Package com.opengamma.financial.analytics.volatility.cube

Examples of com.opengamma.financial.analytics.volatility.cube.SwaptionVolatilityCubeSpecification

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    final String name = message.getString(NAME_FIELD);
    final UniqueIdentifiable target = deserializer.fieldValueToObject(UniqueIdentifiable.class, message.getByName(TARGET_FIELD));
    final String cubeQuoteType = message.getString(CUBE_QUOTE_TYPE_FIELD);
    final String quoteUnits = message.getString(QUOTE_UNITS_FIELD);
    final CubeInstrumentProvider<?, ?, ?> cubeInstrumentProvider = (CubeInstrumentProvider<?, ?, ?>) deserializer.fieldValueToObject(message.getByName(INSTRUMENT_PROVIDER_FIELD));
    return new SwaptionVolatilityCubeSpecification(name, target, cubeQuoteType, quoteUnits, cubeInstrumentProvider);
  }
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      final VolatilityCubeDefinitionSource definitionSource, final ZonedDateTime atInstant, final ComputationTarget target,
      final String specificationName, final String definitionName) {
    final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
    final String fullSpecificationName = specificationName + "_" + currency.getCode();
    final String fullDefinitionName = definitionName + "_" + currency.getCode();
    final SwaptionVolatilityCubeSpecification specification = specificationSource.getSpecification(fullSpecificationName);
    if (specification == null) {
      throw new OpenGammaRuntimeException("Could not get swaption volatility cube specification named " + fullSpecificationName);
    }
    final VolatilityCubeDefinition definition = definitionSource.getDefinition(currency, fullDefinitionName);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Could not get swaption volatility cube definition named " + fullDefinitionName);
    }
    final CubeInstrumentProvider<Tenor, Tenor, Double> provider = (CubeInstrumentProvider<Tenor, Tenor, Double>) specification.getCubeInstrumentProvider();
    final Set<ValueRequirement> result = new HashSet<ValueRequirement>();
    for (final Tenor swapTenor : definition.getSwapTenors()) {
      for (final Tenor swaptionExpiry : definition.getOptionExpiries()) {
        for (final Double relativeStrike : definition.getRelativeStrikes()) {
          final ExternalId identifier = provider.getInstrument(swapTenor, swaptionExpiry, relativeStrike);
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        final String definitionName = desiredValue.getConstraint(SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION);
        final String specificationName = desiredValue.getConstraint(SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION);
        final Currency currency = target.getValue(PrimitiveComputationTargetType.CURRENCY);
        final String fullSpecificationName = specificationName + "_" + currency.getCode();
        final String fullDefinitionName = definitionName + "_" + currency.getCode();
        final SwaptionVolatilityCubeSpecification specification = specificationSource.getSpecification(fullSpecificationName);
        if (specification == null) {
          throw new OpenGammaRuntimeException("Could not get swaption volatility cube specification named " + fullSpecificationName);
        }
        final VolatilityCubeDefinition definition = definitionSource.getDefinition(currency, fullDefinitionName);
        if (definition == null) {
          throw new OpenGammaRuntimeException("Could not get swaption volatility cube definition named " + fullDefinitionName);
        }
        final CubeInstrumentProvider<Tenor, Tenor, Double> provider = (CubeInstrumentProvider<Tenor, Tenor, Double>) specification.getCubeInstrumentProvider();
        final Map<VolatilityPoint, Double> data = new HashMap<VolatilityPoint, Double>();
        final Map<VolatilityPoint, ExternalIdBundle> ids = new HashMap<VolatilityPoint, ExternalIdBundle>();
        for (final Tenor x : definition.getSwapTenors()) {
          for (final Tenor y : definition.getOptionExpiries()) {
            for (final Double z : definition.getRelativeStrikes()) {
              final ExternalId id = provider.getInstrument(x, y, z);
              final ValueRequirement requirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, id);
              final Object volatilityObject = inputs.getValue(requirement);
              if (volatilityObject != null) {
                final Double volatility = (Double) volatilityObject;
                final VolatilityPoint coordinate = new VolatilityPoint(x, y, z);
                data.put(coordinate, volatility);
                ids.put(coordinate, id.toBundle());
              }
            }
          }
        }
        final VolatilityCubeData volatilityCubeData = new VolatilityCubeData();
        volatilityCubeData.setDataPoints(data);
        volatilityCubeData.setDataIds(ids);
        final ValueProperties properties = createValueProperties()
            .with(ValuePropertyNames.CUBE, cubeName)
            .with(SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION, definitionName)
            .with(SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION, specificationName)
            .with(SurfaceAndCubePropertyNames.PROPERTY_CUBE_QUOTE_TYPE, specification.getCubeQuoteType())
            .with(SurfaceAndCubePropertyNames.PROPERTY_CUBE_UNITS, specification.getQuoteUnits()).get();
        return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.VOLATILITY_CUBE_MARKET_DATA, target.toSpecification(), properties), volatilityCubeData));
      }

      @Override
      public boolean canHandleMissingInputs() {
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Related Classes of com.opengamma.financial.analytics.volatility.cube.SwaptionVolatilityCubeSpecification

  • com.opengamma.financial.analytics.model.volatility.cube.RawSwaptionVolatilityCubeDataFunction
  • com.opengamma.financial.fudgemsg.SwaptionVolatilityCubeSpecificationBuilder
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