com.opengamma.financial.analytics.model.irfutureoption.IRFutureOptionSABRSensitivitiesFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.irfutureoption.IRFutureOptionSABRSensitivitiesFunction.java

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/**
 * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.irfutureoption;

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

import com.google.common.collect.Iterables;
import com.google.common.collect.Sets;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivative;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle;
import com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivitySABRCalculator;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle;
import com.opengamma.analytics.util.amount.SurfaceValue;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.ComputationTargetSpecification;
import com.opengamma.engine.function.FunctionExecutionContext;
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.util.tuple.DoublesPair;

/**
 * Calculates the sensitivity of the present value to the SABR parameters
 */
public class IRFutureOptionSABRSensitivitiesFunction extends IRFutureOptionSABRFunction {
    /** The calculator */
    private static final PresentValueSABRSensitivitySABRCalculator CALCULATOR = PresentValueSABRSensitivitySABRCalculator
            .getInstance();

    public IRFutureOptionSABRSensitivitiesFunction() {
        super(ValueRequirementNames.PRESENT_VALUE_SABR_ALPHA_SENSITIVITY,
                ValueRequirementNames.PRESENT_VALUE_SABR_BETA_SENSITIVITY,
                ValueRequirementNames.PRESENT_VALUE_SABR_RHO_SENSITIVITY,
                ValueRequirementNames.PRESENT_VALUE_SABR_NU_SENSITIVITY);
    }

    @Override
    protected Set<ComputedValue> getResult(final FunctionExecutionContext context,
            final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ComputationTarget target,
            final InstrumentDerivative irFutureOption, final SABRInterestRateDataBundle data) {
        final PresentValueSABRSensitivityDataBundle sensitivities = irFutureOption.accept(CALCULATOR, data);
        final SurfaceValue alphaSurface = sensitivities.getAlpha();
        final SurfaceValue betaSurface = sensitivities.getBeta();
        final SurfaceValue rhoSurface = sensitivities.getRho();
        final SurfaceValue nuSurface = sensitivities.getNu();
        final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
                .withoutAny(ValuePropertyNames.FUNCTION).with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
        final Set<ComputedValue> results = Sets.newHashSetWithExpectedSize(4);
        final String[] names = getValueRequirementNames();
        final ComputationTargetSpecification targetSpec = target.toSpecification();
        results.add(new ComputedValue(new ValueSpecification(names[0], targetSpec, properties),
                getMatrix(alphaSurface)));
        results.add(new ComputedValue(new ValueSpecification(names[1], targetSpec, properties),
                getMatrix(betaSurface)));
        results.add(
                new ComputedValue(new ValueSpecification(names[2], targetSpec, properties), getMatrix(rhoSurface)));
        results.add(
                new ComputedValue(new ValueSpecification(names[3], targetSpec, properties), getMatrix(nuSurface)));
        return results;
    }

    private DoubleLabelledMatrix2D getMatrix(final SurfaceValue values) {
        final Map.Entry<DoublesPair, Double> entry = Iterables.getOnlyElement(values.getMap().entrySet());
        return new DoubleLabelledMatrix2D(new Double[] { entry.getKey().first },
                new Double[] { entry.getKey().second }, new double[][] { new double[] { entry.getValue() } });
    }
}