/** * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.shiftedlognormal; import static com.opengamma.engine.value.ValueRequirementNames.LOGNORMAL_SURFACE_SHIFTS; import java.util.Collections; import java.util.Set; import com.opengamma.analytics.math.curve.ConstantDoublesCurve; import com.opengamma.analytics.math.curve.DoublesCurve; import com.opengamma.engine.ComputationTarget; 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.util.async.AsynchronousExecution; /** * Function that supplies shift parameters for lognormal volatility surfaces. */ public class LognormalVolatilityShiftFunction extends AbstractFunction.NonCompiledInvoker { /** Hard-coded constant shifts curve */ private static final DoublesCurve SHIFTS = ConstantDoublesCurve.from(0.0001); /** The curve name property */ public static final String SHIFT_CURVE = "ShiftCurve"; /** The default value */ public static final String TEST = "Test"; @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) throws AsynchronousExecution { final ValueProperties properties = createValueProperties() .with(SHIFT_CURVE, TEST) .get(); final ValueSpecification spec = new ValueSpecification(LOGNORMAL_SURFACE_SHIFTS, target.toSpecification(), properties); return Collections.singleton(new ComputedValue(spec, SHIFTS)); } @Override public ComputationTargetType getTargetType() { return ComputationTargetType.NULL; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { final ValueProperties properties = createValueProperties() .with(SHIFT_CURVE, TEST) .get(); return Collections.singleton(new ValueSpecification(LOGNORMAL_SURFACE_SHIFTS, target.toSpecification(), properties)); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { return Collections.emptySet(); } }