Package com.opengamma.financial.analytics.volatility.surface

Examples of com.opengamma.financial.analytics.volatility.surface.ConfigDBVolatilitySurfaceDefinitionSource

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public class VolatilitySurfaceDefinitionFunction extends AbstractFunction {

  @Override
  public CompiledFunctionDefinition compile(final FunctionCompilationContext outerContext, final Instant atInstant) {
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(outerContext);
    final ConfigDBVolatilitySurfaceDefinitionSource source = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
    final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
    return new AbstractInvokingCompiledFunction(atZDT.with(LocalTime.MIDNIGHT), atZDT.plusDays(1).with(LocalTime.MIDNIGHT).minusNanos(1000000)) {

      @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 String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
        final String instrumentType = desiredValue.getConstraint(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE);
        VolatilitySurfaceDefinition<?, ?> definition = null;
        if (instrumentType.equals(InstrumentTypeProperties.FOREX)) {
          final UnorderedCurrencyPair pair = UnorderedCurrencyPair.of(target.getUniqueId());
          String name = pair.getFirstCurrency().getCode() + pair.getSecondCurrency().getCode();
          String fullDefinitionName = surfaceName + "_" + name;
          definition = source.getDefinition(fullDefinitionName, instrumentType);
          if (definition == null) {
            name = pair.getSecondCurrency().getCode() + pair.getFirstCurrency().getCode();
            fullDefinitionName = surfaceName + "_" + name;
            definition = source.getDefinition(fullDefinitionName, instrumentType);
            if (definition == null) {
              throw new OpenGammaRuntimeException("Could not get volatility surface definition named " + fullDefinitionName);
            }
          }
        } else if (instrumentType.equals(InstrumentTypeProperties.EQUITY_OPTION) || instrumentType.equals(InstrumentTypeProperties.EQUITY_FUTURE_OPTION)) {
          //FIXME: Modify to take ExternalId to avoid incorrect cast to UniqueId
          final String fullDefinitionName = surfaceName + "_" + EquitySecurityUtils.getTrimmedTarget(UniqueId.parse(target.getValue().toString()));
          definition = source.getDefinition(fullDefinitionName, instrumentType);
          if (definition == null) {
            throw new OpenGammaRuntimeException("Could not get volatility surface definition named " + fullDefinitionName + " for instrument type " + instrumentType);
          }
        } else {
          final String fullDefinitionName = surfaceName + "_" + target.getUniqueId().getValue();
          definition = source.getDefinition(fullDefinitionName, instrumentType);
          if (definition == null) {
            throw new OpenGammaRuntimeException("Could not get volatility surface definition named " + fullDefinitionName + " for instrument type " + instrumentType);
          }
        }
        @SuppressWarnings("synthetic-access")
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      final Clock snapshotClock = executionContext.getValuationClock();
      final LocalDate now = ZonedDateTime.now(snapshotClock).toLocalDate();
      final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
      final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
      final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
      final ConfigDBVolatilitySurfaceDefinitionSource definitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
      final ConfigDBVolatilitySurfaceSpecificationSource specificationSource = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
      final Position position = target.getPosition();
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
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  }

  @Override
  public void init(final FunctionCompilationContext context) {
    final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
    final ConfigDBVolatilitySurfaceDefinitionSource volSurfaceDefinitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
    _definition = volSurfaceDefinitionSource.getDefinition(_definitionName, _instrumentType);
    if (_definition == null) {
      throw new OpenGammaRuntimeException("Couldn't find Equity Option Volatility Surface Definition " + _definitionName);
    }
    final ConfigDBVolatilitySurfaceSpecificationSource volatilitySurfaceSpecificationSource = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    _specification = volatilitySurfaceSpecificationSource.getSpecification(_specificationName, _instrumentType);
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  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBVolatilitySurfaceDefinitionSource definitionSource = new ConfigDBVolatilitySurfaceDefinitionSource(configSource);
    final ConfigDBVolatilitySurfaceSpecificationSource specificationSource = new ConfigDBVolatilitySurfaceSpecificationSource(configSource);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String dataField = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
    final String resolutionKey;
    final Set<String> resolutionKeyConstraint = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY);
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Related Classes of com.opengamma.financial.analytics.volatility.surface.ConfigDBVolatilitySurfaceDefinitionSource

  • com.opengamma.examples.simulated.function.ExampleEquityOptionVolatilitySurfaceDataFunction
  • com.opengamma.financial.analytics.model.pnl.FXOptionBlackVegaPnLFunction$Compiled
  • com.opengamma.financial.analytics.timeseries.VolatilitySurfaceHistoricalTimeSeriesFunction
  • com.opengamma.financial.analytics.volatility.VolatilitySurfaceDefinitionFunction
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