/**
* 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.HashSet;
import java.util.Map;
import java.util.Set;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.ZonedDateTime;
import com.google.common.collect.Sets;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
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.option.EquityOptionSecurity;
/**
*
*/
//TODO urgently needs a rename
@Deprecated
public abstract class StandardOptionDataAnalyticOptionModelFunction extends AnalyticOptionModelFunction {
private static final Logger s_logger = LoggerFactory.getLogger(StandardOptionDataAnalyticOptionModelFunction.class);
@SuppressWarnings("unchecked")
@Override
protected StandardOptionDataBundle getDataBundle(final Clock relevantTime, final EquityOptionSecurity option, final FunctionInputs inputs) {
final ZonedDateTime now = ZonedDateTime.now(relevantTime);
final Double spotAsObject = (Double) inputs.getValue(getUnderlyingMarketDataRequirement(option.getUnderlyingId()));
if (spotAsObject == null) {
s_logger.warn("Didn't have market value for {}", option.getUnderlyingId());
throw new NullPointerException("No spot value for underlying instrument.");
}
final double spot = spotAsObject;
final YieldAndDiscountCurve discountCurve = (YieldAndDiscountCurve) inputs.getValue(ValueRequirementNames.YIELD_CURVE);
final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(ValueRequirementNames.VOLATILITY_SURFACE);
final double b = (Double) inputs.getValue(ValueRequirementNames.COST_OF_CARRY);
return new StandardOptionDataBundle(discountCurve, b, volatilitySurface, spot, now);
}
@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();
final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
requirements.add(getUnderlyingMarketDataRequirement(option.getUnderlyingId()));
requirements.add(getYieldCurveMarketDataRequirement(option.getCurrency(), curveName));
requirements.add(getVolatilitySurfaceMarketDataRequirement(option, curveName));
requirements.add(getCostOfCarryMarketDataRequirement(option.getUniqueId(), curveName));
return requirements;
}
@Override
public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
final Set<ValueSpecification> originalResults = getResults(context, target);
String curveName = null;
for (final ValueSpecification input : inputs.keySet()) {
if (ValueRequirementNames.YIELD_CURVE.equals(input.getValueName())) {
curveName = input.getProperty(ValuePropertyNames.CURVE);
}
}
if (curveName == null) {
// No yield curve in our inputs, so no yield curve in our output
return originalResults;
}
final Set<ValueSpecification> newResults = Sets.newHashSetWithExpectedSize(originalResults.size());
for (final ValueSpecification result : originalResults) {
newResults.add(new ValueSpecification(result.getValueName(), result.getTargetSpecification(), result.getProperties().copy().withoutAny(ValuePropertyNames.CURVE)
.with(ValuePropertyNames.CURVE, curveName).get()));
}
return newResults;
}
}