/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model;
import java.text.DecimalFormat;
import java.util.ArrayList;
import java.util.List;
import java.util.Map;
import java.util.Map.Entry;
import org.apache.commons.lang.ArrayUtils;
import org.threeten.bp.Period;
import com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityNodeSensitivityDataBundle;
import com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityQuoteSensitivityDataBundle;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.financial.analytics.DoubleLabelledMatrix2D;
import com.opengamma.financial.analytics.DoubleLabelledMatrix3D;
import com.opengamma.financial.analytics.volatility.surface.VolatilitySurfaceDefinition;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.time.Tenor;
import com.opengamma.util.tuple.Pair;
/**
* Contains utility methods that vega output from the analytics libraries into objects that
* can be transported and displayed by the engine.
*/
public class VegaMatrixUtils {
private static final DecimalFormat FX_OPTION_FORMATTER = new DecimalFormat("##");
private static final DecimalFormat IR_FUTURE_OPTION_FORMATTER = new DecimalFormat("##.###");
private static final DecimalFormat DELTA_FORMATTER = new DecimalFormat("##");
/**
* Returns a bucketed FX option vega matrix with delta / expiry axes.
* @param vegas The vegas, not null
* @return A labelled vega matrix.
*/
public static DoubleLabelledMatrix2D getVegaFXMatrix(final PresentValueForexBlackVolatilityNodeSensitivityDataBundle vegas) {
ArgumentChecker.notNull(vegas, "vegas");
final double[] expiries = vegas.getExpiries().getData();
final double[] delta = vegas.getDelta().getData();
final double[][] vega = vegas.getVega().getData();
final int nDelta = delta.length;
final int nExpiries = expiries.length;
final Double[] rowValues = new Double[nExpiries];
final String[] rowLabels = new String[nExpiries];
final Double[] columnValues = new Double[nDelta];
final String[] columnLabels = new String[nDelta];
final double[][] values = new double[nDelta][nExpiries];
for (int i = 0; i < nDelta; i++) {
columnValues[i] = delta[i];
columnLabels[i] = "P" + DELTA_FORMATTER.format(delta[i] * 100) + " " + vegas.getCurrencyPair().getFirst() + "/" + vegas.getCurrencyPair().getSecond();
for (int j = 0; j < nExpiries; j++) {
if (i == 0) {
rowValues[j] = expiries[j];
rowLabels[j] = VegaMatrixUtils.getFXVolatilityFormattedExpiry(expiries[j]);
}
values[i][j] = vega[j][i];
}
}
return new DoubleLabelledMatrix2D(rowValues, rowLabels, columnValues, columnLabels, values);
}
/**
* Returns a bucketed FX option vega matrix with the same axes as the volatility quotes (i.e. ATM, risk-reversal and butterfly quotes)
* @param vegas The vegas, not null
* @return A labelled vega matrix
*/
public static DoubleLabelledMatrix2D getVegaFXQuoteMatrix(final PresentValueForexBlackVolatilityQuoteSensitivityDataBundle vegas) {
ArgumentChecker.notNull(vegas, "vegas");
final double[] expiries = vegas.getExpiries();
final double[] delta = vegas.getDelta();
final double[][] vega = vegas.getVega();
final int nDelta = delta.length;
final int nExpiries = expiries.length;
final Double[] rowValues = new Double[nExpiries];
final String[] rowLabels = new String[nExpiries];
final Double[] columnValues = new Double[nDelta];
final String[] columnLabels = new String[nDelta];
final double[][] values = new double[nDelta][nExpiries];
columnLabels[0] = "ATM " + " " + vegas.getCurrencyPair().getFirst() + "/" + vegas.getCurrencyPair().getSecond();
columnValues[0] = 0.;
final int n = (nDelta - 1) / 2;
for (int i = 0; i < n; i++) {
columnLabels[1 + i] = "RR " + FX_OPTION_FORMATTER.format(delta[i] * 100) + " " + vegas.getCurrencyPair().getFirst() + "/" + vegas.getCurrencyPair().getSecond();
columnValues[1 + i] = 1. + i;
columnLabels[n + 1 + i] = "B " + FX_OPTION_FORMATTER.format(delta[i] * 100) + " " + vegas.getCurrencyPair().getFirst() + "/" + vegas.getCurrencyPair().getSecond();
columnValues[n + 1 + i] = n + 1. + i;
}
for (int j = 0; j < nExpiries; j++) {
rowValues[j] = expiries[j];
rowLabels[j] = getFXVolatilityFormattedExpiry(expiries[j]);
}
for (int i = 0; i < nDelta; i++) {
for (int j = 0; j < nExpiries; j++) {
values[i][j] = vega[j][i];
}
}
return new DoubleLabelledMatrix2D(rowValues, rowLabels, columnValues, columnLabels, values);
}
/**
* Returns a bucketed interest rate future option vega matrix with strike / expiry axes.
* @param definition The volatility surface, not null
* @param matrix The vega matrix, not null
* @param expiryValues The expiries, not null
* @return A labelled vega matrix.
*/
public static DoubleLabelledMatrix2D getVegaIRFutureOptionQuoteMatrix(final VolatilitySurfaceDefinition<?, ?> definition, final DoubleMatrix2D matrix,
final double[] expiryValues) {
ArgumentChecker.notNull(definition, "definition");
ArgumentChecker.notNull(matrix, "matrix");
ArgumentChecker.notNull(expiryValues, "expiry values");
final int columns = matrix.getNumberOfRows();
ArgumentChecker.isTrue(columns == expiryValues.length, "Did not have same number of columns as expiries");
final int rows = matrix.getNumberOfColumns();
final Double[] rowValues = new Double[rows];
final Double[] columnValues = new Double[columns];
final Object[] rowLabels = new Object[rows];
final Object[] columnLabels = new Object[columns];
final double[][] values = new double[rows][columns];
final Object[] strikes = definition.getYs();
final Object[] nFutureOption = definition.getXs();
for (int i = 0; i < rows; i++) {
final double strike = ((Number) strikes[i]).doubleValue();
rowValues[i] = strike;
rowLabels[i] = IR_FUTURE_OPTION_FORMATTER.format(strike);
for (int j = 0; j < columns; j++) {
if (i == 0) {
final int n = ((Number) nFutureOption[j]).intValue();
columnValues[j] = Double.valueOf(n);
columnLabels[j] = n;
}
values[i][j] = matrix.getEntry(j, i);
}
}
return new DoubleLabelledMatrix2D(columnValues, columnLabels, rowValues, rowLabels, values);
}
/**
* Returns a bucketed swaption vega cube with swaption expiry / swap maturity / distance from ATM axes.
* @param fittedPoints The points in the swaption volatility cube, not null
* @param matrices a map from swaption expiry to vega matrix, not null
* @return A labelled vega cube
*/
public static DoubleLabelledMatrix3D getVegaSwaptionCubeQuoteMatrix(final Map<Pair<Tenor, Tenor>, Double[]> fittedPoints, final Map<Double, DoubleMatrix2D> matrices) {
ArgumentChecker.notNull(fittedPoints, "fitted points");
ArgumentChecker.notNull(matrices, "matrices");
final List<Double> xKeysList = new ArrayList<>();
final List<Double> xLabelsList = new ArrayList<>();
final List<Double> yKeysList = new ArrayList<>();
final List<Tenor> yLabelsList = new ArrayList<>();
final List<Double> zKeysList = new ArrayList<>();
final List<Tenor> zLabelsList = new ArrayList<>();
for (final Entry<Pair<Tenor, Tenor>, Double[]> entry : fittedPoints.entrySet()) {
final double swapMaturity = getTime(entry.getKey().getFirst());
if (!zKeysList.contains(swapMaturity)) {
zKeysList.add(swapMaturity);
zLabelsList.add(entry.getKey().getFirst());
}
final double swaptionExpiry = getTime(entry.getKey().getSecond());
if (!yKeysList.contains(swaptionExpiry)) {
yKeysList.add(swaptionExpiry);
yLabelsList.add(entry.getKey().getSecond());
}
if (xKeysList.size() == 0) {
final Double[] relativeStrikesArray = entry.getValue();
for (final Double relativeStrike : relativeStrikesArray) {
xKeysList.add(relativeStrike);
xLabelsList.add(relativeStrike);
}
}
}
final Double[] xKeys = xKeysList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY);
final Double[] xLabels = xLabelsList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY);
final Double[] yKeys = yKeysList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY);
final Tenor[] yLabels = yLabelsList.toArray(new Tenor[yLabelsList.size()]);
final Double[] zKeys = zKeysList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY);
final Tenor[] zLabels = zLabelsList.toArray(new Tenor[zLabelsList.size()]);
final double[][][] values = new double[zKeys.length][xKeys.length][yKeys.length];
for (int i = 0; i < zKeys.length; i++) {
values[i] = matrices.get(zKeys[i]).toArray();
}
return new DoubleLabelledMatrix3D(xKeys, xLabels, yKeys, yLabels, zKeys, zLabels, values);
}
public static String getFXVolatilityFormattedExpiry(final double expiry) {
if (expiry < 1. / 54) {
final int days = (int) Math.ceil((365 * expiry));
return days + "D";
}
if (expiry < 1. / 13) {
final int weeks = (int) Math.ceil((52 * expiry));
return weeks + "W";
}
if (expiry < 0.95) {
final int months = (int) Math.ceil((12 * expiry));
return months + "M";
}
return ((int) Math.ceil(expiry)) + "Y";
}
private static double getTime(final Tenor tenor) { //TODO this should be moved into a utils class
final Period period = tenor.getPeriod();
final double months = period.toTotalMonths();
return months / 12.;
}
}