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.forex.option.black; import static com.opengamma.financial.analytics.model.forex.option.black.FXOptionFunctionUtils.getResultCurrency; import java.util.Collections; import java.util.List; import java.util.Map; import java.util.Set; import org.slf4j.Logger; import org.slf4j.LoggerFactory; import com.google.common.collect.Iterables; import com.google.common.collect.Sets; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity; import com.opengamma.engine.ComputationTarget; import com.opengamma.engine.ComputationTargetSpecification; 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.OpenGammaCompilationContext; import com.opengamma.financial.analytics.CurrencyPairsFunction; import com.opengamma.financial.analytics.model.CalculationPropertyNamesAndValues; import com.opengamma.financial.analytics.model.InterpolatedDataProperties; import com.opengamma.financial.analytics.model.forex.ForexVisitors; import com.opengamma.financial.currency.CurrencyPair; import com.opengamma.financial.currency.CurrencyPairs; import com.opengamma.financial.security.FinancialSecurity; import com.opengamma.financial.security.FinancialSecurityTypes; import com.opengamma.util.async.AsynchronousExecution; import com.opengamma.util.money.Currency; import com.opengamma.util.tuple.DoublesPair; /** * @deprecated This class uses deprecated functionality in the analytics library. */ @Deprecated public class FXOptionBlackValuePhiFunction extends AbstractFunction.NonCompiledInvoker { /** The logger */ private static final Logger s_logger = LoggerFactory.getLogger(FXOptionBlackValueRhoFunction.class); @Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) throws AsynchronousExecution { final FinancialSecurity security = (FinancialSecurity) target.getSecurity(); final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues); final Object curveSensitivitiesObject = inputs.getValue(ValueRequirementNames.FX_CURVE_SENSITIVITIES); if (curveSensitivitiesObject == null) { throw new OpenGammaRuntimeException("Could not get curve sensitivities"); } final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()); final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()); final String putCurrencyCurve = desiredValue.getConstraint(FXOptionBlackFunction.PUT_CURVE); final Object baseQuotePairsObject = inputs.getValue(ValueRequirementNames.CURRENCY_PAIRS); if (baseQuotePairsObject == null) { throw new OpenGammaRuntimeException("Could not get base/quote pair data"); } final CurrencyPairs baseQuotePairs = (CurrencyPairs) baseQuotePairsObject; final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency); if (baseQuotePair == null) { throw new OpenGammaRuntimeException( "Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")"); } final String resultCurrency = getResultCurrency(target, baseQuotePair); final String fullCurveName = putCurrencyCurve + "_" + putCurrency.getCode(); final MultipleCurrencyInterestRateCurveSensitivity curveSensitivities = (MultipleCurrencyInterestRateCurveSensitivity) curveSensitivitiesObject; final Map<String, List<DoublesPair>> sensitivitiesForCurrency = curveSensitivities .getSensitivity(Currency.of(resultCurrency)).getSensitivities(); final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_PHI, target.toSpecification(), getResultProperties(target, desiredValue, baseQuotePair).get()); final double phi = sensitivitiesForCurrency.get(fullCurveName).get(0).second; return Collections.singleton(new ComputedValue(spec, phi)); } @Override public ComputationTargetType getTargetType() { return FinancialSecurityTypes.FX_OPTION_SECURITY.or(FinancialSecurityTypes.FX_BARRIER_OPTION_SECURITY) .or(FinancialSecurityTypes.FX_DIGITAL_OPTION_SECURITY) .or(FinancialSecurityTypes.NON_DELIVERABLE_FX_OPTION_SECURITY) .or(FinancialSecurityTypes.NON_DELIVERABLE_FX_DIGITAL_OPTION_SECURITY); } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target) { final ValueProperties.Builder properties = getResultProperties(); return Collections.singleton(new ValueSpecification(ValueRequirementNames.VALUE_PHI, target.toSpecification(), properties.get())); } @Override public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context, final ComputationTarget target, final ValueRequirement desiredValue) { final ValueProperties constraints = desiredValue.getConstraints(); final Set<String> putCurveNames = constraints.getValues(FXOptionBlackFunction.PUT_CURVE); if (putCurveNames == null || putCurveNames.size() != 1) { return null; } final Set<String> callCurveNames = constraints.getValues(FXOptionBlackFunction.CALL_CURVE); if (callCurveNames == null || callCurveNames.size() != 1) { return null; } final Set<String> putCurveCalculationConfigs = constraints .getValues(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG); if (putCurveCalculationConfigs == null || putCurveCalculationConfigs.size() != 1) { return null; } final Set<String> callCurveCalculationConfigs = constraints .getValues(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG); if (callCurveCalculationConfigs == null || callCurveCalculationConfigs.size() != 1) { return null; } final Set<String> surfaceNames = constraints.getValues(ValuePropertyNames.SURFACE); if (surfaceNames == null || surfaceNames.size() != 1) { return null; } final Set<String> interpolatorNames = constraints.getValues(InterpolatedDataProperties.X_INTERPOLATOR_NAME); if (interpolatorNames == null || interpolatorNames.size() != 1) { return null; } final Set<String> leftExtrapolatorNames = constraints .getValues(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME); if (leftExtrapolatorNames == null || leftExtrapolatorNames.size() != 1) { return null; } final Set<String> rightExtrapolatorNames = constraints .getValues(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME); if (rightExtrapolatorNames == null || rightExtrapolatorNames.size() != 1) { return null; } final String putCurveName = putCurveNames.iterator().next(); final String callCurveName = callCurveNames.iterator().next(); final String putCurveCalculationConfig = putCurveCalculationConfigs.iterator().next(); final String callCurveCalculationConfig = callCurveCalculationConfigs.iterator().next(); final String surfaceName = surfaceNames.iterator().next(); final String interpolatorName = interpolatorNames.iterator().next(); final String leftExtrapolatorName = leftExtrapolatorNames.iterator().next(); final String rightExtrapolatorName = rightExtrapolatorNames.iterator().next(); final ValueRequirement pairQuoteRequirement = new ValueRequirement(ValueRequirementNames.CURRENCY_PAIRS, ComputationTargetSpecification.NULL); final ValueRequirement sensitivitiesRequirement = getCurveSensitivitiesRequirement(putCurveName, putCurveCalculationConfig, callCurveName, callCurveCalculationConfig, surfaceName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName, target); return Sets.newHashSet(sensitivitiesRequirement, pairQuoteRequirement); } @Override public Set<ValueSpecification> getResults(final FunctionCompilationContext context, final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) { String currencyPairConfigName = null; for (final Map.Entry<ValueSpecification, ValueRequirement> entry : inputs.entrySet()) { final ValueSpecification specification = entry.getKey(); if (specification.getValueName().equals(ValueRequirementNames.CURRENCY_PAIRS)) { currencyPairConfigName = specification.getProperty(CurrencyPairsFunction.CURRENCY_PAIRS_NAME); break; } } final CurrencyPairs baseQuotePairs = OpenGammaCompilationContext.getCurrencyPairsSource(context) .getCurrencyPairs(currencyPairConfigName); final FinancialSecurity security = (FinancialSecurity) target.getSecurity(); final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor()); final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor()); final CurrencyPair baseQuotePair = baseQuotePairs.getCurrencyPair(putCurrency, callCurrency); if (baseQuotePair == null) { s_logger.error( "Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")"); return null; } final String resultCurrency = getResultCurrency(target, baseQuotePair); final ValueProperties.Builder properties = getResultProperties(resultCurrency); return Collections.singleton(new ValueSpecification(ValueRequirementNames.VALUE_PHI, target.toSpecification(), properties.get())); } private ValueProperties.Builder getResultProperties() { return createValueProperties() .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD) .withAny(FXOptionBlackFunction.PUT_CURVE).withAny(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG) .withAny(FXOptionBlackFunction.CALL_CURVE).withAny(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG) .withAny(ValuePropertyNames.SURFACE).withAny(InterpolatedDataProperties.X_INTERPOLATOR_NAME) .withAny(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME) .withAny(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME).withAny(ValuePropertyNames.CURRENCY); } private ValueProperties.Builder getResultProperties(final String currency) { return createValueProperties() .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD) .withAny(FXOptionBlackFunction.PUT_CURVE).withAny(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG) .withAny(FXOptionBlackFunction.CALL_CURVE).withAny(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG) .withAny(ValuePropertyNames.SURFACE).withAny(InterpolatedDataProperties.X_INTERPOLATOR_NAME) .withAny(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME) .withAny(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME) .with(ValuePropertyNames.CURRENCY, currency); } private ValueProperties.Builder getResultProperties(final ComputationTarget target, final ValueRequirement desiredValue, final CurrencyPair baseQuotePair) { final String putCurveName = desiredValue.getConstraint(FXOptionBlackFunction.PUT_CURVE); final String callCurveName = desiredValue.getConstraint(FXOptionBlackFunction.CALL_CURVE); final String putCurveCalculationConfig = desiredValue .getConstraint(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG); final String callCurveCalculationConfig = desiredValue .getConstraint(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG); final String interpolatorName = desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME); final String leftExtrapolatorName = desiredValue .getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME); final String rightExtrapolatorName = desiredValue .getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME); final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE); return createValueProperties() .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD) .with(FXOptionBlackFunction.PUT_CURVE, putCurveName) .with(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG, putCurveCalculationConfig) .with(FXOptionBlackFunction.CALL_CURVE, callCurveName) .with(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG, callCurveCalculationConfig) .with(ValuePropertyNames.SURFACE, surfaceName) .with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, interpolatorName) .with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorName) .with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorName) .with(ValuePropertyNames.CURRENCY, getResultCurrency(target, baseQuotePair)); } private static ValueRequirement getCurveSensitivitiesRequirement(final String putCurveName, final String putCurveCalculationConfig, final String callCurveName, final String callCurveCalculationConfig, final String surfaceName, final String interpolatorName, final String leftExtrapolatorName, final String rightExtrapolatorName, final ComputationTarget target) { final ValueProperties properties = ValueProperties.builder() .with(FXOptionBlackFunction.PUT_CURVE, putCurveName) .with(FXOptionBlackFunction.CALL_CURVE, callCurveName) .with(FXOptionBlackFunction.PUT_CURVE_CALC_CONFIG, putCurveCalculationConfig) .with(FXOptionBlackFunction.CALL_CURVE_CALC_CONFIG, callCurveCalculationConfig) .with(ValuePropertyNames.SURFACE, surfaceName) .with(ValuePropertyNames.CALCULATION_METHOD, CalculationPropertyNamesAndValues.BLACK_METHOD) .with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, interpolatorName) .with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorName) .with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorName).get(); return new ValueRequirement(ValueRequirementNames.FX_CURVE_SENSITIVITIES, target.toSpecification(), properties); } }