com.opengamma.financial.analytics.model.forex.option.callspreadblack.FXDigitalCallSpreadBlackVegaMatrixFunction.java Source code

Introduction

Here is the source code for com.opengamma.financial.analytics.model.forex.option.callspreadblack.FXDigitalCallSpreadBlackVegaMatrixFunction.java

Source

/**
 * 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.callspreadblack;

import java.text.DecimalFormat;
import java.util.Collections;
import java.util.Set;

import com.google.common.collect.Iterables;
import com.opengamma.analytics.financial.forex.calculator.PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator;
import com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityNodeSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.model.option.definition.ForexOptionDataBundle;
import com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.value.ComputedValue;
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.CalculationPropertyNamesAndValues;

/**
 * The function calculating the Black volatility sensitivity to the matrix with volatility data.
 */
public class FXDigitalCallSpreadBlackVegaMatrixFunction extends FXDigitalCallSpreadBlackSingleValuedFunction {

    private static final DecimalFormat DELTA_FORMATTER = new DecimalFormat("##");

    public FXDigitalCallSpreadBlackVegaMatrixFunction() {
        super(ValueRequirementNames.VEGA_MATRIX);
    }

    @Override
    protected Set<ComputedValue> getResult(final InstrumentDerivative fxDigital,
            final ForexOptionDataBundle<?> data, final ComputationTarget target,
            final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec,
            final FunctionExecutionContext executionContext) {
        final String spreadName = Iterables.getOnlyElement(desiredValues)
                .getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
        final double spread = Double.parseDouble(spreadName);
        final PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilityNodeSensitivityCallSpreadBlackForexCalculator(
                spread);
        final PresentValueForexBlackVolatilityNodeSensitivityDataBundle result = fxDigital.accept(calculator,
                (SmileDeltaTermStructureDataBundle) data.getVolatilityModel());
        final double[] expiries = result.getExpiries().getData();
        final double[] delta = result.getDelta().getData();
        final double[][] vega = result.getVega().getData();
        final int nDelta = delta.length;
        final int nExpiries = expiries.length;
        final Double[] rowValues = new Double[nExpiries];
        final String[] rowLabels = new String[nExpiries];
        final Double[] columnValues = new Double[nDelta];
        final String[] columnLabels = new String[nDelta];
        final double[][] values = new double[nDelta][nExpiries];
        for (int i = 0; i < nDelta; i++) {
            columnValues[i] = delta[i];
            columnLabels[i] = "P" + DELTA_FORMATTER.format(delta[i] * 100) + " "
                    + result.getCurrencyPair().getFirst() + "/" + result.getCurrencyPair().getSecond();
            for (int j = 0; j < nExpiries; j++) {
                if (i == 0) {
                    rowValues[j] = expiries[j];
                    rowLabels[j] = getFormattedExpiry(expiries[j]);
                }
                values[i][j] = vega[j][i];
            }
        }
        return Collections.singleton(new ComputedValue(spec,
                new DoubleLabelledMatrix2D(rowValues, rowLabels, columnValues, columnLabels, values)));
    }

    private static String getFormattedExpiry(final double expiry) {
        if (expiry < 1. / 54) {
            final int days = (int) Math.ceil((365 * expiry));
            return days + "D";
        }
        if (expiry < 1. / 13) {
            final int weeks = (int) Math.ceil((52 * expiry));
            return weeks + "W";
        }
        if (expiry < 0.95) {
            final int months = (int) Math.ceil((12 * expiry));
            return months + "M";
        }
        return ((int) Math.ceil(expiry)) + "Y";
    }
}