/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.volatility.surface; import it.unimi.dsi.fastutil.doubles.DoubleArrayList; import java.util.Collections; import java.util.HashMap; import java.util.Map; import java.util.Set; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import org.threeten.bp.LocalDate; import org.threeten.bp.ZonedDateTime; import com.google.common.collect.Sets; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve; import com.opengamma.analytics.util.time.TimeCalculator; import com.opengamma.core.marketdatasnapshot.VolatilitySurfaceData; 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.SurfaceAndCubePropertyNames; import com.opengamma.engine.value.ValueProperties; import com.opengamma.engine.value.ValuePropertyNames; import com.opengamma.engine.value.ValueRequirement; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.engine.value.ValueSpecification; import com.opengamma.financial.OpenGammaExecutionContext; import com.opengamma.financial.analytics.model.InstrumentTypeProperties; import com.opengamma.financial.convention.HolidaySourceCalendarAdapter; import com.opengamma.financial.convention.calendar.Calendar; import com.opengamma.financial.convention.expirycalc.ExchangeTradedInstrumentExpiryCalculator; import com.opengamma.util.money.Currency; import com.opengamma.util.tuple.Pair; import com.opengamma.util.tuple.Pairs; /** * */ public class CommodityOptionVolatilitySurfaceDataFunction extends AbstractFunction.NonCompiledInvoker { private static final Logger s_logger = LoggerFactory.getLogger(CommodityOptionVolatilitySurfaceDataFunction.class); private ConfigDBVolatilitySurfaceSpecificationSource _volatilitySurfaceSpecificationSource; @Override public void init(final FunctionCompilationContext context) { _volatilitySurfaceSpecificationSource = ConfigDBVolatilitySurfaceSpecificationSource.init(context, this); } @Override /** * {@inheritDoc} <p> * INPUT: We are taking a VolatilitySurfaceData object, which contains all number of missing data, plus strikes and vols are in percentages <p> * OUTPUT: and converting this into a StandardVolatilitySurfaceData object, which has no empty values, expiry is in years, and the strike and vol scale is without unit (35% -> 0.35) */ public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { final ZonedDateTime valTime = ZonedDateTime.now(executionContext.getValuationClock()); final LocalDate valDate = valTime.toLocalDate(); final Currency currency = (Currency) target.getValue(); final Calendar calendar = new HolidaySourceCalendarAdapter(OpenGammaExecutionContext.getHolidaySource(executionContext), currency); // 1. Build the surface name, in two parts: the given name and the target final ValueRequirement desiredValue = desiredValues.iterator().next(); final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE); // 2. Get the RawEquityVolatilitySurfaceData object final Object rawSurfaceObject = inputs.getValue(ValueRequirementNames.VOLATILITY_SURFACE_DATA); if (rawSurfaceObject == null) { throw new OpenGammaRuntimeException("Could not get volatility surface"); } @SuppressWarnings("unchecked") final VolatilitySurfaceData<Number, Double> rawSurface = (VolatilitySurfaceData<Number, Double>) rawSurfaceObject; //2a Get forward curve final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE); if (forwardCurveObject == null) { throw new OpenGammaRuntimeException("Could not get forward curve"); } final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject; // 3. Remove empties, convert expiries from number to years, and scale vols final Map<Pair<Double, Double>, Double> volValues = new HashMap<Pair<Double, Double>, Double>(); final DoubleArrayList tList = new DoubleArrayList(); final DoubleArrayList kList = new DoubleArrayList(); // SurfaceInstrumentProvider just used to get expiry calculator - find a better way as this is quite ugly. final String surfacePrefix = surfaceName.split("\\_")[1]; final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = new BloombergCommodityFutureOptionVolatilitySurfaceInstrumentProvider(surfacePrefix, "Comdty", "", 0., "") .getExpiryRuleCalculator(); for (final Number nthExpiry : rawSurface.getXs()) { final double t = TimeCalculator.getTimeBetween(valDate, expiryCalculator.getExpiryDate(nthExpiry.intValue(), valDate, calendar)); if (!isValidStrike(forwardCurve, rawSurface, t, nthExpiry)) { continue; } if (t > 5. / 365.) { // Bootstrapping vol surface to this data causes far more trouble than any gain. The data simply isn't reliable. for (final Double strike : rawSurface.getYs()) { final Double vol = rawSurface.getVolatility(nthExpiry, strike); if (vol != null) { tList.add(t); kList.add(strike); volValues.put(Pairs.of(t, strike), vol / 100.); } } } } final VolatilitySurfaceData<Double, Double> stdVolSurface = new VolatilitySurfaceData<Double, Double>(rawSurface.getDefinitionName(), rawSurface.getSpecificationName(), rawSurface.getTarget(), tList.toArray(new Double[0]), kList.toArray(new Double[0]), volValues); // 4. Return final ValueProperties stdVolProperties = createValueProperties().with(ValuePropertyNames.SURFACE, surfaceName) .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.COMMODITY_FUTURE_OPTION).get(); final ValueSpecification stdVolSpec = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), stdVolProperties); return Collections.singleton(new ComputedValue(stdVolSpec, stdVolSurface)); } /** * Some strikes blow up the black function - strip them out * * @return true if strike works with black function */ private boolean isValidStrike(final ForwardCurve forwardCurve, final VolatilitySurfaceData<Number, Double> rawSurface, final double t, final Number nExpiry) { final double forward = forwardCurve.getForward(t); // FIXME: Skip points that the Black surface will choke on. Remove this later Double low = null; Double high = null; for (final Double strike : rawSurface.getYs()) { final Double vol = rawSurface.getVolatility(nExpiry, strike); if (vol != null) { low = strike; break; } } for (int i = rawSurface.getYs().length - 1; i != 0; i--) { final Double strike = rawSurface.getYs()[i]; final Double vol = rawSurface.getVolatility(nExpiry, strike); if (vol != null) { high = strike; break; } } if ((low == null) || (high == null) || (low > forward) || (high < forward)) { return false; } return true; } @Override public ComputationTargetType getTargetType() { return ComputationTargetType.CURRENCY; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(), createValueProperties() .withAny(ValuePropertyNames.SURFACE).with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.COMMODITY_FUTURE_OPTION).get()); return Collections.singleton(spec); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { // Function requires a VolatilitySurfaceData, typically supplied by RawOptionVolatilitySurfaceDataFunction // 1. Build the surface name, in two parts: the given name and the target final Set<String> surfaceNames = desiredValue.getConstraints().getValues(ValuePropertyNames.SURFACE); if (surfaceNames == null || surfaceNames.size() != 1) { throw new OpenGammaRuntimeException("Function takes only get a single surface. One has asked for " + surfaceNames); } final String givenName = surfaceNames.iterator().next(); final String fullName = givenName + "_" + target.getUniqueId().getValue(); // 2. Look up the specification final VolatilitySurfaceSpecification specification = _volatilitySurfaceSpecificationSource.getSpecification(fullName, InstrumentTypeProperties.COMMODITY_FUTURE_OPTION); if (specification == null) { s_logger.error("Could not get volatility surface specification with name " + fullName); return null; } // Add forward curve so we can discount strikes > forward final ValueProperties forwardProperties = ValueProperties.builder().with(ValuePropertyNames.CURVE, givenName).get(); final ValueRequirement forwardRequirement = new ValueRequirement(ValueRequirementNames.FORWARD_CURVE, target.toSpecification(), forwardProperties); // 3. Build the ValueRequirements' constraints final ValueProperties constraints = ValueProperties.builder().with(ValuePropertyNames.SURFACE, givenName) .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.COMMODITY_FUTURE_OPTION) .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_QUOTE_TYPE, specification.getSurfaceQuoteType()) .with(SurfaceAndCubePropertyNames.PROPERTY_SURFACE_UNITS, specification.getQuoteUnits()).get(); // 4. Return final ValueRequirement surfaceReq = new ValueRequirement(ValueRequirementNames.VOLATILITY_SURFACE_DATA, target.toSpecification(), constraints); //return Collections.singleton(surfaceReq); return Sets.newHashSet(forwardRequirement, surfaceReq); } }