Java tutorial
/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model.equity.option; import java.text.DecimalFormat; import java.util.Arrays; import java.util.Collections; import java.util.HashSet; import java.util.Map; import java.util.Set; import org.apache.commons.lang.ArrayUtils; import com.google.common.collect.Sets; import com.opengamma.analytics.financial.equity.EquityDerivativeSensitivityCalculator; import com.opengamma.analytics.financial.equity.EquityOptionBlackPresentValueCalculator; import com.opengamma.analytics.financial.equity.StaticReplicationDataBundle; import com.opengamma.analytics.financial.interestrate.InstrumentDerivative; import com.opengamma.analytics.financial.model.volatility.surface.BlackVolatilitySurfaceMoneynessFcnBackedByGrid; import com.opengamma.analytics.math.surface.NodalDoublesSurface; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.ComputationTargetSpecification; import com.opengamma.engine.function.FunctionCompilationContext; import com.opengamma.engine.function.FunctionInputs; 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.analytics.DoubleLabelledMatrix2D; import com.opengamma.financial.analytics.model.InstrumentTypeProperties; import com.opengamma.financial.analytics.model.VegaMatrixUtils; import com.opengamma.financial.analytics.model.equity.EquitySecurityUtils; import com.opengamma.financial.security.FinancialSecurity; /** * Calculates the bucketed vega of an equity index or equity option using the Black formula. */ public class EquityOptionBlackVegaMatrixFunction extends EquityOptionBlackFunction { /** The Black present value calculator */ private static final EquityOptionBlackPresentValueCalculator PVC = EquityOptionBlackPresentValueCalculator .getInstance(); /** Calculates derivative sensitivities */ private static final EquityDerivativeSensitivityCalculator CALCULATOR = new EquityDerivativeSensitivityCalculator( PVC); /** The format for the output */ private static final DecimalFormat FORMATTER = new DecimalFormat("#.##"); /** The shift to use in bumping */ private static final double SHIFT = 0.0001; // FIXME This really should be configurable by the user! /** * Default constructor */ public EquityOptionBlackVegaMatrixFunction() { super(ValueRequirementNames.VEGA_QUOTE_MATRIX); } @Override protected Set<ComputedValue> computeValues(final InstrumentDerivative derivative, final StaticReplicationDataBundle market, final FunctionInputs inputs, final Set<ValueRequirement> desiredValues, final ComputationTargetSpecification targetSpec, final ValueProperties resultProperties) { final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementNames()[0], targetSpec, resultProperties); final NodalDoublesSurface vegaSurface = CALCULATOR.calcBlackVegaForEntireSurface(derivative, market, SHIFT); final Double[] xValues; final Double[] yValues; if (market.getVolatilitySurface() instanceof BlackVolatilitySurfaceMoneynessFcnBackedByGrid) { final BlackVolatilitySurfaceMoneynessFcnBackedByGrid volDataBundle = (BlackVolatilitySurfaceMoneynessFcnBackedByGrid) market .getVolatilitySurface(); xValues = ArrayUtils.toObject(volDataBundle.getGridData().getExpiries()); final double[][] strikes2d = volDataBundle.getGridData().getStrikes(); final Set<Double> strikeSet = new HashSet<>(); for (final double[] element : strikes2d) { strikeSet.addAll(Arrays.asList(ArrayUtils.toObject(element))); } yValues = strikeSet.toArray(new Double[] {}); } else { xValues = vegaSurface.getXData(); yValues = vegaSurface.getYData(); } final Set<Double> xSet = new HashSet<>(Arrays.asList(xValues)); final Set<Double> ySet = new HashSet<>(Arrays.asList(yValues)); final Double[] uniqueX = xSet.toArray(new Double[0]); final String[] expLabels = new String[uniqueX.length]; // Format the expiries for display for (int i = 0; i < uniqueX.length; i++) { uniqueX[i] = roundTwoDecimals(uniqueX[i]); expLabels[i] = VegaMatrixUtils.getFXVolatilityFormattedExpiry(uniqueX[i]); } final Double[] uniqueY = ySet.toArray(new Double[0]); final double[][] values = new double[ySet.size()][xSet.size()]; int i = 0; for (final Double x : xSet) { int j = 0; for (final Double y : ySet) { double vega; try { vega = vegaSurface.getZValue(x, y); } catch (final IllegalArgumentException e) { vega = 0; } values[j++][i] = vega; } i++; } final DoubleLabelledMatrix2D matrix = new DoubleLabelledMatrix2D(uniqueX, expLabels, uniqueY, uniqueY, values); return Collections.singleton(new ComputedValue(resultSpec, matrix)); } private double roundTwoDecimals(final double d) { return Double.valueOf(FORMATTER.format(d)); } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) { final Set<ValueSpecification> results = super.getResults(context, target, inputs); final FinancialSecurity security = (FinancialSecurity) target.getSecurity(); final String bbgTicker = EquitySecurityUtils.getIndexOrEquityNameFromUnderlying(security); final Set<ValueSpecification> resultsWithExtraProperties = Sets.newHashSetWithExpectedSize(results.size()); for (final ValueSpecification spec : results) { final String name = spec.getValueName(); final ComputationTargetSpecification targetSpec = spec.getTargetSpecification(); final ValueProperties properties = spec.getProperties().copy() .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.EQUITY_OPTION) .with(ValuePropertyNames.UNDERLYING_TICKER, bbgTicker).get(); resultsWithExtraProperties.add(new ValueSpecification(name, targetSpec, properties)); } return results; } }