/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.black;
import static com.opengamma.engine.value.ValuePropertyNames.CURRENCY;
import static com.opengamma.engine.value.ValuePropertyNames.CURVE_EXPOSURES;
import static com.opengamma.engine.value.ValuePropertyNames.SURFACE;
import static com.opengamma.engine.value.ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA;
import static com.opengamma.financial.analytics.model.InstrumentTypeProperties.FOREX;
import static com.opengamma.financial.analytics.model.InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE;
import static com.opengamma.financial.analytics.model.InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME;
import static com.opengamma.financial.analytics.model.InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME;
import static com.opengamma.financial.analytics.model.InterpolatedDataProperties.X_INTERPOLATOR_NAME;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.DISCOUNTING;
import static com.opengamma.financial.analytics.model.curve.CurveCalculationPropertyNamesAndValues.PROPERTY_CURVE_TYPE;
import static com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues.BLACK;
import static com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL;
import java.util.Set;
import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolation;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider;
import com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.Security;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.engine.ComputationTarget;
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.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.analytics.conversion.FXVanillaOptionConverter;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.conversion.FutureTradeConverter;
import com.opengamma.financial.analytics.conversion.TradeConverter;
import com.opengamma.financial.analytics.model.discounting.DiscountingFunction;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.convention.ConventionSource;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.financial.currency.CurrencyPairsSource;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityVisitor;
import com.opengamma.financial.security.FinancialSecurityVisitorAdapter;
import com.opengamma.financial.security.option.FXDigitalOptionSecurity;
import com.opengamma.financial.security.option.FXOptionSecurity;
import com.opengamma.financial.security.option.NonDeliverableFXDigitalOptionSecurity;
import com.opengamma.util.money.Currency;
import com.opengamma.util.money.UnorderedCurrencyPair;
import com.opengamma.util.tuple.Pair;
/**
* Base function for all FX option pricing and risk functions that use a Black surface
* and curves constructed using the discounting method.
*/
public abstract class BlackDiscountingFXOptionFunction extends DiscountingFunction {
/**
* @param valueRequirements The value requirements, not null
*/
public BlackDiscountingFXOptionFunction(final String... valueRequirements) {
super(valueRequirements);
}
protected CurrencyPairs getCurrencyPairs(final FunctionCompilationContext context) {
final CurrencyPairsSource currencyPairsSource = OpenGammaCompilationContext.getCurrencyPairsSource(context);
return currencyPairsSource.getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
}
@Override
protected TradeConverter getTargetToDefinitionConverter(final FunctionCompilationContext context) {
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
final ConventionBundleSource conventionBundleSource = OpenGammaCompilationContext.getConventionBundleSource(context);
final ConventionSource conventionSource = OpenGammaCompilationContext.getConventionSource(context);
final FXVanillaOptionConverter fxOptionConverter = new FXVanillaOptionConverter(getCurrencyPairs(context));
final FinancialSecurityVisitor<InstrumentDefinition<?>> securityConverter = FinancialSecurityVisitorAdapter.<InstrumentDefinition<?>>builder()
.fxOptionVisitor(fxOptionConverter)
.create();
final FutureTradeConverter futureTradeConverter = new FutureTradeConverter(securitySource, holidaySource, conventionSource, conventionBundleSource,
regionSource);
return new TradeConverter(futureTradeConverter, securityConverter);
}
/**
* Base compiled function for all pricing and risk functions that use a Black surface
* and curves constructed using the discounting method.
*/
protected abstract class BlackDiscountingCompiledFunction extends DiscountingCompiledFunction {
/**
* @param tradeToDefinitionConverter Converts targets to definitions, not null
* @param definitionToDerivativeConverter Converts definitions to derivatives, not null
* @param withCurrency True if the result properties set the {@link ValuePropertyNames#CURRENCY} property.
*/
protected BlackDiscountingCompiledFunction(final TradeConverter tradeToDefinitionConverter,
final FixedIncomeConverterDataProvider definitionToDerivativeConverter, final boolean withCurrency) {
super(tradeToDefinitionConverter, definitionToDerivativeConverter, withCurrency);
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getTrade().getSecurity();
return security instanceof FXOptionSecurity;
}
@Override
protected ValueProperties.Builder getResultProperties(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties.Builder properties = createValueProperties()
.with(PROPERTY_CURVE_TYPE, DISCOUNTING)
.with(PROPERTY_VOLATILITY_MODEL, BLACK)
.withAny(X_INTERPOLATOR_NAME)
.withAny(LEFT_X_EXTRAPOLATOR_NAME)
.withAny(RIGHT_X_EXTRAPOLATOR_NAME)
.withAny(SURFACE)
.withAny(CURVE_EXPOSURES);
if (isWithCurrency()) {
final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
final CurrencyPairs baseQuotePairs = getCurrencyPairs(context);
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
final String currency = getResultCurrency(target, baseQuotePair);
properties.with(CURRENCY, currency);
return properties;
}
return properties;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> interpolatorNames = constraints.getValues(X_INTERPOLATOR_NAME);
final Set<String> leftExtrapolatorNames = constraints.getValues(LEFT_X_EXTRAPOLATOR_NAME);
final Set<String> rightExtrapolatorNames = constraints.getValues(RIGHT_X_EXTRAPOLATOR_NAME);
final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
final Set<String> surface = constraints.getValues(SURFACE);
final String interpolatorName = Iterables.getOnlyElement(interpolatorNames);
final String leftExtrapolatorName = Iterables.getOnlyElement(leftExtrapolatorNames);
final String rightExtrapolatorName = Iterables.getOnlyElement(rightExtrapolatorNames);
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
final ValueProperties surfaceProperties = ValueProperties.builder()
.with(ValuePropertyNames.SURFACE, surface)
.with(PROPERTY_SURFACE_INSTRUMENT_TYPE, FOREX)
.with(X_INTERPOLATOR_NAME, interpolatorName)
.with(LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorName)
.with(RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorName)
.get();
final UnorderedCurrencyPair currenciesTarget = UnorderedCurrencyPair.of(putCurrency, callCurrency);
final ValueRequirement surfaceRequirement = new ValueRequirement(STANDARD_VOLATILITY_SURFACE_DATA,
ComputationTargetType.UNORDERED_CURRENCY_PAIR.specification(currenciesTarget), surfaceProperties);
requirements.add(surfaceRequirement);
return requirements;
}
@Override
protected boolean requirementsSet(final ValueProperties constraints) {
final Set<String> surfaceNames = constraints.getValues(SURFACE);
if (surfaceNames == null) {
return false;
}
final Set<String> interpolatorNames = constraints.getValues(X_INTERPOLATOR_NAME);
if (interpolatorNames == null || interpolatorNames.size() != 1) {
return false;
}
final Set<String> leftExtrapolatorNames = constraints.getValues(LEFT_X_EXTRAPOLATOR_NAME);
if (leftExtrapolatorNames == null || leftExtrapolatorNames.size() != 1) {
return false;
}
final Set<String> rightExtrapolatorNames = constraints.getValues(RIGHT_X_EXTRAPOLATOR_NAME);
if (rightExtrapolatorNames == null || rightExtrapolatorNames.size() != 1) {
return false;
}
return super.requirementsSet(constraints);
}
/**
* Gets the Black surface and curve data.
* @param executionContext The execution context, not null
* @param inputs The function inputs, not null
* @param target The computation target, not null
* @param fxMatrix The FX matrix, not null
* @return The Black surface and curve data
*/
protected BlackForexSmileProvider getBlackSurface(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final FXMatrix fxMatrix) {
final FXOptionSecurity security = (FXOptionSecurity) target.getTrade().getSecurity();
final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
final SmileDeltaTermStructureParametersStrikeInterpolation volatilitySurface = (SmileDeltaTermStructureParametersStrikeInterpolation) inputs.getValue(STANDARD_VOLATILITY_SURFACE_DATA);
final Pair<Currency, Currency> currencyPair = Pair.of(security.getPutCurrency(), security.getCallCurrency());
final BlackForexSmileProvider blackData = new BlackForexSmileProvider(data, volatilitySurface, currencyPair);
return blackData;
}
/**
* Gets the currency code of the result.
* @param target The computation target
* @param baseQuotePair The base/quote pair for the currencies in the security
* @return The result currency code.
*/
protected String getResultCurrency(final ComputationTarget target, final CurrencyPair baseQuotePair) {
final FinancialSecurity security = (FinancialSecurity) target.getTrade().getSecurity();
if (security instanceof FXDigitalOptionSecurity) {
return ((FXDigitalOptionSecurity) target.getSecurity()).getPaymentCurrency().getCode();
} else if (security instanceof NonDeliverableFXDigitalOptionSecurity) {
return ((NonDeliverableFXDigitalOptionSecurity) target.getSecurity()).getPaymentCurrency().getCode();
}
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
if (baseQuotePair.getBase().equals(putCurrency)) {
return callCurrency.getCode();
}
return putCurrency.getCode();
}
}
}