/**
* 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.vannavolga;
import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction.CALL_CURVE;
import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG;
import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction.PUT_CURVE;
import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG;
import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionFunctionUtils.getResultCurrency;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
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.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.util.money.Currency;
/**
*
*/
public abstract class FXOptionVannaVolgaSingleValuedFunction extends FXOptionVannaVolgaFunction {
public FXOptionVannaVolgaSingleValuedFunction(final String valueRequirementName) {
super(valueRequirementName);
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final CurrencyPair baseQuotePair = getBaseQuotePair(context, target, inputs);
final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), getResultProperties(target, baseQuotePair));
return Collections.singleton(resultSpec);
}
protected CurrencyPair getBaseQuotePair(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 key = entry.getKey();
if (key.getValueName().equals(ValueRequirementNames.CURRENCY_PAIRS)) {
currencyPairConfigName = key.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME);
break;
}
}
assert currencyPairConfigName != null;
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) {
throw new OpenGammaRuntimeException("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
}
return baseQuotePair;
}
@Override
protected ValueProperties getResultProperties(final ComputationTarget target) {
return createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, VANNA_VOLGA_METHOD)
.withAny(PUT_CURVE)
.withAny(PUT_CURVE_CALC_CONFIG)
.withAny(CALL_CURVE)
.withAny(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)
.withAny(PROPERTY_OTM_DELTA).get();
}
protected ValueProperties getResultProperties(final ComputationTarget target, final CurrencyPair baseQuotePair) {
return createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, VANNA_VOLGA_METHOD)
.withAny(PUT_CURVE)
.withAny(PUT_CURVE_CALC_CONFIG)
.withAny(CALL_CURVE)
.withAny(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, getResultCurrency(target, baseQuotePair))
.withAny(PROPERTY_OTM_DELTA).get();
}
@Override
protected ValueProperties getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue, final CurrencyPair baseQuotePair) {
final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
final String callCurveName = desiredValue.getConstraint(CALL_CURVE);
final String putCurveConfig = desiredValue.getConstraint(PUT_CURVE_CALC_CONFIG);
final String callCurveConfig = desiredValue.getConstraint(CALL_CURVE_CALC_CONFIG);
final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
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 delta = desiredValue.getConstraint(PROPERTY_OTM_DELTA);
return createValueProperties()
.with(ValuePropertyNames.CALCULATION_METHOD, VANNA_VOLGA_METHOD)
.with(PUT_CURVE, putCurveName)
.with(PUT_CURVE_CALC_CONFIG, putCurveConfig)
.with(CALL_CURVE, callCurveName)
.with(CALL_CURVE_CALC_CONFIG, callCurveConfig)
.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))
.with(PROPERTY_OTM_DELTA, delta).get();
}
}