/** * 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.ValuePropertyNames.CURVE; import static com.opengamma.engine.value.ValueRequirementNames.BLOCK_CURVE_SENSITIVITIES; import java.util.Collections; import java.util.HashSet; import java.util.Iterator; import java.util.Set; import org.threeten.bp.Instant; import com.google.common.collect.Iterables; import com.opengamma.OpenGammaRuntimeException; 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.blackcap.PresentValueCurveSensitivityBlackSmileShiftCapCalculator; import com.opengamma.analytics.financial.provider.calculator.generic.MarketQuoteSensitivityBlockCalculator; import com.opengamma.analytics.financial.provider.curve.CurveBuildingBlockBundle; import com.opengamma.analytics.financial.provider.description.interestrate.BlackSmileShiftCapProviderInterface; 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.ValueProperties; import com.opengamma.engine.value.ValueRequirement; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.engine.value.ValueSpecification; /** * Calculates the sensitivities of a cap/floor to the bundle of curves used * in pricing. The shifted lognormal method is used. */ public class ShiftedLognormalDiscountingBCSCapFloorFunction extends ShiftedLognormalDiscountingCapFloorFunction { /** The curve sensitivity calculator */ private static final InstrumentDerivativeVisitor<BlackSmileShiftCapProviderInterface, MultipleCurrencyMulticurveSensitivity> PVCSDC = PresentValueCurveSensitivityBlackSmileShiftCapCalculator.getInstance(); /** The parameter sensitivity calculator */ private static final ParameterSensitivityParameterCalculator<BlackSmileShiftCapProviderInterface> PSC = new ParameterSensitivityParameterCalculator<>(PVCSDC); /** The market quote sensitivity calculator */ private static final MarketQuoteSensitivityBlockCalculator<BlackSmileShiftCapProviderInterface> CALCULATOR = new MarketQuoteSensitivityBlockCalculator<>(PSC); /** * Sets the value requirements to {@link ValueRequirementNames#BLOCK_CURVE_SENSITIVITIES} */ public ShiftedLognormalDiscountingBCSCapFloorFunction() { super(BLOCK_CURVE_SENSITIVITIES); } @Override public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) { return new ShiftedLognormalDiscountingCompiledFunction(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) { ValueProperties.Builder properties = null; if (desiredValues.size() == 1) { properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy(); } else { final Iterator<ValueRequirement> iterator = desiredValues.iterator(); final Set<String> curveNames = new HashSet<>(); while (iterator.hasNext()) { if (properties == null) { properties = iterator.next().getConstraints().copy(); curveNames.addAll(properties.get().getValues(CURVE)); } else { curveNames.addAll(iterator.next().getConstraints().getValues(CURVE)); } } if (properties == null) { throw new OpenGammaRuntimeException("No entries in desiredValues"); } properties.withoutAny(CURVE).with(CURVE, curveNames); } final BlackSmileShiftCapProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix); final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs); final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks); final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties.get()); return Collections.singleton(new ComputedValue(spec, sensitivities)); } }; } }