/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.forex.option.black;
import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionFunctionUtils.getResultCurrency;
import java.util.Collections;
import java.util.List;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity;
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.analytics.CurrencyPairsFunction;
import com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues;
import com.opengamma.financial.analytics.model.InterpolatedDataProperties;
import com.opengamma.financial.analytics.model.forex.ForexVisitors;
import com.opengamma.financial.currency.CurrencyPair;
import com.opengamma.financial.currency.CurrencyPairs;
import com.opengamma.financial.security.FinancialSecurity;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.util.async.AsynchronousExecution;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
/**
* @deprecated This class uses deprecated functionality in the analytics library.
*/
@Deprecated
public class FXOptionBlackValueRhoFunction extends AbstractFunction.NonCompiledInvoker {
/** The logger */
private static final Logger s_logger = LoggerFactory.getLogger(FXOptionBlackValueRhoFunction.class);
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target,
final Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
final Object curveSensitivitiesObject = inputs.getValue(ValueRequirementNames.FX_CURVE_SENSITIVITIES);
if (curveSensitivitiesObject == null) {
throw new OpenGammaRuntimeException("Could not get curve sensitivities");
}
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS);
if (baseQuotePairsObject == null) {
throw new OpenGammaRuntimeException("Could not get base/quote pair data");
}
final CurrencyPairs baseQuotePairs = (CurrencyPairs) baseQuotePairsObject;
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
if (baseQuotePair == null) {
throw new OpenGammaRuntimeException("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
}
final String callCurrencyCurve = desiredValue.getConstraint(FXOptionBlackFunction.CALL_CURVE);
final String resultCurrency = getResultCurrency(target, baseQuotePair);
final String fullCurveName = callCurrencyCurve + "_" + callCurrency.getCode();
final MultipleCurrencyInterestRateCurveSensitivity curveSensitivities = (MultipleCurrencyInterestRateCurveSensitivity) curveSensitivitiesObject;
final Map<String, List<DoublesPair>> sensitivitiesForCurrency = curveSensitivities.getSensitivity(Currency.of(resultCurrency)).getSensitivities();
final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_RHO, target.toSpecification(), getResultProperties(target, desiredValue, baseQuotePair).get());
final double rho = sensitivitiesForCurrency.get(fullCurveName).get(0).second;
return Collections.singleton(new ComputedValue(spec, rho));
}
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.FX_OPTION_SECURITY
.or(FinancialSecurityTypes.FX_BARRIER_OPTION_SECURITY)
.or(FinancialSecurityTypes.FX_DIGITAL_OPTION_SECURITY)
.or(FinancialSecurityTypes.NON_DELIVERABLE_FX_OPTION_SECURITY)
.or(FinancialSecurityTypes.NON_DELIVERABLE_FX_DIGITAL_OPTION_SECURITY);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
final ValueProperties.Builder properties = getResultProperties();
return Collections.singleton(new ValueSpecification(ValueRequirementNames.VALUE_RHO, target.toSpecification(), properties.get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> putCurveNames = constraints.getValues(FXOptionBlackFunction.PUT_CURVE);
if (putCurveNames == null || putCurveNames.size() != 1) {
return null;
}
final Set<String> callCurveNames = constraints.getValues(FXOptionBlackFunction.CALL_CURVE);
if (callCurveNames == null || callCurveNames.size() != 1) {
return null;
}
final Set<String> putCurveCalculationConfigs = constraints.getValues(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG);
if (putCurveCalculationConfigs == null || putCurveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> callCurveCalculationConfigs = constraints.getValues(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG);
if (callCurveCalculationConfigs == null || callCurveCalculationConfigs.size() != 1) {
return null;
}
final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE);
if (surfaceNames == null || surfaceNames.size() != 1) {
return null;
}
final Set<String> interpolatorNames = constraints.getValues(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
if (interpolatorNames == null || interpolatorNames.size() != 1) {
return null;
}
final Set<String> leftExtrapolatorNames = constraints.getValues(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
if (leftExtrapolatorNames == null || leftExtrapolatorNames.size() != 1) {
return null;
}
final Set<String> rightExtrapolatorNames = constraints.getValues(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
if (rightExtrapolatorNames == null || rightExtrapolatorNames.size() != 1) {
return null;
}
final String putCurveName = putCurveNames.iterator().next();
final String callCurveName = callCurveNames.iterator().next();
final String putCurveCalculationConfig = putCurveCalculationConfigs.iterator().next();
final String callCurveCalculationConfig = callCurveCalculationConfigs.iterator().next();
final String surfaceName = surfaceNames.iterator().next();
final String interpolatorName = interpolatorNames.iterator().next();
final String leftExtrapolatorName = leftExtrapolatorNames.iterator().next();
final String rightExtrapolatorName = rightExtrapolatorNames.iterator().next();
final ValueRequirement pairQuoteRequirement = new ValueRequirement(ValueRequirementNames.CURRENCY_PAIRS, ComputationTargetSpecification.NULL);
final ValueRequirement sensitivitiesRequirement = getCurveSensitivitiesRequirement(putCurveName, putCurveCalculationConfig,
callCurveName, callCurveCalculationConfig, surfaceName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName, target);
return Sets.newHashSet(pairQuoteRequirement, sensitivitiesRequirement);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
String currencyPairConfigName = null;
for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) {
final ValueSpecification specification = entry.getKey();
if (specification.getValueName().equals(ValueRequirementNames.CURRENCY_PAIRS)) {
currencyPairConfigName = specification.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
break;
}
}
final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context).getCurrencyPairs(currencyPairConfigName);
final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency);
if (baseQuotePair == null) {
s_logger.error("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
return null;
}
final String resultCurrency = getResultCurrency(target, baseQuotePair);
final ValueProperties.Builder properties = getResultProperties(resultCurrency);
return Collections.singleton(new ValueSpecification(ValueRequirementNames.VALUE_RHO, target.toSpecification(), properties.get()));
}
private ValueProperties.Builder getResultProperties() {
return createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
.withAny(FXOptionBlackFunction.PUT_CURVE)
.withAny(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG)
.withAny(FXOptionBlackFunction.CALL_CURVE)
.withAny(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG)
.withAny(ValuePropertyNames.SURFACE)
.withAny(InterpolatedDataProperties.X_INTERPOLATOR_NAME)
.withAny(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME)
.withAny(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME)
.withAny(ValuePropertyNames.CURRENCY);
}
private ValueProperties.Builder getResultProperties(final String currency) {
return createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
.withAny(FXOptionBlackFunction.PUT_CURVE)
.withAny(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG)
.withAny(FXOptionBlackFunction.CALL_CURVE)
.withAny(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG)
.withAny(ValuePropertyNames.SURFACE)
.withAny(InterpolatedDataProperties.X_INTERPOLATOR_NAME)
.withAny(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME)
.withAny(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME)
.with(ValuePropertyNames.CURRENCY, currency);
}
private ValueProperties.Builder getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue, final CurrencyPair baseQuotePair) {
final String putCurveName = desiredValue.getConstraint(FXOptionBlackFunction.PUT_CURVE);
final String callCurveName = desiredValue.getConstraint(FXOptionBlackFunction.CALL_CURVE);
final String putCurveCalculationConfig = desiredValue.getConstraint(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG);
final String callCurveCalculationConfig = desiredValue.getConstraint(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG);
final String interpolatorName = desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
final String leftExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
final String rightExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
return createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
.with(FXOptionBlackFunction.PUT_CURVE, putCurveName)
.with(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG, putCurveCalculationConfig)
.with(FXOptionBlackFunction.CALL_CURVE, callCurveName)
.with(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG, callCurveCalculationConfig)
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, interpolatorName)
.with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorName)
.with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorName)
.with(ValuePropertyNames.CURRENCY, getResultCurrency(target, baseQuotePair));
}
private static ValueRequirement getCurveSensitivitiesRequirement(final String putCurveName, final String putCurveCalculationConfig, final String callCurveName,
final String callCurveCalculationConfig, final String surfaceName, final String interpolatorName, final String leftExtrapolatorName,
final String rightExtrapolatorName, final ComputationTarget target) {
final ValueProperties properties = ValueProperties.builder()
.with(FXOptionBlackFunction.PUT_CURVE, putCurveName)
.with(FXOptionBlackFunction.CALL_CURVE, callCurveName)
.with(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG, putCurveCalculationConfig)
.with(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG, callCurveCalculationConfig)
.with(ValuePropertyNames.SURFACE, surfaceName)
.with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD)
.with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, interpolatorName)
.with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorName)
.with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorName).get();
return new ValueRequirement(ValueRequirementNames.FX_CURVE_SENSITIVITIES, target.toSpecification(), properties);
}
}