@Override
protected SABRInterestRateDataBundle getModelParameters(final ComputationTarget target, final FunctionInputs inputs, final Currency currency,
final YieldCurveBundle yieldCurves, final ValueRequirement desiredValue) {
final Object surfacesObject = inputs.getValue(SABR_SURFACES);
if (surfacesObject == null) {
throw new OpenGammaRuntimeException("Could not get SABR parameter surfaces");
}
final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
final DoubleFunction1D correlationFunction = getCorrelationFunction();
final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, correlationFunction);
return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
}
@Override
protected ValueProperties.Builder createValueProperties(final Currency currency) {
return createValueProperties()
.with(ValuePropertyNames.CURRENCY, currency.getCode())
.with(ValuePropertyNames.CURVE_CURRENCY, currency.getCode())
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.withAny(ValuePropertyNames.CURVE)
.withAny(SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION)
.withAny(SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION)
.withAny(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_DEFINITION)
.withAny(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_SPECIFICATION)
.withAny(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
.with(ValuePropertyNames.CALCULATION_METHOD, SABRFunction.SABR_NO_EXTRAPOLATION);
}
@Override
protected ValueProperties.Builder createValueProperties(final ComputationTarget target, final ValueRequirement desiredValue) {
final String cubeDefinitionName = desiredValue.getConstraint(SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION);
final String cubeSpecificationName = desiredValue.getConstraint(SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION);
final String surfaceDefinitionName = desiredValue.getConstraint(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_DEFINITION);
final String surfaceSpecificationName = desiredValue.getConstraint(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_SPECIFICATION);
final String currency = FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode();
final String curveCalculationConfig = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final String fittingMethod = desiredValue.getConstraint(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD);
final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
return createValueProperties()
.with(ValuePropertyNames.CURRENCY, currency)
.with(ValuePropertyNames.CURVE_CURRENCY, currency)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(ValuePropertyNames.CURVE, curveName)
.with(SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION, cubeDefinitionName)
.with(SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION, cubeSpecificationName)
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_DEFINITION, surfaceDefinitionName)
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_SPECIFICATION, surfaceSpecificationName)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD, fittingMethod)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
.with(ValuePropertyNames.CALCULATION_METHOD, SABRFunction.SABR_NO_EXTRAPOLATION);
}
@Override
protected PresentValueNodeSensitivityCalculator getNodeSensitivityCalculator(final ValueRequirement desiredValue) {
return NSC;
}
private static DoubleFunction1D getCorrelationFunction() {
return new DoubleFunction1D() {
@Override
public Double evaluate(final Double x) {
return 0.8;
}
};
}
}