/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.volatility.local;
import java.util.Collections;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.model.volatility.local.LocalVolatilitySurfaceConverter;
import com.opengamma.analytics.financial.model.volatility.local.LocalVolatilitySurfaceMoneyness;
import com.opengamma.analytics.financial.model.volatility.local.LocalVolatilitySurfaceStrike;
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.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;
/**
* Takes a LocalVolatilitySurface with Surface Parameterization of MONEYNESS and
* returns one of STRIKE
*/
public abstract class LocalVolatilitySurfaceStrikeFunction extends AbstractFunction.NonCompiledInvoker {
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueRequirement volatilitySurfaceRequirement = getVolatilitySurfaceRequirement(target, desiredValue);
final Object localVolatilityObject = inputs.getValue(volatilitySurfaceRequirement);
if (localVolatilityObject == null) {
throw new OpenGammaRuntimeException("Could not get local volatility surface");
}
final LocalVolatilitySurfaceMoneyness localVolatilityMoneyness = (LocalVolatilitySurfaceMoneyness) localVolatilityObject;
final LocalVolatilitySurfaceStrike localVolatilityStrike = LocalVolatilitySurfaceConverter.toStrikeSurface(localVolatilityMoneyness);
final ValueProperties properties = getResultProperties(desiredValue, LocalVolatilitySurfacePropertyNamesAndValues.STRIKE);
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.LOCAL_VOLATILITY_SURFACE, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, localVolatilityStrike));
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties properties = getResultProperties(LocalVolatilitySurfacePropertyNamesAndValues.STRIKE);
return Collections.singleton(new ValueSpecification(ValueRequirementNames.LOCAL_VOLATILITY_SURFACE, target.toSpecification(), properties));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<ValueRequirement> requirements = LocalVolatilitySurfaceUtils.ensureDupireLocalVolatilitySurfaceProperties(constraints);
if (requirements == null) {
return null;
}
return Collections.singleton(getVolatilitySurfaceRequirement(target, desiredValue));
}
protected abstract String getInstrumentType();
protected abstract String getBlackSmileInterpolatorName();
private ValueProperties getResultProperties(final String parameterizationType) {
return LocalVolatilitySurfaceUtils.addAllDupireLocalVolatilitySurfaceProperties(createValueProperties().get(), getInstrumentType(), getBlackSmileInterpolatorName(), parameterizationType).get();
}
private ValueProperties getResultProperties(final ValueRequirement desiredValue, final String parameterizationType) {
return LocalVolatilitySurfaceUtils.addAllDupireLocalVolatilitySurfaceProperties(createValueProperties().get(), getInstrumentType(), getBlackSmileInterpolatorName(), parameterizationType,
desiredValue).get();
}
private ValueRequirement getVolatilitySurfaceRequirement(final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties properties = LocalVolatilitySurfaceUtils.addAllDupireLocalVolatilitySurfaceProperties(ValueProperties.builder().get(), getInstrumentType(),
getBlackSmileInterpolatorName(), LocalVolatilitySurfacePropertyNamesAndValues.MONEYNESS, desiredValue).get();
return new ValueRequirement(ValueRequirementNames.LOCAL_VOLATILITY_SURFACE, target.toSpecification(), properties);
}
}