/**
* 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.ValueRequirementNames.VALUE_VOMMA;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.blackforex.ValueVommaForexBlackSmileCalculator;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderInterface;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.CompiledFunctionDefinition;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.util.money.CurrencyAmount;
/**
* Calculates the value vomma (second order derivative with respect to implied volatility)
* of FX options using a Black surface and curves constructed using the discounting method.
*/
public class BlackDiscountingValueVommaFXOptionFunction extends BlackDiscountingFXOptionFunction {
/** The value vomma calculator */
private static final InstrumentDerivativeVisitor<BlackForexSmileProviderInterface, CurrencyAmount> CALCULATOR =
ValueVommaForexBlackSmileCalculator.getInstance();
/**
* Sets the value requirement to {@link ValueRequirementNames#VALUE_VOMMA}
*/
public BlackDiscountingValueVommaFXOptionFunction() {
super(VALUE_VOMMA);
}
@Override
public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
return new BlackDiscountingCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {
@Override
protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
final FXMatrix fxMatrix) {
final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
final CurrencyAmount valueVomma = derivative.accept(CALCULATOR, blackData);
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ValueProperties properties = desiredValue.getConstraints().copy().get();
final String currency = Iterables.getOnlyElement(properties.getValues(CURRENCY));
if (!currency.equals(valueVomma.getCurrency().getCode())) {
throw new OpenGammaRuntimeException("Currency of result " + valueVomma.getCurrency() + " did not match" +
" the expected currency " + currency);
}
final ValueSpecification spec = new ValueSpecification(VALUE_VOMMA, target.toSpecification(), properties);
return Collections.singleton(new ComputedValue(spec, valueVomma.getAmount()));
}
};
}
}