com.opengamma.financial.analytics.model.equity.EquityOptionMonetizedVegaFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.equity.EquityOptionMonetizedVegaFunction.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.equity;

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

import org.slf4j.Logger;
import org.slf4j.LoggerFactory;

import com.google.common.collect.Iterables;
import com.opengamma.OpenGammaRuntimeException;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.security.FinancialSecurityTypes;
import com.opengamma.financial.security.FinancialSecurityUtils;
import com.opengamma.util.async.AsynchronousExecution;

/**
 *
 */
public class EquityOptionMonetizedVegaFunction extends AbstractFunction.NonCompiledInvoker {
    /** The logger */
    private static final Logger s_logger = LoggerFactory.getLogger(EquityOptionMonetizedVegaFunction.class);

    @Override
    public ComputationTargetType getTargetType() {
        return FinancialSecurityTypes.EQUITY_OPTION_SECURITY
                .or(FinancialSecurityTypes.EQUITY_INDEX_OPTION_SECURITY);
    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context,
            final ComputationTarget target) {
        final ValueProperties properties = ValueProperties.all();
        return Collections.singleton(
                new ValueSpecification(ValueRequirementNames.MONETIZED_VEGA, target.toSpecification(), properties));
    }

    @Override
    public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context,
            final ComputationTarget target, final ValueRequirement desiredValue) {
        final ValueProperties constraints = desiredValue.getConstraints();
        final Set<String> calculationMethod = constraints.getValues(ValuePropertyNames.CALCULATION_METHOD);
        if (calculationMethod == null || calculationMethod.size() != 1) {
            s_logger.error("Need to have a single calculation method");
            return null;
        }
        final ValueProperties properties = ValueProperties.builder()
                .with(ValuePropertyNames.CALCULATION_METHOD, Iterables.getOnlyElement(calculationMethod)).get();
        return Collections
                .singleton(new ValueRequirement(ValueRequirementNames.VEGA, target.toSpecification(), properties));
    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context,
            final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
        final ValueSpecification spec = Iterables.getOnlyElement(inputs.entrySet()).getKey();
        final ValueProperties vegaProperties = spec.getProperties();
        final ValueProperties properties = vegaProperties.copy().withoutAny(ValuePropertyNames.FUNCTION)
                .with(ValuePropertyNames.FUNCTION, getUniqueId()).with(ValuePropertyNames.CURRENCY,
                        FinancialSecurityUtils.getCurrency(target.getSecurity()).getCode())
                .get();
        return Collections.singleton(
                new ValueSpecification(ValueRequirementNames.MONETIZED_VEGA, target.toSpecification(), properties));
    }

    @Override
    public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
            final ComputationTarget target, final Set<ValueRequirement> desiredValues)
            throws AsynchronousExecution {
        final Object vegaObject = inputs.getValue(ValueRequirementNames.VEGA);
        if (vegaObject == null) {
            throw new OpenGammaRuntimeException("Could not get vega");
        }
        final double vega = (Double) vegaObject;
        final Double pointValue = EquitySecurityUtils.getPointValue(target.getSecurity());
        if (pointValue == null) {
            throw new OpenGammaRuntimeException("Could not get point value for " + target.getSecurity());
        }
        final double monetizedVega = vega * pointValue;
        final ValueProperties properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy()
                .with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
        final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.MONETIZED_VEGA,
                target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, monetizedVega));
    }

}