/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.model.sabrcube;
import java.util.Set;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.analytics.financial.interestrate.YieldCurveBundle;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.analytics.math.function.DoubleFunction1D;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.financial.analytics.model.sabr.SABRDiscountingFunction;
import com.opengamma.financial.analytics.model.volatility.SmileFittingPropertyNamesAndValues;
import com.opengamma.financial.analytics.volatility.fittedresults.SABRFittedSurfaces;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.util.money.Currency;
/**
* @deprecated Use descendants of {@link SABRDiscountingFunction}
*/
@Deprecated
public abstract class SABRCMSSpreadRightExtrapolationFunction extends SABRFunction {
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.CAP_FLOOR_CMS_SPREAD_SECURITY;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> cutoffNames = constraints.getValues(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE);
if (cutoffNames == null || cutoffNames.size() != 1) {
return null;
}
final Set<String> muNames = constraints.getValues(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER);
if (muNames == null || muNames.size() != 1) {
return null;
}
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
return requirements;
}
@Override
protected SABRInterestRateDataBundle getModelParameters(final ComputationTarget target, final FunctionInputs inputs, final Currency currency, final DayCount dayCount,
final YieldCurveBundle yieldCurves, final ValueRequirement desiredValue) {
final String cubeName = desiredValue.getConstraint(ValuePropertyNames.CUBE);
final String fittingMethod = desiredValue.getConstraint(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD);
final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
final Object surfacesObject = inputs.getValue(surfacesRequirement);
if (surfacesObject == null) {
throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
}
final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
final DoubleFunction1D correlationFunction = getCorrelationFunction();
final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
}
@Override
protected ValueProperties getResultProperties(final ValueProperties properties, final String currency) {
return properties.copy()
.with(ValuePropertyNames.CURRENCY, currency)
.withAny(ValuePropertyNames.CUBE).withAny(ValuePropertyNames.CURVE_CALCULATION_CONFIG)
.withAny(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
.with(ValuePropertyNames.CALCULATION_METHOD, SABR_RIGHT_EXTRAPOLATION)
.withAny(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE)
.withAny(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER).get();
}
@Override
protected ValueProperties getResultProperties(final ValueProperties properties, final String currency, final ValueRequirement desiredValue) {
final String cubeName = desiredValue.getConstraint(ValuePropertyNames.CUBE);
final String fittingMethod = desiredValue.getConstraint(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD);
final String curveCalculationConfig = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
final String cutoff = desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE);
final String mu = desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER);
return properties.copy()
.with(ValuePropertyNames.CURRENCY, currency)
.with(ValuePropertyNames.CUBE, cubeName)
.with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD, fittingMethod)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
.with(ValuePropertyNames.CALCULATION_METHOD, SABR_RIGHT_EXTRAPOLATION)
.with(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE, cutoff)
.with(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER, mu).get();
}
private static DoubleFunction1D getCorrelationFunction() {
return new DoubleFunction1D() {
@Override
public Double evaluate(final Double x) {
return 0.8;
}
};
}
}