/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.bondfutureoption;
import java.util.Collections;
import java.util.HashSet;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.instrument.InstrumentDefinition;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumSecurity;
import com.opengamma.analytics.financial.interestrate.future.derivative.BondFutureOptionPremiumTransaction;
import com.opengamma.analytics.financial.interestrate.future.method.BondFutureDiscountingMethod;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.analytics.financial.model.volatility.BlackFormulaRepository;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.analytics.math.surface.Surface;
import com.opengamma.core.config.ConfigSource;
import com.opengamma.core.holiday.HolidaySource;
import com.opengamma.core.id.ExternalSchemes;
import com.opengamma.core.position.Trade;
import com.opengamma.core.region.RegionSource;
import com.opengamma.core.security.SecuritySource;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.AbstractFunction;
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.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.OpenGammaCompilationContext;
import com.opengamma.financial.OpenGammaExecutionContext;
import com.opengamma.financial.analytics.conversion.BondFutureOptionSecurityConverter;
import com.opengamma.financial.analytics.conversion.BondFutureOptionTradeConverter;
import com.opengamma.financial.analytics.conversion.FixedIncomeConverterDataProvider;
import com.opengamma.financial.analytics.ircurve.calcconfig.ConfigDBCurveCalculationConfigSource;
import com.opengamma.financial.analytics.ircurve.calcconfig.MultiCurveCalculationConfig;
import com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.YieldCurveFunctionUtils;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesBundle;
import com.opengamma.financial.analytics.timeseries.HistoricalTimeSeriesFunctionUtils;
import com.opengamma.financial.convention.ConventionBundleSource;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.financial.security.option.BondFutureOptionSecurity;
import com.opengamma.id.ExternalIdBundle;
import com.opengamma.master.historicaltimeseries.HistoricalTimeSeriesResolver;
import com.opengamma.util.ArgumentChecker;
import com.opengamma.util.money.Currency;
/**
*
*/
public abstract class BondFutureOptionBlackFunction extends AbstractFunction.NonCompiledInvoker {
private static final Logger s_logger = LoggerFactory.getLogger(BondFutureOptionBlackFunction.class);
private final String _valueRequirementName;
private BondFutureOptionTradeConverter _converter;
private FixedIncomeConverterDataProvider _dataConverter;
public BondFutureOptionBlackFunction(final String valueRequirementName) {
ArgumentChecker.notNull(valueRequirementName, "value requirement name");
_valueRequirementName = valueRequirementName;
}
@Override
public void init(final FunctionCompilationContext context) {
final HolidaySource holidaySource = OpenGammaCompilationContext.getHolidaySource(context);
final RegionSource regionSource = OpenGammaCompilationContext.getRegionSource(context);
final ConventionBundleSource conventionSource = OpenGammaCompilationContext.getConventionBundleSource(context);
final SecuritySource securitySource = OpenGammaCompilationContext.getSecuritySource(context);
final HistoricalTimeSeriesResolver timeSeriesResolver = OpenGammaCompilationContext.getHistoricalTimeSeriesResolver(context);
_converter = new BondFutureOptionTradeConverter(new BondFutureOptionSecurityConverter(holidaySource, conventionSource, regionSource, securitySource));
_dataConverter = new FixedIncomeConverterDataProvider(conventionSource, timeSeriesResolver);
ConfigDBCurveCalculationConfigSource.reinitOnChanges(context, this);
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
final Trade trade = target.getTrade();
final BondFutureOptionSecurity security = (BondFutureOptionSecurity) trade.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
}
final String currency = FinancialSecurityUtils.getCurrency(security).getCode();
;
final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
final String[] fullCurveNames = new String[curveNames.length];
for (int i = 0; i < curveNames.length; i++) {
fullCurveNames[i] = curveNames[i] + "_" + currency;
}
final YieldCurveBundle curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
final Object volatilitySurfaceObject = inputs.getValue(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE);
if (volatilitySurfaceObject == null) {
throw new OpenGammaRuntimeException("Could not get volatility surface");
}
final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
}
final Object callPriceObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, BondFutureOptionUtils
.getCallBloombergTicker(security)));
if (callPriceObject == null) {
throw new OpenGammaRuntimeException("Could not get bond future option call price for " + security.getUniqueId());
}
final double callPrice = (Double) callPriceObject;
final Object putPriceObject = inputs
.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, BondFutureOptionUtils.getPutBloombergTicker(security)));
if (putPriceObject == null) {
throw new OpenGammaRuntimeException("Could not get bond future option put price for " + security.getUniqueId());
}
final double putPrice = (Double) putPriceObject;
final Object futurePriceObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, security.getUnderlyingId()));
if (futurePriceObject == null) {
throw new OpenGammaRuntimeException("Could not get bond future price for " + security.getUnderlyingId());
}
final double futurePrice = (Double) futurePriceObject;
final InstrumentDefinition<?> bondFutureOptionDefinition = _converter.convert(trade);
final BondFutureOptionPremiumTransaction bondFutureOption = (BondFutureOptionPremiumTransaction) _dataConverter.convert(security, bondFutureOptionDefinition, now, fullCurveNames, timeSeries);
final ValueProperties properties = getResultProperties(desiredValue, security);
final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(getVolatilitySurface(volatilitySurface.getSurface(), callPrice, putPrice, futurePrice, bondFutureOption,
curves), curves);
return getResult(bondFutureOption, data, curveCalculationConfig, spec, inputs, desiredValues, security);
}
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.TRADE;
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
return target.getTrade().getSecurity() instanceof BondFutureOptionSecurity;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final String currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity()).getCode();
return Collections.singleton(new ValueSpecification(_valueRequirementName, target.toSpecification(), getResultProperties(currency)));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final Set<String> curveCalculationConfigNames = constraints.getValues(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
if (curveCalculationConfigNames == null || curveCalculationConfigNames.size() != 1) {
return null;
}
final String surfaceName = surfaceNames.iterator().next() + "_" + getFutureOptionPrefix(target);
final String curveCalculationConfigName = curveCalculationConfigNames.iterator().next();
final ConfigSource configSource = OpenGammaCompilationContext.getConfigSource(context);
final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
if (curveCalculationConfig == null) {
s_logger.error("Could not find curve calculation configuration named " + curveCalculationConfigName);
return null;
}
final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
if (!curveCalculationConfig.getTarget().getType().isTargetType(ComputationTargetType.CURRENCY)
|| !currency.equals(ComputationTargetType.CURRENCY.resolve(curveCalculationConfig.getTarget().getUniqueId()))) {
s_logger.error("Security currency and curve calculation config id were not equal; have {} and {}", currency, curveCalculationConfig.getTarget());
return null;
}
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
requirements.addAll(YieldCurveFunctionUtils.getCurveRequirements(curveCalculationConfig, curveCalculationConfigSource));
requirements.add(getVolatilityRequirement(surfaceName, currency));
try {
final Set<ValueRequirement> tsRequirements = _dataConverter.getConversionTimeSeriesRequirements(target.getTrade().getSecurity(), _converter.convert(target.getTrade()));
if (tsRequirements == null) {
return null;
}
requirements.addAll(tsRequirements);
} catch (final Exception e) {
s_logger.error(e.getMessage());
return null;
}
final BondFutureOptionSecurity security = (BondFutureOptionSecurity) target.getTrade().getSecurity();
requirements.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, BondFutureOptionUtils.getCallBloombergTicker(security)));
requirements.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, BondFutureOptionUtils.getPutBloombergTicker(security)));
requirements.add(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, security.getUnderlyingId()));
return requirements;
}
protected abstract Set<ComputedValue> getResult(final InstrumentDerivative bondFutureOption, final YieldCurveWithBlackCubeBundle data, MultiCurveCalculationConfig curveCalculationConfig,
final ValueSpecification spec, final FunctionInputs inputs, final Set<ValueRequirement> desiredValue, final BondFutureOptionSecurity security);
protected ValueProperties getResultProperties(final String currency) {
return createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
.withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.withAny(ValuePropertyNames.SURFACE)
.with(ValuePropertyNames.CURRENCY, currency).get();
}
protected ValueProperties getResultProperties(final ValueRequirement desiredValue, final BondFutureOptionSecurity security) {
final String curveCalculationConfig = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
final String currency = security.getCurrency().getCode();
return createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(ValuePropertyNames.CURRENCY, currency).get();
}
protected FixedIncomeConverterDataProvider getDataConverter() {
return _dataConverter;
}
protected BondFutureOptionTradeConverter getTradeConverter() {
return _converter;
}
private ValueRequirement getVolatilityRequirement(final String surface, final Currency currency) {
final ValueProperties properties = ValueProperties.builder()
.with(ValuePropertyNames.SURFACE, surface)
.with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.BOND_FUTURE_OPTION).get();
return new ValueRequirement(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE, ComputationTargetSpecification.of(currency), properties);
}
private String getFutureOptionPrefix(final ComputationTarget target) {
final ExternalIdBundle secId = target.getTrade().getSecurity().getExternalIdBundle();
final String ticker = secId.getValue(ExternalSchemes.BLOOMBERG_TICKER);
if (ticker != null) {
final String prefix = ticker.substring(0, 2);
return prefix;
}
throw new OpenGammaRuntimeException("Could not find option ticker");
}
private Surface<Double, Double, Double> getVolatilitySurface(final Surface<Double, Double, Double> surface, final double callPrice, final double putPrice, final double futureMarketPrice,
final BondFutureOptionPremiumTransaction futureOption, final YieldCurveBundle data) {
final BondFutureOptionPremiumSecurity underlyingOption = futureOption.getUnderlyingOption();
final double futurePrice = BondFutureDiscountingMethod.getInstance().price(underlyingOption.getUnderlyingFuture(), data);
final double strike = underlyingOption.getStrike();
final double t = underlyingOption.getExpirationTime();
double impliedVolatility;
final boolean isCall = underlyingOption.isCall();
try {
if (isCall) {
impliedVolatility = BlackFormulaRepository.impliedVolatility(callPrice, futurePrice, strike, t, true);
} else {
impliedVolatility = BlackFormulaRepository.impliedVolatility(putPrice, futurePrice, strike, t, false);
}
} catch (final IllegalArgumentException e) {
if (isCall) {
impliedVolatility = BlackFormulaRepository.impliedVolatility(putPrice, futurePrice, strike, t, false);
} else {
impliedVolatility = BlackFormulaRepository.impliedVolatility(callPrice, futurePrice, strike, t, true);
}
}
if (!(surface instanceof InterpolatedDoublesSurface)) {
throw new OpenGammaRuntimeException("Can only handle interpolated surfaces");
}
final InterpolatedDoublesSurface interpolatedSurface = (InterpolatedDoublesSurface) surface;
final double[] x = interpolatedSurface.getXDataAsPrimitive();
final double[] y = interpolatedSurface.getYDataAsPrimitive();
final int n = x.length;
final double[] z = new double[n];
for (int i = 0; i < n; i++) {
z[i] = impliedVolatility;
}
return InterpolatedDoublesSurface.from(x, y, z, interpolatedSurface.getInterpolator());
}
}