com.opengamma.financial.analytics.model.future.FutureSecurityDeltaFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.future.FutureSecurityDeltaFunction.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.future;

import java.util.Collections;
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.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.analytics.model.irfutureoption.InterestRateFutureOptionBlackValueDeltaFunction;
import com.opengamma.financial.security.future.FutureSecurity;
import com.opengamma.financial.security.future.InterestRateFutureSecurity;
import com.opengamma.util.async.AsynchronousExecution;

/**
 * Provides sensitivity of FutureSecurity price with respect to itself, i.e. always unity.
 * This is essential in order to show aggregate position in this underlying in a derivatives portfolio.
 * @author casey
 *
 */
public class FutureSecurityDeltaFunction extends AbstractFunction.NonCompiledInvoker {

    private String getValueRequirementName() {
        return ValueRequirementNames.DELTA;
    }

    @Override
    public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs,
            ComputationTarget target, Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        ValueProperties properties = desiredValue.getConstraints();
        String scaleProperty = Double.toString(1);
        double scaleFactor = 1.0;
        if (target.getSecurity() instanceof InterestRateFutureSecurity) {
            // Add scaling and adjust properties to reflect
            final Set<String> scaleValue = desiredValue.getConstraints().getValues(ValuePropertyNames.SCALE);
            if (scaleValue != null && scaleValue.size() > 0) {
                scaleProperty = Iterables.getOnlyElement(scaleValue);
                scaleFactor = Double.parseDouble(scaleProperty);
            }
            properties = properties.copy().withoutAny(ValuePropertyNames.SCALE)
                    .with(ValuePropertyNames.SCALE, scaleProperty).get();
        }
        final ValueSpecification valueSpecification = new ValueSpecification(getValueRequirementName(),
                target.toSpecification(), properties);
        final ComputedValue result = new ComputedValue(valueSpecification, scaleFactor);
        return Sets.newHashSet(result);
    }

    @Override
    public boolean canApplyTo(FunctionCompilationContext context, ComputationTarget target) {
        if (target.getSecurity() instanceof FutureSecurity) {
            return true;
        }
        return false;
    }

    @Override
    public ComputationTargetType getTargetType() {
        return ComputationTargetType.SECURITY;
    }

    @Override
    public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target) {

        ValueProperties properties = (target.getSecurity() instanceof InterestRateFutureSecurity)
                ? createValueProperties().withAny(ValuePropertyNames.SCALE).get()
                : createValueProperties().get();

        return Collections
                .singleton(new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties));
    }

    @Override
    public Set<ValueRequirement> getRequirements(FunctionCompilationContext context, ComputationTarget target,
            ValueRequirement desiredValue) {
        if (target.getSecurity() instanceof InterestRateFutureSecurity) {
            // Confirm Scale is set, by user or by default
            final ValueProperties constraints = desiredValue.getConstraints();
            final Set<String> scale = constraints.getValues(ValuePropertyNames.SCALE);
            if (scale == null || scale.size() != 1) {
                s_logger.info("Could not find {} requirement. Looking for a default..", ValuePropertyNames.SCALE);
                return null;
            }
        }
        return Collections.emptySet();
    }

    private static final Logger s_logger = LoggerFactory.getLogger(FutureSecurityDeltaFunction.class);
}