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

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Here is the source code for com.opengamma.financial.analytics.model.black.BlackDiscountingWeightedVegaIRFutureOptionFunction.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.POSITION_VEGA;
import static com.opengamma.engine.value.ValueRequirementNames.POSITION_WEIGHTED_VEGA;

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

import org.threeten.bp.Instant;
import org.threeten.bp.LocalDate;
import org.threeten.bp.temporal.ChronoUnit;

import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.OpenGammaRuntimeException;
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;
import com.opengamma.financial.security.option.IRFutureOptionSecurity;
import com.opengamma.util.time.Expiry;
import com.opengamma.util.time.ExpiryAccuracy;

/**
 * Calculates the weighted position vega of interest rate future options using a Black surface and
 * curves constructed using the discounting method.
 */
public class BlackDiscountingWeightedVegaIRFutureOptionFunction extends BlackDiscountingIRFutureOptionFunction {
    /** Property name for the number of base days */
    public static final String PROPERTY_BASE_DAYS = "BaseDays";
    /** Default number of base days to use */
    private static final double DEFAULT_BASE_DAYS = 90;

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

    @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 Set<String> baseDayProperty = constraints.getValues(PROPERTY_BASE_DAYS);
                final ValueProperties.Builder resultConstraints = constraints.copy();
                final double baseDays;
                if (baseDayProperty.size() == 1) {
                    baseDays = Double.parseDouble(Iterables.getOnlyElement(baseDayProperty));
                    resultConstraints.with(PROPERTY_BASE_DAYS, baseDayProperty);
                } else {
                    baseDays = DEFAULT_BASE_DAYS;
                    resultConstraints.with(PROPERTY_BASE_DAYS, Double.toString(DEFAULT_BASE_DAYS));
                }
                final double positionVega = (Double) inputs.getValue(POSITION_VEGA);
                final IRFutureOptionSecurity security = (IRFutureOptionSecurity) target.getTrade().getSecurity();
                final Expiry expiry = security.getExpiry();
                if (expiry.getAccuracy().equals(ExpiryAccuracy.MONTH_YEAR)
                        || expiry.getAccuracy().equals(ExpiryAccuracy.YEAR)) {
                    throw new OpenGammaRuntimeException(
                            "Security's expiry is not accurate to the day, which is required: "
                                    + security.toString());
                }
                final long daysToExpiry = ChronoUnit.DAYS.between(
                        LocalDate.now(executionContext.getValuationClock()), expiry.getExpiry().toLocalDate());
                final double weighting = Math.sqrt(baseDays / Math.max(daysToExpiry, 1.0));
                final double weightedVega = weighting * positionVega;
                final ValueSpecification valueSpecification = new ValueSpecification(POSITION_WEIGHTED_VEGA,
                        target.toSpecification(), resultConstraints.get());
                final ComputedValue result = new ComputedValue(valueSpecification, weightedVega);
                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();
                return Collections.singleton(
                        new ValueRequirement(POSITION_VEGA, target.toSpecification(), properties.copy().get()));
            }

            @Override
            protected ValueProperties.Builder getResultProperties(
                    final FunctionCompilationContext compilationContext, final ComputationTarget target) {
                final ValueProperties.Builder properties = super.getResultProperties(compilationContext, target);
                return properties.withAny(PROPERTY_BASE_DAYS);
            }
        };
    }
}