/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.irfutureoption;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.LocalDate;
import org.threeten.bp.temporal.ChronoUnit;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackCubeBundle;
import com.opengamma.engine.ComputationTarget;
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.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.model.black.BlackDiscountingWeightedVegaIRFutureOptionFunction;
import com.opengamma.financial.security.option.IRFutureOptionSecurity;
import com.opengamma.util.time.Expiry;
import com.opengamma.util.time.ExpiryAccuracy;
/**
* Function computes {@link ValueRequirementNames#POSITION_WEIGHTED_VEGA}, taking as input {@link ValueRequirementNames#POSITION_VEGA},
* for interest rate future options in the Black world.
* @deprecated Use {@link BlackDiscountingWeightedVegaIRFutureOptionFunction}
*/
@Deprecated
public class InterestRateFutureOptionBlackPositionWeightedVegaFunction extends InterestRateFutureOptionBlackFunction {
private static String s_vega = ValueRequirementNames.POSITION_VEGA;
private static String s_weightedVega = ValueRequirementNames.POSITION_WEIGHTED_VEGA;
private static int s_baseDays = 90; // TODO - Should be property available to the user
private static final Logger s_logger = LoggerFactory.getLogger(InterestRateFutureOptionBlackPositionWeightedVegaFunction.class);
public InterestRateFutureOptionBlackPositionWeightedVegaFunction() {
super(s_weightedVega);
}
@Override
protected Set<ComputedValue> getResult(final InstrumentDerivative irFutureOption, final YieldCurveWithBlackCubeBundle data, final ValueSpecification spec, final Set<ValueRequirement> desiredValues) {
return null;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueRequirement vegaReq = new ValueRequirement(ValueRequirementNames.POSITION_VEGA, target.toSpecification(), desiredValue.getConstraints().withoutAny(
ValuePropertyNames.FUNCTION));
final Set<ValueRequirement> requirements = Sets.newHashSet(vegaReq);
return requirements;
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
// 1. Get Vega
Double vega = null;
for (final ComputedValue input : inputs.getAllValues()) {
if (input.getSpecification().getValueName().equals(s_vega)) {
final Object inputVal = input.getValue();
if (inputVal != null) {
vega = (Double) inputVal;
} else {
s_logger.error("Did not satisfy requirement," + s_vega + ", for security" + target.getTrade().getSecurity().toString());
}
}
}
if (vega == null) {
throw new OpenGammaRuntimeException("Could not get vega for " + target);
}
// 2. Compute Weighted 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(s_baseDays / Math.max(daysToExpiry, 1.0));
final double weightedVega = weighting * vega;
// 3. Create specification and return
final ValueRequirement desiredValue = desiredValues.iterator().next();
final ValueSpecification valueSpecification = new ValueSpecification(s_weightedVega, target.toSpecification(), desiredValue.getConstraints());
final ComputedValue result = new ComputedValue(valueSpecification, weightedVega);
return Sets.newHashSet(result);
}
}