/** * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.volatility.surface; import java.util.Collections; import java.util.HashSet; import java.util.Set; import org.threeten.bp.Clock; import org.threeten.bp.ZonedDateTime; import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve; import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle; import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface; import com.opengamma.core.value.MarketDataRequirementNames; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.ComputationTargetSpecification; 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.ValueRequirement; import com.opengamma.engine.value.ValueRequirementNames; import com.opengamma.engine.value.ValueSpecification; import com.opengamma.financial.security.FinancialSecurityTypes; import com.opengamma.financial.security.option.EquityOptionSecurity; import com.opengamma.id.ExternalId; import com.opengamma.util.money.Currency; import com.opengamma.util.time.DateUtils; import com.opengamma.util.time.Expiry; /** * * */ public class PractitionerBlackScholesVolatilitySurfaceFunction extends AbstractFunction.NonCompiledInvoker { @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { final ZonedDateTime now = ZonedDateTime.now(Clock.systemUTC()); final EquityOptionSecurity option = (EquityOptionSecurity) target.getSecurity(); final ValueRequirement underlyingPriceRequirement = getPriceRequirement(option.getUnderlyingId()); final ValueRequirement discountCurveDataRequirement = getDiscountCurveMarketDataRequirement(option.getCurrency()); final YieldAndDiscountCurve discountCurve = (YieldAndDiscountCurve) inputs.getValue(discountCurveDataRequirement); final double spotPrice = (Double) inputs.getValue(underlyingPriceRequirement); final Expiry expiry = option.getExpiry(); final double t = DateUtils.getDifferenceInYears(now, expiry.getExpiry()); final double b = discountCurve.getInterestRate(t); // TODO cost-of-carry model @SuppressWarnings("unused") final StandardOptionDataBundle data = new StandardOptionDataBundle(discountCurve, b, null, spotPrice, now); // TODO Map<OptionDefinition, Double> of options that will be used to form surface final VolatilitySurface surface = null; // TODO final ValueSpecification specification = createResultSpecification(target); final ComputedValue result = new ComputedValue(specification, surface); return Collections.singleton(result); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final EquityOptionSecurity option = (EquityOptionSecurity) target.getSecurity(); // TODO: need most liquid options on same underlying OR all options around the strike + time to expiry of this // option // TODO: need to make sure that these options surround the time to expiry and strike of this option // TODO: the surface need only be calculated once per _underlying_, not individual option (as long as point 2 // above holds) final Set<ValueRequirement> optionRequirements = new HashSet<ValueRequirement>(); optionRequirements.add(getPriceRequirement(option.getUnderlyingId())); optionRequirements.add(getDiscountCurveMarketDataRequirement(option.getCurrency())); // TODO: add the other stuff return optionRequirements; } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { if (canApplyTo(context, target)) { return Collections.singleton(createResultSpecification(target)); } return null; } @Override public String getShortName() { return "PractitionerBlackScholesMertonVolatilitySurface"; } @Override public ComputationTargetType getTargetType() { return FinancialSecurityTypes.EQUITY_OPTION_SECURITY; } private ValueSpecification createResultSpecification(final ComputationTarget target) { return new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE, target.toSpecification(), createValueProperties().get()); } private ValueRequirement getPriceRequirement(final ExternalId identifier) { return new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.SECURITY, identifier); } private ValueRequirement getDiscountCurveMarketDataRequirement(final Currency ccy) { return new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetSpecification.of(ccy)); } }