/**
* 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.surface.black;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE;
import static com.opengamma.engine.value.ValuePropertyNames.SURFACE;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve;
import com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr.SmileSurfaceDataBundle;
import com.opengamma.core.marketdatasnapshot.VolatilitySurfaceData;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
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.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.curve.forward.ForwardCurveValuePropertyNames;
import com.opengamma.financial.analytics.volatility.surface.BloombergFXOptionVolatilitySurfaceInstrumentProvider.FXVolQuoteType;
import com.opengamma.financial.analytics.volatility.surface.SurfaceAndCubeQuoteType;
import com.opengamma.util.time.Tenor;
import com.opengamma.util.tuple.Pair;
/**
*
*/
public abstract class ForexBlackVolatilitySurfaceFunction extends BlackVolatilitySurfaceFunction {
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.UNORDERED_CURRENCY_PAIR;
}
/**
* Spline interpolator function for Black volatility surfaces
*/
public static class Spline extends ForexBlackVolatilitySurfaceFunction {
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> specificRequirements = BlackVolatilitySurfacePropertyUtils.ensureSplineVolatilityInterpolatorProperties(desiredValue.getConstraints());
if (specificRequirements == null) {
return null;
}
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
requirements.addAll(specificRequirements);
return requirements;
}
@Override
protected ValueProperties getResultProperties() {
final ValueProperties properties = createValueProperties().get();
return BlackVolatilitySurfacePropertyUtils.addBlackSurfaceProperties(
BlackVolatilitySurfacePropertyUtils.addSplineVolatilityInterpolatorProperties(properties).get(), getInstrumentType()).get();
}
@Override
protected ValueProperties getResultProperties(final ValueRequirement desiredValue) {
final ValueProperties properties = createValueProperties().get();
return BlackVolatilitySurfacePropertyUtils.addBlackSurfaceProperties(
BlackVolatilitySurfacePropertyUtils.addSplineVolatilityInterpolatorProperties(properties, desiredValue).get(), getInstrumentType(), desiredValue).get();
}
}
/**
* SABR interpolator function for Black volatility surfaces
*/
public static class SABR extends ForexBlackVolatilitySurfaceFunction {
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> specificRequirements = BlackVolatilitySurfacePropertyUtils.ensureSABRVolatilityInterpolatorProperties(desiredValue.getConstraints());
if (specificRequirements == null) {
return null;
}
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
requirements.addAll(specificRequirements);
return requirements;
}
@Override
protected ValueProperties getResultProperties() {
final ValueProperties properties = createValueProperties().get();
return BlackVolatilitySurfacePropertyUtils.addBlackSurfaceProperties(
BlackVolatilitySurfacePropertyUtils.addSABRVolatilityInterpolatorProperties(properties).get(), getInstrumentType()).get();
}
@Override
protected ValueProperties getResultProperties(final ValueRequirement desiredValue) {
final ValueProperties properties = createValueProperties().get();
return BlackVolatilitySurfacePropertyUtils.addBlackSurfaceProperties(
BlackVolatilitySurfacePropertyUtils.addSABRVolatilityInterpolatorProperties(properties, desiredValue).get(), getInstrumentType(), desiredValue).get();
}
}
/**
* Mixed log-normal interpolator for Black volatility surface
*/
public static class MixedLogNormal extends ForexBlackVolatilitySurfaceFunction {
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> specificRequirements = BlackVolatilitySurfacePropertyUtils.ensureMixedLogNormalVolatilityInterpolatorProperties(desiredValue.getConstraints());
if (specificRequirements == null) {
return null;
}
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
requirements.addAll(specificRequirements);
return requirements;
}
@Override
protected ValueProperties getResultProperties() {
final ValueProperties properties = createValueProperties().get();
return BlackVolatilitySurfacePropertyUtils.addBlackSurfaceProperties(
BlackVolatilitySurfacePropertyUtils.addMixedLogNormalVolatilityInterpolatorProperties(properties).get(), getInstrumentType()).get();
}
@Override
protected ValueProperties getResultProperties(final ValueRequirement desiredValue) {
final ValueProperties properties = createValueProperties().get();
return BlackVolatilitySurfacePropertyUtils.addBlackSurfaceProperties(
BlackVolatilitySurfacePropertyUtils.addMixedLogNormalVolatilityInterpolatorProperties(properties, desiredValue).get(), getInstrumentType(), desiredValue).get();
}
}
@Override
protected SmileSurfaceDataBundle getData(final FunctionInputs inputs) {
final Object volatilitySurfaceObject = inputs.getValue(ValueRequirementNames.VOLATILITY_SURFACE_DATA);
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface data");
}
final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
if (forwardCurveObject == null) {
throw new OpenGammaRuntimeException("Could not get forward curve");
}
final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
@SuppressWarnings("unchecked")
final VolatilitySurfaceData<Tenor, Pair<Number, FXVolQuoteType>> fxVolatilitySurface = (VolatilitySurfaceData<Tenor, Pair<Number, FXVolQuoteType>>) volatilitySurfaceObject;
return BlackVolatilitySurfaceUtils.getDataFromStrangleRiskReversalQuote(forwardCurve, fxVolatilitySurface);
}
@Override
protected ValueRequirement getForwardCurveRequirement(final ComputationTarget target, final ValueRequirement desiredValue) {
final String curveCalculationMethodName = desiredValue.getConstraint(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD);
final String forwardCurveName = desiredValue.getConstraint(CURVE);
final ValueProperties properties = ValueProperties.builder()
.with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, curveCalculationMethodName)
.with(CURVE, forwardCurveName).get();
return new ValueRequirement(ValueRequirementNames.FORWARD_CURVE, target.toSpecification(), properties);
}
@Override
protected ValueRequirement getVolatilityDataRequirement(final ComputationTarget target, final String surfaceName) {
final ValueRequirement volDataRequirement = new ValueRequirement(ValueRequirementNames.VOLATILITY_SURFACE_DATA, target.toSpecification(),
ValueProperties.builder()
.with(SURFACE, surfaceName)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, getInstrumentType())
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, getSurfaceQuoteType())
.with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, getSurfaceQuoteUnits()).get());
return volDataRequirement;
}
@Override
protected String getInstrumentType() {
return InstrumentTypeProperties.FOREX;
}
private String getSurfaceQuoteUnits() {
return SurfaceAndCubePropertyNames.VOLATILITY_QUOTE;
}
private String getSurfaceQuoteType() {
return SurfaceAndCubeQuoteType.MARKET_STRANGLE_RISK_REVERSAL;
}
}