/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.future;
import java.util.Collections;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.core.value.MarketDataRequirementNames;
import com.opengamma.engine.ComputationTarget;
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.security.FinancialSecurityUtils;
import com.opengamma.financial.security.future.FutureSecurity;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.util.async.AsynchronousExecution;
/**
* Calculates the Value (or Dollar) Delta of a FutureSecurity.
* The value delta is defined as the Delta (dV/dS) multiplied by the spot, S.
* As dS/dS == 1, ValueDelta = S, the spot value of the security.
* ValueDelta can be roughly described as the delta hedge of the position expressed in currency value.
* It indicates how much currency must be used in order to delta hedge a position.
*/
public class FutureSecurityValueDeltaFunction extends AbstractFunction.NonCompiledInvoker {
@Override
public ComputationTargetType getTargetType() {
return ComputationTargetType.SECURITY;
}
@Override
public boolean canApplyTo(FunctionCompilationContext context, ComputationTarget target) {
if (target.getSecurity() instanceof FutureSecurity) {
return true;
}
return false;
}
@Override
public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target) {
ValueProperties.Builder properties = createValueProperties().with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode());
if (target.getSecurity() instanceof InterestRateFutureSecurity) {
properties.withAny(ValuePropertyNames.SCALE);
}
return Collections.singleton(new ValueSpecification(ValueRequirementNames.VALUE_DELTA, target.toSpecification(), properties.get()));
}
@Override
public Set<ValueRequirement> getRequirements(FunctionCompilationContext context, ComputationTarget target, ValueRequirement desiredValue) {
if (target.getSecurity() instanceof InterestRateFutureSecurity) {
// Confirm Scale is set, by user or by default
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> scale = constraints.getValues(ValuePropertyNames.SCALE);
if (scale == null || scale.size() != 1) {
s_logger.info("Could not find {} requirement. Looking for a default..", ValuePropertyNames.SCALE);
return null;
}
}
return Collections.singleton(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, getTargetType(), target.getUniqueId()));
}
@Override
public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
FutureSecurity security = (FutureSecurity) target.getSecurity();
final ValueRequirement desiredValue = desiredValues.iterator().next();
ValueProperties.Builder properties = desiredValue.getConstraints().copy()
.with(ValuePropertyNames.CURRENCY, FinancialSecurityUtils.getCurrency(security).getCode());
String scaleProperty = Double.toString(1);
double scaleFactor = 1.0;
if (target.getSecurity() instanceof InterestRateFutureSecurity) {
// Add scaling and adjust properties to reflect
final Set<String> scaleValue = desiredValue.getConstraints().getValues(ValuePropertyNames.SCALE);
if (scaleValue != null && scaleValue.size() > 0) {
scaleProperty = Iterables.getOnlyElement(scaleValue);
scaleFactor = Double.parseDouble(scaleProperty);
}
properties = properties.withoutAny(ValuePropertyNames.SCALE).with(ValuePropertyNames.SCALE, scaleProperty);
}
final ValueSpecification valueSpecification = new ValueSpecification(ValueRequirementNames.VALUE_DELTA, target.toSpecification(), properties.get());
// Get Market Value
final Object marketValueObject = inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
if (marketValueObject == null) {
throw new OpenGammaRuntimeException("Could not get market value");
}
final Double marketValue = (Double) marketValueObject;
final ComputedValue result = new ComputedValue(valueSpecification, scaleFactor * marketValue * security.getUnitAmount());
return Collections.singleton(result);
}
private static final Logger s_logger = LoggerFactory.getLogger(FutureSecurityValueDeltaFunction.class);
}