/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.option;
import java.util.Collections;
import java.util.Map;
import java.util.Set;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
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.security.FinancialSecurityTypes;
import com.opengamma.financial.security.option.EquityOptionSecurity;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
/**
* Function for the Black-Scholes stock option function (i.e. equity option, no dividends)
*/
@Deprecated
public class BlackScholesModelCostOfCarryFunction extends AbstractFunction.NonCompiledInvoker {
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.EQUITY_OPTION_SECURITY;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) {
return Collections.singleton(new ValueSpecification(ValueRequirementNames.COST_OF_CARRY, target.toSpecification(), createValueProperties().withAny(ValuePropertyNames.CURVE).get()));
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final Set<String> curveNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
if ((curveNames == null) || (curveNames.size() != 1)) {
return null;
}
final String curveName = curveNames.iterator().next();
final EquityOptionSecurity option = (EquityOptionSecurity) target.getSecurity();
return Collections.singleton(new ValueRequirement(ValueRequirementNames.YIELD_CURVE, ComputationTargetSpecification.of(option.getCurrency()),
ValueProperties.with(ValuePropertyNames.CURVE, curveName).get()));
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final String curveName = inputs.keySet().iterator().next().getProperty(ValuePropertyNames.CURVE);
return Collections.singleton(new ValueSpecification(ValueRequirementNames.COST_OF_CARRY, target.toSpecification(), createValueProperties().with(ValuePropertyNames.CURVE, curveName).get()));
}
@Override
public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
final EquityOptionSecurity option = (EquityOptionSecurity) target.getSecurity();
final Object curveObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
if (curveObject == null) {
throw new NullPointerException("Could not get yield curve for option");
}
final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
final Expiry expiry = option.getExpiry();
final double t = DateUtils.getDifferenceInYears(now, expiry.getExpiry());
final double b = curve.getInterestRate(t);
return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.COST_OF_CARRY, target.toSpecification(), createValueProperties().with(ValuePropertyNames.CURVE,
desiredValues.iterator().next().getConstraint(ValuePropertyNames.CURVE)).get()), b));
}
@Override
public String getShortName() {
return "BlackScholesCostOfCarryFunction";
}
}