com.opengamma.financial.analytics.model.option.StandardOptionDataAnalyticOptionModelFunction.java Source code

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Here is the source code for com.opengamma.financial.analytics.model.option.StandardOptionDataAnalyticOptionModelFunction.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.option;

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

import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.threeten.bp.Clock;
import org.threeten.bp.ZonedDateTime;

import com.google.common.collect.Sets;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionInputs;
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.security.option.EquityOptionSecurity;

/**
 *
 */
//TODO urgently needs a rename
@Deprecated
public abstract class StandardOptionDataAnalyticOptionModelFunction extends AnalyticOptionModelFunction {
    private static final Logger s_logger = LoggerFactory
            .getLogger(StandardOptionDataAnalyticOptionModelFunction.class);

    @SuppressWarnings("unchecked")
    @Override
    protected StandardOptionDataBundle getDataBundle(final Clock relevantTime, final EquityOptionSecurity option,
            final FunctionInputs inputs) {
        final ZonedDateTime now = ZonedDateTime.now(relevantTime);
        final Double spotAsObject = (Double) inputs
                .getValue(getUnderlyingMarketDataRequirement(option.getUnderlyingId()));
        if (spotAsObject == null) {
            s_logger.warn("Didn't have market value for {}", option.getUnderlyingId());
            throw new NullPointerException("No spot value for underlying instrument.");
        }
        final double spot = spotAsObject;
        final YieldAndDiscountCurve discountCurve = (YieldAndDiscountCurve) inputs
                .getValue(ValueRequirementNames.YIELD_CURVE);
        final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs
                .getValue(ValueRequirementNames.VOLATILITY_SURFACE);
        final double b = (Double) inputs.getValue(ValueRequirementNames.COST_OF_CARRY);
        return new StandardOptionDataBundle(discountCurve, b, volatilitySurface, spot, now);
    }

    @Override
    public Set<ValueRequirement> getRequirements(final FunctionCompilationContext context,
            final ComputationTarget target, final ValueRequirement desiredValue) {
        final Set<String> curveNames = desiredValue.getConstraints().getValues(ValuePropertyNames.CURVE);
        if ((curveNames == null) || (curveNames.size() != 1)) {
            return null;
        }
        final String curveName = curveNames.iterator().next();
        final EquityOptionSecurity option = (EquityOptionSecurity) target.getSecurity();
        final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
        requirements.add(getUnderlyingMarketDataRequirement(option.getUnderlyingId()));
        requirements.add(getYieldCurveMarketDataRequirement(option.getCurrency(), curveName));
        requirements.add(getVolatilitySurfaceMarketDataRequirement(option, curveName));
        requirements.add(getCostOfCarryMarketDataRequirement(option.getUniqueId(), curveName));
        return requirements;
    }

    @Override
    public Set<ValueSpecification> getResults(final FunctionCompilationContext context,
            final ComputationTarget target, final Map<ValueSpecification, ValueRequirement> inputs) {
        final Set<ValueSpecification> originalResults = getResults(context, target);
        String curveName = null;
        for (final ValueSpecification input : inputs.keySet()) {
            if (ValueRequirementNames.YIELD_CURVE.equals(input.getValueName())) {
                curveName = input.getProperty(ValuePropertyNames.CURVE);
            }
        }
        if (curveName == null) {
            // No yield curve in our inputs, so no yield curve in our output
            return originalResults;
        }
        final Set<ValueSpecification> newResults = Sets.newHashSetWithExpectedSize(originalResults.size());
        for (final ValueSpecification result : originalResults) {
            newResults.add(new ValueSpecification(result.getValueName(), result.getTargetSpecification(),
                    result.getProperties().copy().withoutAny(ValuePropertyNames.CURVE)
                            .with(ValuePropertyNames.CURVE, curveName).get()));
        }
        return newResults;
    }

}