/**
* 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.ValueRequirementNames.POSITION_VEGA;
import static com.opengamma.engine.value.ValueRequirementNames.POSITION_WEIGHTED_VEGA;
import java.util.Collections;
import java.util.Set;
import org.threeten.bp.Instant;
import org.threeten.bp.LocalDate;
import org.threeten.bp.temporal.ChronoUnit;
import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
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.financial.security.option.IRFutureOptionSecurity;
import com.opengamma.util.time.Expiry;
import com.opengamma.util.time.ExpiryAccuracy;
/**
* Calculates the weighted position vega of interest rate future options using a Black surface and
* curves constructed using the discounting method.
*/
public class BlackDiscountingWeightedVegaIRFutureOptionFunction extends BlackDiscountingIRFutureOptionFunction {
/** Property name for the number of base days */
public static final String PROPERTY_BASE_DAYS = "BaseDays";
/** Default number of base days to use */
private static final double DEFAULT_BASE_DAYS = 90;
/**
* Sets the value requirement to {@link ValueRequirementNames#POSITION_WEIGHTED_VEGA}
*/
public BlackDiscountingWeightedVegaIRFutureOptionFunction() {
super(POSITION_WEIGHTED_VEGA);
}
@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 ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> baseDayProperty = constraints.getValues(PROPERTY_BASE_DAYS);
final ValueProperties.Builder resultConstraints = constraints.copy();
final double baseDays;
if (baseDayProperty.size() == 1) {
baseDays = Double.parseDouble(Iterables.getOnlyElement(baseDayProperty));
resultConstraints.with(PROPERTY_BASE_DAYS, baseDayProperty);
} else {
baseDays = DEFAULT_BASE_DAYS;
resultConstraints.with(PROPERTY_BASE_DAYS, Double.toString(DEFAULT_BASE_DAYS));
}
final double positionVega = (Double) inputs.getValue(POSITION_VEGA);
final IRFutureOptionSecurity security = (IRFutureOptionSecurity) target.getTrade().getSecurity();
final Expiry expiry = security.getExpiry();
if (expiry.getAccuracy().equals(ExpiryAccuracy.MONTH_YEAR) || expiry.getAccuracy().equals(ExpiryAccuracy.YEAR)) {
throw new OpenGammaRuntimeException("Security's expiry is not accurate to the day, which is required: " + security.toString());
}
final long daysToExpiry = ChronoUnit.DAYS.between(LocalDate.now(executionContext.getValuationClock()), expiry.getExpiry().toLocalDate());
final double weighting = Math.sqrt(baseDays / Math.max(daysToExpiry, 1.0));
final double weightedVega = weighting * positionVega;
final ValueSpecification valueSpecification = new ValueSpecification(POSITION_WEIGHTED_VEGA, target.toSpecification(), resultConstraints.get());
final ComputedValue result = new ComputedValue(valueSpecification, weightedVega);
return Sets.newHashSet(result);
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext compilationContext, final ComputationTarget target,
final ValueRequirement desiredValue) {
if (super.getRequirements(compilationContext, target, desiredValue) == null) {
return null;
}
final ValueProperties properties = desiredValue.getConstraints();
return Collections.singleton(new ValueRequirement(POSITION_VEGA, target.toSpecification(), properties.copy().get()));
}
@Override
protected ValueProperties.Builder getResultProperties(final FunctionCompilationContext compilationContext, final ComputationTarget target) {
final ValueProperties.Builder properties = super.getResultProperties(compilationContext, target);
return properties.withAny(PROPERTY_BASE_DAYS);
}
};
}
}