com.opengamma.financial.analytics.model.black.BlackDiscountingValueGammaFXOptionFunction.java Source code

Introduction

Here is the source code for com.opengamma.financial.analytics.model.black.BlackDiscountingValueGammaFXOptionFunction.java

Source

/**
 * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.black;

import static com.opengamma.engine.value.ValueRequirementNames.VALUE_GAMMA;

import java.util.Collections;
import java.util.Set;

import org.threeten.bp.Instant;

import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.calculator.blackforex.ValueGammaForexBlackSmileCalculator;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider;
import com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProviderInterface;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.CompiledFunctionDefinition;
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.ValueProperties;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;

/**
 * Calculates the value gamma of FX options using a Black surface and
 * curves constructed using the discounting method.
 */
public class BlackDiscountingValueGammaFXOptionFunction extends BlackDiscountingFXOptionFunction {
    /** The value gamma calculator */
    private static final InstrumentDerivativeVisitor<BlackForexSmileProviderInterface, Double> CALCULATOR = ValueGammaForexBlackSmileCalculator
            .getInstance();

    /**
     * Sets the value requirement to {@link ValueRequirementNames#VALUE_GAMMA}
     */
    public BlackDiscountingValueGammaFXOptionFunction() {
        super(VALUE_GAMMA);
    }

    @Override
    public CompiledFunctionDefinition compile(final FunctionCompilationContext context, final Instant atInstant) {
        return new BlackDiscountingCompiledFunction(getTargetToDefinitionConverter(context),
                getDefinitionToDerivativeConverter(context), true) {

            @Override
            protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext,
                    final FunctionInputs inputs, final ComputationTarget target,
                    final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
                    final FXMatrix fxMatrix) {
                final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target,
                        fxMatrix);
                final double valueGamma = derivative.accept(CALCULATOR, blackData);
                final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
                final ValueProperties properties = desiredValue.getConstraints().copy().get();
                final ValueSpecification spec = new ValueSpecification(VALUE_GAMMA, target.toSpecification(),
                        properties);
                return Collections.singleton(new ComputedValue(spec, valueGamma));
            }

        };
    }
}