/**
* 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.SABRInterestRateDataBundle;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.core.security.Security;
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.conversion.SwapSecurityUtils;
import com.opengamma.financial.analytics.fixedincome.InterestRateInstrumentType;
import com.opengamma.financial.analytics.model.InstrumentTypeProperties;
import com.opengamma.financial.analytics.model.InterpolatedDataProperties;
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.financial.security.swap.SwapSecurity;
import com.opengamma.util.money.Currency;
/**
* Calculates the vega quote matrix.
* @deprecated The parent of this class is deprecated
*/
@Deprecated
public class SABRRightExtrapolationVegaFunction extends SABRVegaFunction {
@Override
public ComputationTargetType getTargetType() {
return FinancialSecurityTypes.SWAPTION_SECURITY.or(FinancialSecurityTypes.SWAP_SECURITY).or(FinancialSecurityTypes.CAP_FLOOR_SECURITY);
}
@Override
public boolean canApplyTo(final FunctionCompilationContext context, final ComputationTarget target) {
final Security security = target.getSecurity();
if (security instanceof SwapSecurity) {
if (!InterestRateInstrumentType.isFixedIncomeInstrumentType((SwapSecurity) security)) {
return false;
}
final InterestRateInstrumentType type = SwapSecurityUtils.getSwapType((SwapSecurity) security);
if ((type != InterestRateInstrumentType.SWAP_FIXED_CMS) && (type != InterestRateInstrumentType.SWAP_CMS_CMS) && (type != InterestRateInstrumentType.SWAP_IBOR_CMS)) {
return false;
}
}
return true;
}
@Override
public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) {
final ValueProperties constraints = desiredValue.getConstraints();
final Set<String> cutoffs = constraints.getValues(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE);
if (cutoffs == null || cutoffs.size() != 1) {
return null;
}
final Set<String> mus = constraints.getValues(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER);
if (mus == null || mus.size() != 1) {
return null;
}
final Set<ValueRequirement> requirements = super.getRequirements(context, target, desiredValue);
if (requirements == null) {
return null;
}
return requirements;
}
@Override
protected ValueProperties getSensitivityProperties(final ComputationTarget target, 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 ValueProperties.builder()
.with(ValuePropertyNames.CURRENCY, currency)
.with(ValuePropertyNames.CUBE, cubeName).with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
.with(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE, cutoff)
.with(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER, mu)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD, fittingMethod)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
.with(ValuePropertyNames.CALCULATION_METHOD, SABR_RIGHT_EXTRAPOLATION).get();
}
@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 SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount);
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(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE)
.withAny(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER)
.withAny(InterpolatedDataProperties.X_INTERPOLATOR_NAME)
.withAny(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME)
.withAny(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME)
.withAny(InterpolatedDataProperties.Y_INTERPOLATOR_NAME)
.withAny(InterpolatedDataProperties.LEFT_Y_EXTRAPOLATOR_NAME)
.withAny(InterpolatedDataProperties.RIGHT_Y_EXTRAPOLATOR_NAME)
.with(ValuePropertyNames.CALCULATION_METHOD, SABR_RIGHT_EXTRAPOLATION)
.withAny(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
.with(InstrumentTypeProperties.PROPERTY_CUBE_INSTRUMENT_TYPE, InstrumentTypeProperties.SWAPTION_CUBE).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 xInterpolator = desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
final String xLeftExtrapolator = desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
final String xRightExtrapolator = desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
final String yInterpolator = desiredValue.getConstraint(InterpolatedDataProperties.Y_INTERPOLATOR_NAME);
final String yLeftExtrapolator = desiredValue.getConstraint(InterpolatedDataProperties.LEFT_Y_EXTRAPOLATOR_NAME);
final String yRightExtrapolator = desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_Y_EXTRAPOLATOR_NAME);
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(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE, cutoff)
.with(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER, mu)
.with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, xInterpolator)
.with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, xLeftExtrapolator)
.with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, xRightExtrapolator)
.with(InterpolatedDataProperties.Y_INTERPOLATOR_NAME, yInterpolator)
.with(InterpolatedDataProperties.LEFT_Y_EXTRAPOLATOR_NAME, yLeftExtrapolator)
.with(InterpolatedDataProperties.RIGHT_Y_EXTRAPOLATOR_NAME, yRightExtrapolator)
.with(ValuePropertyNames.CALCULATION_METHOD, SABR_RIGHT_EXTRAPOLATION)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_FITTING_METHOD, fittingMethod)
.with(SmileFittingPropertyNamesAndValues.PROPERTY_VOLATILITY_MODEL, SmileFittingPropertyNamesAndValues.SABR)
.with(InstrumentTypeProperties.PROPERTY_CUBE_INSTRUMENT_TYPE, InstrumentTypeProperties.SWAPTION_CUBE).get();
}
}