Package com.opengamma.analytics.financial.model.volatility.surface

Examples of com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface

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    final Object volatilityObject = inputs.getValue(MarketDataRequirementNames.IMPLIED_VOLATILITY);
    if (volatilityObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility");
    }
    final double volatility = (Double) volatilityObject;
    final VolatilitySurface volatilitySurface = new VolatilitySurface(ConstantDoublesSurface.from(volatility));
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    if (curveNames.length == 1) {
      curveNames = new String[] {curveNames[0], curveNames[0] };
    }
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      throw new UnsupportedOperationException("Cannot handle FX implied curves");
    }
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames); //TODO
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, curveName);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final YieldCurveBundle knownCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    final YieldCurveWithBlackSwaptionBundle knownData = knownCurves == null ? null : new YieldCurveWithBlackSwaptionBundle(parameters, knownCurves);
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    final YieldCurveBundle curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceNameWithPrefix, currency));
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface");
    }
    final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final InstrumentDefinition<?> irFutureOptionDefinition = _converter.convert(trade);
    final InstrumentDerivative irFutureOption = _dataConverter.convert(security, irFutureOptionDefinition, now, fullCurveNames, timeSeries);
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName, curveName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), curves);
    return getResult(irFutureOption, data, curveName, spec, security);
  }
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    // 2. Build up the market data bundle
    final Object volSurfaceObject = inputs.getValue(getVolatilitySurfaceRequirement(security, surfaceName));
    if (volSurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get Volatility Surface");
    }
    final VolatilitySurface volSurface = (VolatilitySurface) volSurfaceObject;
    //TODO no choice of other surfaces
    final BlackVolatilitySurface<?> blackVolSurf = new BlackVolatilitySurfaceStrike(volSurface.getSurface());

    final Object discountObject = inputs.getValue(getDiscountCurveRequirement(security, curveName, curveCalculationConfig));
    if (discountObject == null) {
      throw new OpenGammaRuntimeException("Could not get Discount Curve");
    }
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    final YieldCurveBundle curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final Object volatilitySurfaceObject = inputs.getValue(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE);
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface");
    }
    final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final Object callPriceObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, BondFutureOptionUtils
        .getCallBloombergTicker(security)));
    if (callPriceObject == null) {
      throw new OpenGammaRuntimeException("Could not get bond future option call price for " + security.getUniqueId());
    }
    final double callPrice = (Double) callPriceObject;
    final Object putPriceObject = inputs
        .getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, BondFutureOptionUtils.getPutBloombergTicker(security)));
    if (putPriceObject == null) {
      throw new OpenGammaRuntimeException("Could not get bond future option put price for " + security.getUniqueId());
    }
    final double putPrice = (Double) putPriceObject;
    final Object futurePriceObject = inputs.getValue(new ValueRequirement(MarketDataRequirementNames.MARKET_VALUE, ComputationTargetType.PRIMITIVE, security.getUnderlyingId()));
    if (futurePriceObject == null) {
      throw new OpenGammaRuntimeException("Could not get bond future price for " + security.getUnderlyingId());
    }
    final double futurePrice = (Double) futurePriceObject;
    final InstrumentDefinition<?> bondFutureOptionDefinition = _converter.convert(trade);
    final BondFutureOptionPremiumTransaction bondFutureOption = (BondFutureOptionPremiumTransaction) _dataConverter.convert(security, bondFutureOptionDefinition, now, fullCurveNames, timeSeries);
    final ValueProperties properties = getResultProperties(desiredValue, security);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(getVolatilitySurface(volatilitySurface.getSurface(), callPrice, putPrice, futurePrice, bondFutureOption,
        curves), curves);
    return getResult(bondFutureOption, data, curveCalculationConfig, spec, inputs, desiredValues, security);
  }
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    final Object volatilityObject = inputs.getValue(MarketDataRequirementNames.IMPLIED_VOLATILITY);
    if (volatilityObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility");
    }
    final double volatility = (Double) volatilityObject;
    final VolatilitySurface volatilitySurface = new VolatilitySurface(ConstantDoublesSurface.from(volatility));
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (curveNames.length == 1) {
      curveNames = new String[] {curveNames[0], curveNames[0] };
    }
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames); //TODO
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, curveName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    return getResult(swaption, data, curveName, spec, curveCalculationConfigName, curveCalculationMethod, inputs, target);
  }
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    final String surfaceName = desiredValue.getConstraint(ValuePropertyNames.SURFACE);
    final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceName, currency));
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface");
    }
    final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    if (curveNames.length == 1) {
      curveNames = new String[] {curveNames[0], curveNames[0] };
    }
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    final String curveCalculationMethod = curveCalculationConfig.getCalculationMethod();
    if (curveCalculationMethod.equals(FXImpliedYieldCurveFunction.FX_IMPLIED)) {
      throw new UnsupportedOperationException("Cannot handle FX implied curves");
    }
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames); //TODO
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName, curveName);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final YieldCurveBundle knownCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    final YieldCurveWithBlackSwaptionBundle knownData = knownCurves == null ? null : new YieldCurveWithBlackSwaptionBundle(parameters, knownCurves);
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    final double years = DateUtils.getDifferenceInYears(today, expiry.getExpiry());
    final double b = discountCurve.getInterestRate(years); // TODO
    final OptionDefinition europeanVanillaOptionDefinition = new EuropeanVanillaOptionDefinition(optionSec.getStrike(), expiry, (optionSec.getOptionType() == OptionType.CALL));
    final Map<OptionDefinition, Double> prices = new HashMap<OptionDefinition, Double>();
    prices.put(europeanVanillaOptionDefinition, optionPrice);
    final VolatilitySurface volatilitySurface = _volatilitySurfaceModel.getSurface(prices, new StandardOptionDataBundle(discountCurve, b, null, underlyingPrice, today));

    //This is so cheap no need to check desired values
    final double impliedVol = volatilitySurface.getVolatility(0.0, 0.0); //This surface is constant

    // Package the result
    final ValueProperties.Builder properties = createValueProperties(optionSec);
    properties.with(ValuePropertyNames.CURVE, desiredValues.iterator().next().getConstraint(ValuePropertyNames.CURVE));
    final ValueSpecification resultSpec = createVolSurfaceResultSpecification(target.toSpecification(), properties);
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    final YieldCurveBundle curves = YieldCurveFunctionUtils.getAllYieldCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceNameWithPrefix, currency));
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface");
    }
    final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final InstrumentDefinition<?> irFutureOptionDefinition = _converter.convert(trade);
    final InstrumentDerivative irFutureOption = _dataConverter.convert(security, irFutureOptionDefinition, now, fullCurveNames, timeSeries);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), desiredValue.getConstraints());
    final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), curves);
    return getResult(irFutureOption, data, spec, desiredValues);
  }
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      final Period tenorIbor = getTenor(freqIbor);
      final int spotLag = iborIndexConvention.getSettlementDays();
      final IborIndex iborIndex = new IborIndex(currency, tenorIbor, spotLag, iborIndexConvention.getDayCount(),
          iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(INTERPOLATED_VOLATILITY_SURFACE);
      final DoublesCurve shiftCurve = (DoublesCurve) inputs.getValue(LOGNORMAL_SURFACE_SHIFTS);
      final BlackSmileShiftCapParameters parameters = new BlackSmileShiftCapParameters(volatilitySurface.getSurface(), shiftCurve, iborIndex);
      final BlackSmileShiftCapProviderInterface blackData = new BlackSmileShiftCapProvider(data, parameters);
      return blackData;
    }
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    final String surfaceNameWithPrefix = surfaceName + "_" + IRFutureOptionFunctionHelper.getFutureOptionPrefix(target);
    final Object volatilitySurfaceObject = inputs.getValue(getVolatilityRequirement(surfaceNameWithPrefix, currency));
    if (volatilitySurfaceObject == null) {
      throw new OpenGammaRuntimeException("Could not get volatility surface");
    }
    final VolatilitySurface volatilitySurface = (VolatilitySurface) volatilitySurfaceObject;
    if (!(volatilitySurface.getSurface() instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Expecting an InterpolatedDoublesSurface; got " + volatilitySurface.getSurface().getClass());
    }
    final String curveCalculationConfigName = desiredValue.getConstraint(ValuePropertyNames.CURVE_CALCULATION_CONFIG);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final ConfigDBCurveCalculationConfigSource curveCalculationConfigSource = new ConfigDBCurveCalculationConfigSource(configSource);
    final MultiCurveCalculationConfig curveCalculationConfig = curveCalculationConfigSource.getConfig(curveCalculationConfigName);
    if (curveCalculationConfig == null) {
      throw new OpenGammaRuntimeException("Could not find curve calculation configuration named " + curveCalculationConfigName);
    }
    final String[] curveNames = curveCalculationConfig.getYieldCurveNames();
    final String[] fullCurveNames = new String[curveNames.length];
    for (int i = 0; i < curveNames.length; i++) {
      fullCurveNames[i] = curveNames[i] + "_" + currency.getCode();
    }
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final YieldCurveBundle fixedCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final InstrumentDefinition<?> irFutureOptionDefinition = _converter.convert(trade);
    final InstrumentDerivative irFutureOption = _dataConverter.convert(security, irFutureOptionDefinition, now, fullCurveNames, timeSeries);
    final ValueRequirement curveSpecRequirement = getCurveSpecRequirement(currency, curveName);
    final Object curveSpecObject = inputs.getValue(curveSpecRequirement);
    if (curveSpecObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), curves);
    final YieldCurveWithBlackCubeBundle fixedData = fixedCurves == null ? null : new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), fixedCurves);
    final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    if (jacobianObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + ValueRequirementNames.YIELD_CURVE_JACOBIAN);
    }
    final double[][] array = FunctionUtils.decodeJacobian(jacobianObject);
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