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

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

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/**
 * 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.FORWARD;
import static com.opengamma.engine.value.ValueRequirementNames.POSITION_DELTA;
import static com.opengamma.engine.value.ValueRequirementNames.VALUE_DELTA;

import java.util.HashSet;
import java.util.Set;

import org.threeten.bp.Instant;

import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.analytics.financial.forex.method.FXMatrix;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
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 delta of interest rate future options using a Black surface and
 * curves constructed using the discounting method.
 */
public class BlackDiscountingValueGammaIRFutureOptionFunction extends BlackDiscountingIRFutureOptionFunction {

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

    @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 ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
                final ValueProperties constraints = desiredValue.getConstraints();
                final double positionDelta = (Double) inputs.getValue(POSITION_DELTA);
                final double futurePrice = (Double) inputs.getValue(FORWARD);
                final double valueGamma = futurePrice * positionDelta;
                final ValueSpecification valueSpecification = new ValueSpecification(VALUE_DELTA,
                        target.toSpecification(), constraints.copy().get());
                final ComputedValue result = new ComputedValue(valueSpecification, valueGamma);
                return Sets.newHashSet(result);
            }

            @Override
            public Set<ValueRequirement> getRequirements(final FunctionCompilationContext compilationContext,
                    final ComputationTarget target, final ValueRequirement desiredValue) {
                if (super.getRequirements(compilationContext, target, desiredValue) == null) {
                    return null;
                }
                final ValueProperties properties = desiredValue.getConstraints().copy().get();
                final Set<ValueRequirement> requirements = new HashSet<>();
                requirements.add(new ValueRequirement(POSITION_DELTA, target.toSpecification(), properties));
                requirements.add(new ValueRequirement(FORWARD, target.toSpecification(), properties));
                return requirements;
            }

        };
    }
}